June 20, 2024

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)
• Kristen Moore (University of Michigan)
• David Promislow (York University)
• Tom Salisbury (York University) – Contact


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)


Sunday November 9
Registration and coffee
10:00-10:55 Steven Haberman, Cass Business School, London
The Lee-Carter Mortality Model for Mortality Dynamics: Recent Devlopments

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

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