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CIM PROGRAMS AND ACTIVITIES |
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October 4, 2024 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
OverviewTalks 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 SpeakersSid Browne ( NY)S. Haberman (UK) Ragnar Norberg (LSE) Shige Peng (Shandong) Invited Speakers
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Erhan Bayraktar (Michigan) Sheldon Lin (Toronto) Mike Ludkovski (Santa Barbara) Manuel Morales (Montreal) A. Olivieri (Italy) Gordon Willmot (Waterloo) |
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 |
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 |
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 |
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 |