Research Seminar

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

Upcoming Seminars

Hamza Hanbali

When: September 20, 2019, 3-4pm.

Where: Altgeld Hall 245

Title: Bounds for quantities related to the difference of two random variables

About the speaker: Hamza Hanbali is a Post-Doctoral researcher in the Actuarial Research Group at KU Leuven, Belgium. His research interests revolve around aspects of management and measurement of insurance risks, quantitative finance, and dependence modelling. Hamza holds a M.Sc. in Actuarial Sciences from UC Louvain, Belgium, and a Ph.D. degree in Business Economics from KU Leuven. He was previously working as an Actuary in the risk management department of AXA Belgium.

Abstract: We consider upper and lower bounds for the stop-loss premiums and Tail Values-at-Risk (TVaR’s) for the difference of random variables. We show that the upper and lower bounds are attained when the random variables  involved are counter-monotonic and comonotonic, respectively. In both cases, we derive closed form expressions for the stop-loss premium and the TVaR. We apply the TVaR to the loss random variable of a life insurance portfolio, where the loss corresponds to the difference between the assets and the liabilities of the insurer.

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