|
FINANCIAL MATHEMATICS ACTIVITIES |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
October 3, 2024 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Workshop on Options in Financial Products: Approaches to Valuation
|
9:00 - 9:10 |
D. Dougherty (Royal Bank),
|
Opening Remarks
|
|
9:10 - 10:10 |
D. Cummins (Wharton),
|
"Pricing Excess-of-Loss Reinsurance ContractsAgainst
Catastrophic Loss" (PowerPoint)
(pdf)
|
|
10:10 - 10:30 |
Coffee break
|
10:30 - 11:10 |
M. le Roux (SunLife),
|
11:10 - 11:50 |
M. Milevsky (York),
|
1:00 - 2:00 |
Lunch
|
1:00 - 2:00 |
D. Li (AXA Financial, New York),
|
2:00 - 2:40 | H. Windcliff (Waterloo), |
"A no-arbitrage approach to segregated fund guarantees" | |
2:40 - 3:00 | Coffee break |
3:00 - 3:40 | A. Brender (OSFI), |
"Liability and capital requirements for segregated funds" | |
3:40 - 4:20 |
A. Kolkiewicz (Waterloo),
|
"Valuation and hedging of long-term derivative securities" |