FINANCIAL MATHEMATICS ACTIVITIES

October 31, 2014

Workshop on Options in Financial Products: Approaches to Valuation
Friday, December 8, 2000

OVERVIEW

The basic theme of this workshop is to explore the valuation of options in financial products (e.g. catastrophic reinsurance, variable annuities, segregated funds, etc.) in situations where the traditional no-arbitrage approach may need to be augmented by other techniques such as economic equilibrium arguments or actuarial modelling.

ORGANIZERS

Phelim Boyle
Peter Forsyth
George Labahn
Kenneth Vetzal
Ken Seng Tan

SCHEDULE AND PAPERS

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"