Actuarial Science Seminar

Official website: https://math.uconn.edu/actuarial-science-seminar/

Fall 2023

1. September 18, Wenyuan Li (University of Hong Kong)

Optimal defined-contribution pension management with financial and mortality risks

2. October 9, Hong Li (University of Guelph, Canada)

Pricing catastrophe bonds: A probabilistic machine learning approach

3. October 16, Jackson Lautier (Bentley University)

Essays on survival analysis with applications to securitization and consumer finance

4. November 13, Atibhav Chaudhry (KU Leuven) 

Modelling mortality dependence with time series vine-copulae: A unified approach for serial and cross-correlation

Spring 2023

1. February 13, Tim Boonen (University of Amsterdam)

Optimal Reinsurance and Risk Sharing: The Effect of Multiple Insurers or Reinsurers

2. February 20, Himchan Jeong (Simon Fraser University)

Integration of Traditional and Telematics Data for Efficient Insurance Claims Prediction

3. March 6, Tsz Chai Fung (Georgia State University)

Diagnostic Tests Before Modeling Longitudinal Actuarial Data

Fall 2022

1. October 3, Frederic Godin (Concordia University)

Risk Allocation Through Shapley Decompositions With Applications To Variable Annuities

2. October 10, Michael Ludkovski (UCSB)

Gaussian Process Models for Multi-population Longevity Analysis

3. October 17, Thai Nguyen (University of Laval)

Internal Risk Management: A Weighted Limited Expected Loss Model

4. November 7, Roxane Turcotte (University of Quebec at Montreal)

Longitudinal Claim Count Models Using Splines for Predictive Ratemaking

5. November 28, Lu Yang (University of Minnesota - Twin Cities)

Dynamic Prediction of Outstanding Insurance Claims Using Joint Models for Longitudinal and Survival Outcomes

6. December 5, Peter Hieber (University of Lansanne)

Valuation and Risk Management of Guaranteed Minimum Death Benefits by Randomization

Spring 2022

1. Feburary 7, Tobias Fissler (Vienna University of Economics and Business)

Leveraging Elicitability in Learning and Model Comparison

2. Feburary 21, Gee Lee (Michigan State University)

Regularization Methods in Actuarial Science

3. March 7, Martin Bladt (University of Lausanne)

Matrix Regression: Models, Algorithms, and Applications

4. April 11, Ben Feng (University of Waterloo)

Optimal Nested Simulation Design via the Likelihood Ratio Method

5. April 18, Mengyi Xu (Purdue University)

Insuring Longevity Risk and Long-Term Care: Bequest, Housing and Liquidity

6. April 25, Silvana Pesenti (University of Toronto)

Sensitivity Measures Based on Scoring Functions

Fall 2021

1. September 13, Thorsten Moenig (Temple University)

It's RILA Time: An Introduction to Registered Index-Linked Annuities

2. September 27, Vijay Nair (University of Michigan)

Machine Learning: An Overview and Applications in Banking

3. October 11, An Chen (Ulm University)

Demand for Retirement Products: An Analysis of Individual Welfare

4. October 18, Fei Huang (University of New South Wales)

Insurance Discrimination and Pricing Fairness

5. November 1, Virginia Young (University of Michigan)

Stackelberg Differential Game for Reinsurance: Mean-Variance Framework and Random Horizon

6. November 15, Lukasz Delong (Warsaw School of Economics)

Gamma Mixture Density Networks and Their Application to Modelling Insurance Claim Amounts

7. December 17, Himchan Jeong (Simon Fraser University)

A Dynamic Credibility Model Using Hawkes Processes

Spring 2021

1. February 8, Hansjoerg Albrecher (Universite de Lausanne)

On the Profitability of Selfish Blockchain Mining under Consideration of Ruin

2. March 8, Chengguo Weng (University of Waterloo)

DSA Algorithm for Mortality Forecasting

3. March 29, Jens Perch Nielsen (Case Business School)

Benchmarking a Developing Pandemic via a New Survival Model with Partially Missing Data

4. April 5, Montserrat Guillen (University of Barcelona)

Risk Analysis of Driving Data with Near-miss Ratemaking

5. April 26, Yijia Lin (University of Nebraska-Lincoln)

Asset-Liability Management of Life Insurers in the Negative Interest Rate Environment

Fall 2020

1. October 19, Arthur Charpentier (Universite Quebec a Montreal)

Modeling Joint Lives Within Families

2. October 26, Hailiang Yang (University of Hong Kong)

Risk Management of Insurance Portfolio: A Dynamic Point of View

3. November 4, Mario Ghossoub (University of Waterloo)

Bilateral Risk Sharing with Exposure Constraints: Heterogeneous Beliefs and Probability Weighting

4. November 16, Gabriela Zeller (Technical University of Munich)

A Comprehensive Model for Cyber Risk Based on Marked Point Processes and its Applications to Insurance

5. December 7, Jean-Francois Renaud (Universite Quebec a Montreal)

De Finetti's Optimal Dividends Problem with Linearly Bounded Payment Rates

Spring 2020

1. February 17, Tai-Ho Wang (City University of New York)

Small Time Approximation of Transition Density

2. February 24, Ambrose Lo (University of Iowa)

Universally Marketable Insurance in a Multivariate Mixture Market

The talks originally scheduled in March and April were cancelled due to Covid-19.

Fall 2019

1. October 7, Bin Zou (University of Connecticut)

Introduction to Bitcoin Inverse Futures

2. October 14, Niushan Gao (Ryerson University)

Risk Measures on Orlicz Spaces

3. November 11, Dongchen Li (University of St. Thomas)

High-Water Mark Fee Structure in Variable Annuities

4. November 18, Danier Bauer (University of Wisconsin-Madison)

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

5. December 2, Jianxi Su (Purdue University)

Allocation of Risk Capital: A Not So Simple View from the Simplex

Spring 2019

co-organized with Guojun Gan

1. January 28, Himchan Jeong (University of Connecticut)

Application of Bayesian Sensitivity Analysis in Compound Risk Model with Random Effects

2. February 7, Jae Youn Ahn (Ewha Woman's University)

Modeling the Exposure in Count Data

3. March 11, Runhuan Feng (University of Illinois at Urban-Champion)

Risk Engineering of Variable Annuities

4. April 15, Zhiyu Quan (University of Connecticut)

Predictive Actuarial Analytics Using Tree-Based Models

List of talks prior to Spring 2019 can be found at: 

https://math.uconn.edu/actuarial-science-seminar-past-talks/