Ken Seng Tan visited School of Insurance, Wuhan University in China and gave a seminar on “Mortality-linked Securities: Pricing and Applications".
Johnny Li was invited to speak at 2016 Seoul-Tokyo-Stanford Workshop on Financial Statistics and Risk Management, Seoul, Korea. Title of his presentation was “Standardizing the Giant: Mitigating Longevity Risk in China through Capital Markets Solutions"
David Saunders visited Carnegie Mellon University and presented “Mathematical Analysis of Shared-Loss Fee Structures for Hedge Funds" at the Probability/Mathematical Finance Seminar.
Phelim Boyle was invited to speak at the Fields Institute, Toronto, Canada. The title of his presentation was “Long only portfolios and the Perron Frobenius theorem".
CAE co-hosted “The 4th Workshop on Insurance Mathematics with a Special Session on Longevity and Pension Risks”, which was held at the University of Waterloo on Feb 5-6. Invited speakers include B. Jones (University of Western), H. Chen (Temple University), Y. Lai (Wilfrid Laurier University), T. Kleinow (Heriot-Watt University) Y. Lin (University of Nebraska-Lincoln).
David Saunders presented “Here be Options: Insights on Hybrid Pensions from Mathematical Finance" at the MMF Symposium, Blue Mountain, Canada.
Phelim Boyle visited Fordham University, New York, USA, and presented a research seminar on “Short Positions in PCA Portfolios".
Two graduate students will present their recent work at the 11th International Longevity Risk and Capital Markets Solutions Conference to be held in Paris on September 7-8, 2015. Y. Liu will speak on “It's All in the Hidden States: A Hedging Method with an Explicit Measure of Population Basis Risk” and K. Zhou will present “On Discrete-Time Greek Hedging of Longevity Risk”
Graduate students supported by the CAE grant will be presenting at the 50-th Actuarial Research Conference to be Toronto on August 5-8 2015:
Professor Bernard presented "A new Approach to Assessing Model Risk in High Dimensions" at the World Risk and Insurance Economics Congress, Munich in August 2015.