News

PhD student Danqiao Guo presented “Improved Global Minimum Variance Portfolio via Tail Eigenvalues Amplification” at SIAM-LMS Conference on Mathematical Modeling in Finance 2017, Imperial College, London, UK

Chengguo Weng was invited to speak at the 3rd ICSA - Canada Chapter Symposium which was held in Vancouver, Canada. The title of his presentation was “Regression tree credibility model”

CAE researchers and students disseminated their works at the 2017 Actuarial Research Conference, Atlanta, USA.

• Phelim Boyle presented “short positions and negative correlations”
• Chengguo Weng presented “Regression tree credibility model”
• PhD student Jingong Zhang delivered “Optimal Longevity Hedge with Basis Risk”
• PhD student Zhiyi Shen presented “Pricing Bonds and Bang-bang Analysis of the Polaris Variable Annuities”. Zhiyi’s presentation received “Honorable Mention”

Phelim presented “Short Positions and Negative Correlations” at the University of Waterloo Faculty of Mathematics 50^th Birthday Celebration

Chengguo Weng visited the following Chinese universities and gave a seminar on “Improved Global Minimum Variance Portfolio via Tail Eigenvalues Amplification”

• June 24, 2017. School of Mathematics, Zhejiang University, Hangzhou
• June 27, 2017. China Institute for Actuarial Science, Central University of Finance and Economics, Beijing.
• July 6, 2017. School of Mathematics and Statistics, Northeast Normal University, Changchun.

David Saunders presented  “Optimal Investment Strategies for Participating Contracts using the Martingale Method" at the 21st International Congress on Insurance: Mathematics and Economics, Vienna

Johnny Li gave a keynote address at the 2017 Insurance Risk and Finance Research Conference, Singapore. The title of his presentation was “Longevity Greeks: What Insurers and Capital Market Investors Should Know About”.

David Saunders gave an invited talk on “Application of the Martingale Approach to Stochastic Control to Performance Ratio Maximization” at the “TIANFU International Conference on Partial Differential Equations”, which was held by the Southwestern University of Finance and Economic in Chengdu, China

Three PhD supported by CAE grants presented their works at the 2017 Annual Meeting of Canadian Statistical Society, Winnipeg, Canada. Hongcan Lin delivered an oral presentation entitled "Optimal Investment Strategies for Participating Contracts", Danqiao Guo presented "Improved Global Minimum Variance Portfolio via a Dominant Eigenvalue Shrinkage", and Lichen Chen presented “Empirical Likelihood Multiscale Inference of the Scaling Property of Time Series Models”

PhD student Xiaobai (Mike) Zhu presented “Valuation of Bermudan-DB-Underpin Option” at the PBSS/IACA Colloquium, Cancun, Mexico. The paper received the “Best Theoretical Paper” at the Colloquium