CIM PROGRAMS AND ACTIVITIES

IFID/MITACS Conference on Financial Engineering for Actuarial Mathematics to be held at Fields Institute, 222 College Street, Toronto Sunday November 9 - Monday November 10, 2008
Organizing Committee • Huaxiong Huang (York University) • Sebastian Jaimungal (University of Toronto) • Moshe Milevsky (Schulich School of Business) Person	• Kristen Moore (University of Michigan) • David Promislow (York University) • Tom Salisbury (York University) – Contact

Overview

Talks will address finance, insurance, or a combination of the two. Specific topics that the meeting will focus on are
• Optimal asset allocation for retirement savings and pensions
• Stochastic mortality modeling in finance
• Hedging of pension and va riable annuity liabilities and embedded options

Invited speakers would focus their talks at the interface between finance and insurance. This list includes both respected senior researchers and junior faculty. We intend to incorporate several free periods, for informal discussions. Funding will be available to enable students, postdocs, and junior faculty to attend.

Some funding will be available to enable students, postdocs, and junior faculty to attend.

Keynote Speakers

Sid Browne ( NY)
S. Haberman (UK)
Ragnar Norberg (LSE)
Shige Peng (Shandong)

Invited Speakers

Erhan Bayraktar (Michigan) Sheldon Lin (Toronto) Mike Ludkovski (Santa Barbara) Manuel Morales (Montreal) A. Olivieri (Italy) Gordon Willmot (Waterloo)

SCHEDULE

Sunday November 9
9:30-10:00
	Registration and coffee
10:00-10:55	Steven Haberman, Cass Business School, London The Lee-Carter Mortality Model for Mortality Dynamics: Recent Devlopments
11:00-11:40	Gordon Willmot, University of Waterloo Generalized penalty functions in dependent Sparre Andersen models
11:45-12:25	Sheldon Lin, University of Toronto Pricing Perpetual Catastrophe Put Options and Related Issues
12:30-2:00	Lunch break
2:00-2:55	Sid Browne, Brevan Howard US Asset Management LP Active portfolio management: investment goals and portfolio constraints (or how to invest, if you must)
3:00-3:30	Coffee break
3:30-4:10	Annamaria Olivieri, Università degli Studidi Parma Developing a Stochastic Mortality Model for Internal Assessments
4:15-4:55	Erhan Bayraktar, University of Michigan Proving the Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control
Monday November 10
9:00-9:30	Coffee
9:30-10:25	Ragnar Norberg, London School of Economics Management of Finacial and Demographic Risk in Life Insurance and Pensions
10:30-11:25	Shige Peng, Shandong University On Risk Measure via Gaussian Distributions under Model Uncertainty.
11:30-1:00	Lunch break
1:00-1:40	Michael Ludkovski, University of California, Santa Barbara Optimal Risk Sharing under Distorted Probabilities
1:45-2:25	Manuel Morales, University of Montreal On a New Generalization of the Expected Discounted Penalty Function
2:30-3:00	Coffee break

Participant List

Fullname	University Name
Alexandru-Gajura, Elena	McMaster University
Asimit, Alexandru	University of Toronto
Bae, Tae Han	Algorithmics Inc.
Bayraktar, Erhan	University of Michigan
Broverman, Sam	University of Toronto
Browne, Sid	Brevan Howard US Asset Management LP
Cheung, Eric	University of Waterloo
Chi, Yichun	University of Toronto
Choquet, Andre	Canadian Institute of Actuaries
Haberman, Steven	Cass Business School, London
Halevy, Itamar
Hamedani, Hamideh	Shahid Beheshti University
Huang, Huaxiong	York University
Huo, Yu	University of Toronto
Jaimungal, Sebastian	University of Toronto
Kan, Kin Hung	University of Western Ontario
Kirby, Natasha	University of Western Ontario
Kreinin, Alexander	University of Toronto
Landriault, David	University of Waterloo
Lee, Chun King	University of Toronto
Li, Song	University of Toronto
Liao, Yang	University of Toronto
Lin, Sheldon	University of Toronto
Ludkovski, Mike	University of Michigan
Marri, Fouad	University of Waterloo
Milevsky, Moshe Arye	IFID Centre
Molina, Rafael	York University
Morales, Manual	Université de Montréal
Mostafavi, Shahab
Nabipoor, Majid
Norberg, Ragnar	London School of Economics
Olivieri, Annamaria	Università degli Studidi Parma
Ordine, Andrei	AON Capital Markets
Peng, Shige	Shandong University
Promislow, David	York University
Qiao, Yun	York University
Rashid, Sabrina	Hewitt Associates
Salisbury, Thomas	York University
Shang, Ying	University of Waterloo
Sigloch, Georg	University of Toronto
Valov, Angel	University of Toronto
Verkhorobin, Yegor	University of Toronto
Wang, Tao	AON
Wang, Yumin	York University
Willmot, Gordon	University of Waterloo
Woo, Jae Kyung	University of Waterloo
Yang, Shengjun	University of Toronto

 

 

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