Jessica Ou Dang (research student) presented “Green Nested Simulation of Variable Annuities” at the 2020 Society of Actuaries Actuarial Research Conference (online), August 10-12 2020.
Johnny Li (team member) presented “An Efficient Method for Mitigating Longevity Value-at-Risk” in an invited seminar at the University of New South Wales, Sydney, Australia, March 13, 2020.
Ben Feng (team member) presented “Optimal Nested Simulation Design via the Likelihood Ratio Method” in an invited departmental seminar at Pennsylvania State University, February 13-15 2020.
Ben Feng (team member) presented “Efficient Nested Simulation of Tail Risk Measures” and “Efficient Input Uncertainty Quantification via Green Simulation Using Sample Path Likelihood Ratios” at Winter Simulation Conference 2019, National Harbor, Maryland, December 8-11 2019.
Johnny Li (team member) and Kenneth Zhou won the Redington Prize from the Investment Section of the Society of Actuaries in 2019 for his paper “Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis from Technical and Economic Perspectives.” The award was presented in the 2019 SOA Annual Meeting (October 27-30 2019, Toronto).
Ben Feng (team member) presented “Efficient Input Uncertainty Quantification Via Green Simulation Using Sample Path Likelihood Ratios”, “Uniform Convergence of Sample Average Approximation with Adaptive Multiple Importance Sampling”, and “Green Simulation Optimization Using Likelihood Ratio Estimators” at INFORMS Annual Meeting, Seattle, WA, October 20-23 2019.
Johnny Li (team member) presented “The Heat Wave Model for Constructing Two-Dimensional Mortality Improvement Scales with Measures of Uncertainty” in , Canberra, Australia, August 16, 2019.
Chengguo Weng (team member) presented “DSA algorithms for mortality forecasting” at the 4th ICSA – Canada Chapter Symposium, Kingston, Canada, August 11 2019.
David Saunders (team member) presented “Designing Pension Plans for Fairness, Sustainability, and Transparency” at the National Pension Hub Research Day, organized by National Pension Hub of the Global Risk Institute, Toronto, Canada, July 2019.
David Saunders (team member) presented “Intergenerational Risk-Sharing Plans: Optimality and Fairness” at the International Congress on Insurance: Mathematics and Economics, Munich, Germany, July 2019.