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Snell Seminar Series

Snell Actuarial Science and Risk Management Seminar Series

2020-21 Academic Year

All times listed are in Central Time (CDT)

Catherine Donnelly, Heriot-Watt University

Paper: "Pooling longevity for a better retirement income: how many people are needed?"
February 26, 2021 | 10 to 11:00 a.m. | Via Zoom | Meeting ID: 99142668662 | Passcode: SSS2021



Haiyan Liu, Michigan State University

Paper: Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk

Abstract: A basic assumption of the classic reinsurance model is that the distribution of the loss is precisely known. In practice, only partial information is available for the loss distribution due to the lack of data and estimation error. We study a distributionally robust reinsurance problem by minimizing the maximum Value-at-Risk (or the worst-case VaR) of the total retained loss of the insurer for all loss distributions with known mean and variance. Our model handles typical stop-loss reinsurance contracts. We show that a three-point distribution achieves the worst-case VaR of the total retained loss of the insurer, from which the closed-form solutions of the worst-case distribution and optimal deductible are obtained. Moreover, we show that the worst-case Conditional Value-at-Risk of the total retained loss of the insurer is equal to the worst-case VaR, and thus the optimal deductible is the same in both cases.

March 19, 2021 | 10 to 11:00 a.m. | Via Zoom | Meeting ID: 94375690716 | Passcode: SSS2021



Hua Chen, University of Hawaiʻi at Mānoa

Paper: Medicaid Expansion and Medical Liability Costs
March 26, 2021 | 2 to 3:00 p.m. | Via Zoom | Meeting ID: 98113508000 | Passcode: SSS2021



Shu Li, Western University

Paper: The analysis of general drawdowns and their applications
April 9, 2021 | 10 to 11:00 a.m. | Via Zoom | Meeting ID: 99984094075 | Passcode: SSS2021



Benjamin Collier, Temple University

Paper: How do households respond to public program reforms? Evidence from the U.S. National Flood Insurance Program
April 16, 2021 | 10 to 11:00 a.m. | Via Zoom | Meeting ID: 97502460940 | Passcode: SSS2021



Becky Lee, Hang Seng University of Hong Kong

Paper: "A cyclic approach on classical ruin model"
Becky Lee Vita
April 30, 2021 | 9 to 10:00 a.m. | Via Zoom | Meeting ID: 99500294212 | Passcode: SSS2021


2019-20 Academic Year

Cary Chi-Liang Tsai, Simon Fraser University

Paper: "A Bayesian Approach to Modeling Mortality Rates"
Paper: "Natural Hedges with Immunization Strategies of Mortality and Interest Rates"
Cary Chi-Liang Tsai Vita
September 6, 2019 | 10:30 a.m. to noon | HLH 443


Daniel Linders, University of Illinois at Urbana-Champaign

Paper: American-type basket option pricing: a simple two-dimensional partial differential equation
Daniel Linders Vita
November 1, 2019 | 10:30 a.m. to noon | HLH 310


Gregory R. Niehaus, University of South Carolina

Paper: Personal Taxes, Cost of Insurer Equity Capital, and the Case of Offshore Hedge Fund Reinsurers
Gregory R. Niehaus Vita
November 8, 2019 | 1:45 to 3:15 p.m. | HLH 215


Fangda Liu, University of Waterloo

Paper: A Theory for Measures of Tail Risk
Fangda Liu Vita
February 21, 2020 | 10:30 a.m. to noon | HLH 310


Hua Chen, University of Hawai‘i at Mānoa

Paper: TBA
March 20, 2020 | 10:30 a.m. to noon | HLH 310


Haiyan Liu, Michigan State University

Paper: Quantile-based risk sharing with heterogeneous beliefs
Haiyan Liu Vita
TBD


2018-19 Academic Year

Robert Hoyt, University of Georgia

Robert Hoyt Vita
Paper: Enterprise Risk Management and Transparency: Evidence from Insider Trading
August 31, 2018 | 10:30 a.m. to noon in HLH 204


Xunyu Zhou, Columbia University

Paper: Date Driven Markowitz
October 26, 2018 | 10:30 a.m. to noon in HLH 310


Barbara Carby, The University of The West Indies

Paper: A Preliminary Look at the Impact of Climate Change on Jamaica’s Infrastructure and Potential Risk Reduction and Adaptation Strategies
Slides: Effect of Climate Change on Jamaican Infrastructure
January 18, 2019 | 10:30 a.m. - noon in HLH 310


Jeffrey Pai, University of Manitoba

Paper: Pricing Temperature Derivatives with a Filtered Historical Simulation Approach
Jeffrey Pai Vita
February 15, 2019 | 10:30 a.m. - noon in HLH 310


Chengguo Weng, University of Waterloo

Paper: Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization
Chengguo Weng Vita
March 8, 2019 | 10:30 a.m. - noon in HLH 310


Peng Liang, Georgia State University

Slides: Statistical Inference for Mortality Model and Risk Allocation
Peng Liang Vita
March 15, 2019 | 10:30 a.m. – noon in HLH 310


2017-18 Academic Year

James Carson, University of Georgia

Sunk Costs and Screening: Two-Part Tariffs in Life Insurance
James Carson Vita
September 15, 2017 | 10:30 a.m. - noon in CoB 443


Peng Shi, University of Wisconsin

Paper: Pair Copula Constructions for Insurance Experience Rating
Peng Shi Vita
November 10, 2017 | 10:30 a.m. - noon in CoB 204


Ian Duncan, University of California Santa Barbara

Paper: Changing Healthcare: How can we Harness Predictive Analytics for Patients, Providers and Payers?
Ian Duncan Vita
February 16, 2018 | 10:30 a.m. - noon in CoB 204


Ambrose Lo, University of Iowa

Paper: Characterizations of optimal reinsurance treaties: A cost-benefit approach
Paper: A Neyman-Pearson perspective on optimal reinsurance with constraints
Paper: Pareto-optimal reinsurance policies in the presence of individual risk constraints
March 16, 2018 | 10:30 a.m. - noon in CoB 204


Emiliano Valdez, University of Connecticut

Paper: Joint Modeling of Customer Loyalty and Risk in Personal Insurance
April 20, 2018 | 10:30 a.m. - noon in CoB 211