Snell Seminar Series

Snell Actuarial Science and Risk Management Seminar Series

2019-20 Academic Year

Cary Chi-Liang Tsai, Simon Fraser University

"A Bayesian Approach to Modeling Mortality Rates"
"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

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