CIM PROGRAMS AND ACTIVITIES

April 18, 2014

PRMIA Risk Management Seminars 2006-07

Launched in Spring 2004 the PRMIA Risk Management seminar presents talks on issues of current interest to both professionals and academics in the fields of risk mananagement. PRMIA is an international association of professional risk managers. The seminar series is co-sponsered by the Toronto chapter of PRMIA and by the Fields Insitute. Talks cover a broad range of topics, not necessarily restricted to research in mathematical finance, the topic of the longstanding and complementary Quantitative Finance seminar series.
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PRMIA SEMINARS Audio and Slides

June 20, 2007

Stuart F. Wason, Senior Actuary, Assuris
Alignment between risk and capital management in the Insurance industry

The insurance industry is rapidly nearing a nexus point among several global developments including the rapid growth of risk management, the proliferation of advanced modeling, convergence toward the use of market based value measures and convergence in regulatory capital standards for financial institutions. This talk discusses the rewards and challenges of
these developments for the insurance industry and its key stakeholders.


Stuart Wason is Senior Actuary, Assuris, a not for profit corporation, funded by the Canadian life and health insurance industry, that protects Canadian policyholders against loss of benefits due to the financial failure of a member company. Mr. Wasons' role at Assuris is to promote evolving concepts of solvency assessment for insurance companies and add his expertise to Assuris's detection and intervention initiatives.

Mr. Wason has over 30 years of actuarial, financial reporting and insurance company management experience. Prior to joining Assuris, Mr. Wason established his own company specializing in risk management and actuarial consulting. He is a former Director of Mercer Oliver Wyman. He has been active as an advisor on enterprise risk management, the Appointed Actuary for several life insurers, the valuation actuary for the liquidator of two life insurers, the Independent Actuary in the purchase/sale of several blocks of life insurance business, the Independent Actuary in the demutualization of Mutual Life, the peer reviewer of the valuation of life insurers, and an actuary responsible for preparing appraisals of life insurers.

Mr. Wason has been actively involved in the work of the actuarial profession. He currently chairs the Solvency Sub-Committee of the International Actuarial Association (IAA). Recently he has been a member of the Executive of the IAA as well as the Board of Governors of the Society of Actuaries. He led an IAA Working Party which produced a book in 2004 entitled "A Global Framework for Insurer Solvency Assessment" as a means to promote discussion within the insurance industry on this important topic. Mr. Wason is also a Past President of the Canadian Institute of Actuaries (1999-2000). He is a frequent speaker at international insurance and actuarial conferences on the topics of risk management and solvency frameworks.


April 4, 2007, 5:30 p.m. - held at the Fields Institute

Andrew Kalotay, Andrew Kalotay Associates
Where is the Option? Recent Developments in Prepayment Modeling
Traditional MBS prepayment models are based on historical prepayments, rather than sound financial principles. The predictable result is an endless stream of "new and improved" releases. One noteworthy deficiency of traditional models is the absence of "mortgagor intelligence". They cannot describe how market factors such as lower transaction costs or higher interest rate volatility would affect prepayment behavior. Another problem is the low processing speed - at most a few hundred valuations per minute.

I will discuss an alternative approach: a true option-based model using the concept of optimal refinancing. This provides a convenient reference point to describe "leaper" and "laggard" behavior. The model is calibrated to the market prices of liquid securities. Empirical results indicate that it is remarkably robust and accurate. Since the model is amenable to recursive valuation, the processing speed - 10,000 valuations per minute - makes it ideal for risk management applications.


Andrew Kalotay, president of Andrew Kalotay Associates, is a leading authority on debt management. He has written widely on the valuation of bonds, interest rate derivatives, and mortgage-backed securities. His innovations include refunding efficiency (a widely used tool for managing callable debt), the Ratchet Bond (a surrogate for conventional callable bonds), and the Volatility Reduction Measure (for testing hedge effectiveness).

Before founding AKA in 1990, Dr. Kalotay was with Salomon Brothers in the Bond Portfolio Analysis Group. Prior to that he was at Bell Laboratories and AT&T.

On the academic side, he directed the first Financial Engineering program at Polytechnic University in 1995. Previously he taught at Wharton, Columbia and Fordham University. Apart from his academic publications in finance, operations research and statistics, he writes the "Topics in Fixed Income" column in Financial Engineering News.

Dr. Kalotay holds a B.Sc. and M.Sc. from Queen's University and a Ph.D. from the University of Toronto, all in mathematics. In 1997 he was inducted into the Fixed Income Analyst Society's "Hall of Fame".

September 12, 2006, 5:45 p.m. - held at the Fields Institute

Featuring: Professor Rudi Zagst, RiskLab Germany and Technical University of Munich
Pricing Credit Derivatives

Professor Dr. Rudi Zagst studied business mathematics at the University of Ulm. After his dissertation in the field of stochastic dynamic optimization, he started his professional career at the HypoVereinsbank AG. There, he worked as Head of Product Development in the Institutional Investment Management before transferring to Allfonds International Asset Management GmbH as Head of Consulting and finally becoming Managing Director of the RiskLab GmbH - Private Research Institute for Financial Studies in 1997.

Since 1992 Professor Zagst has held various teaching positions at the Universities of Ulm, St. Gallen Augsburg, Munich and Singapore. After his qualification as a university lecturer at the University of Ulm in 2000, Rudi Zagst was appointed a Professor of Mathematical Finance at the Munich University of Technology in 2001 and has been the Director of the Center of Mathematics and Head of the Institute for Mathematical Finance there since 2002. Prof. Zagst was also appointed a member of theFaculty for Economics as well as the President of risklab germany in 2003. In 2004 Prof. Zagst was appointed Deputy Chairman of the joint Elite graduate program “Finance & Information Management” of the Augsburg University and the Munich University of Technology and has also been a member of the steering committee of the Munich Chapter of the Professional Risk Managers’ International Association (PRMIA) since 2004 as well as a member of the PRMIA Academic Advisory Committee
since 2005.

The main focus of his research lies in the areas of financial engineering and risk and asset management.

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