Research Seminar

Leading experts in the fields of actuarial science, finance and risk management are invited to present their current research.  

Upcoming Seminars

 

Franck Adekambi

When: January 22, 2019, 3-4pm.

Where: TBD

Title: On the moments of the aggregate discounted claims with dependence between inter-arrival times

About the speaker: 

Upon completing my studies, I worked for Fortis Securities and CDC IXIS CAPITAL MARKETS. It wasn’t  long before I  realised that my true vocation lay in academia, teaching rather than working in corporate. Accordingly, I enrolled in a PhD program in Actuarial Mathematics at Laval University in Canada. I completed  this in November 2010 and subsequently spent one year as a visiting researcher at Emory University in the United States of America before relocating to South Africa to take up a position as  a lecturer at the University of the Witwatersrand in South Africa,  teaching stochastic processes and risk theory to third year and honours actuarial students. I left the University of the Witwatersrand for the University of Johannesburg in April 2014. I became senior lecturer in 2014 and was promoted to associate professor in October 2017.  I currently teach stochastic processes and risk theory.

Abstract: 

In the classical collective insurance risk model, the independence among inter-arrival times
is one of the crucial assumptions. However, in reality, one could easily identify exceptions to thisassumption. For instance, in car insurance, if there has been a long waiting time before a claim,the next inter-arrival time can also be long, either, because the policyholders are potentiallygood drivers; or policyholders only start to use their cars a long time after purchasing them,then claims, would suddenly arrive more frequently after a long silence. Hence, a shorter interval before the next claim can be expected. Therefore, a natural way to relax this assumptionis to introduce a dependence structure in-between inter-arrival time, and derive a recursiveformula for the higher moments of the discounted aggregate renewal claims under these relaxedconditions.

 

 

 

Steve Armstrong

When: March 5, 2019, 3-4pm.

Where: TBD

Title: TBD

About the speaker: 

Armstrong is a longtime CAS volunteer, having served multiple terms on examination and professional education committees over the last 20 years. Armstrong also recently served on the CAS Board of Directors from 2011-2014 and on the CAS Executive Council as vice president-admissions from 2014-2017.

During his terms as CAS president-elect and president, Armstrong plans to focus on collaboration with other actuarial and industry associations, working to address issues such as diversity, education, and the future of the actuarial profession.

 

George Zanjani

When: April 16, 2019, 3-4pm.

Where: 245 Altgeld Hall

Title: An Integrated Approach to Measuring Asset and Liability Risks in Financial Institutions.

About the speaker: 

George Zanjani is Professor of Finance and the Frank Park Samford Chair of Insurance at the University of Alabama.  Previously, he served as the inaugural holder of the AAMGA Distinguished Chair in Risk Management and Insurance and an associate professor in the RMI Department of Georgia State University. Prior to his career in academia, he served as an economist at the Federal Reserve Bank of New York (2000–2008) specializing in policy work relating to insurance issues in the broader financial system.  During his tenure at the Bank, he served on working groups formed by the Committee on the Global Financial System and the Presidential Working Group on Financial Markets.  He also worked as an actuary at Fireman’s Fund Insurance Companies (1990–1994), focusing on commercial insurance pricing and heading the firm’s workers’ compensation actuarial unit in 1994.

Dr. Zanjani's published or forthcoming work includes insurance papers in the American Economic Review, Insurance: Mathematics and Economics, the Journal of Financial Economics, the Journal of Public Economics, the Journal of Risk and Insurance, Management Science, and the North American Actuarial Journal. He has served on working groups formed by the Committee on the Global Financial System (on global savings and asset allocation) and the Presidential Working Group on Financial Markets (terrorism insurance).

Dr. Zanjani is an Associate of the Casualty Actuarial Society. He earned his A.B./B.S. in Economics and Biology from Stanford University and holds a Ph.D. in Economics from the University of Chicago. He served as the President of both the American Risk and Insurance Association and the Risk Theory Society.

Abstract: 

Risk measurement models for financial institutions typically focus on the net portfolio position and thus ignore distinctions between 1) assets and liabilities and 2) uncollateralized and collateralized liabilities. However, these distinctions are economically important. Liability risks affect the total amount of claims on the institution, while asset risks affect the amount available for claimants. Collateralization also affects the amounts recovered by different classes of claimants. We analyze a model of a financial institution with risky assets and liabilities, with potentially varying levels of collateralization across liabilities, showing that correct economic risk capital allocation requires complete segregation of asset, uncollateralized liability, and collateralized liability risks, with different risk measures for each. Our numerical analyses suggest that the conventional approach frequently yields over-investment in risky assets.

Jianxi Su

When: TBD

Where: TBD

Title: TBD

About the speaker:

Jianxi Su is an assistant professor at the Department of Statistics at Purdue University. He is also one of the Associate Directors of the Actuarial Science Program at Purdue. Prior to joining Purdue in 2016, he completed a PhD at York University under the supervision of Edward Furman (2012-2015). Upon graduation, he held a Post-doctoral position at the Schulich School of Business for six months in 2016. He obtained the Associate of the Canadian Institute of Actuaries (ACIA) in 2015 and the Fellow of the Society of Actuaries (FSA) in 2017. His research expertise is in dependence modelling, risk management, and pricing. During his PhD candidature, he also worked as a research associate at the Model Validation and ORSA Implementation team of Sun Life Financial (Toronto office).

 

Fall 2018

 

Past Seminars