Professor Jun Cai wins the prestigious Bob Alting von Geusau Prize

Wednesday, June 23, 2021

Jun Cai (Statistics and Actuarial Science, Waterloo) and his co-author Tiantian Mao (currently at University of Science and Tech


Professor Jun Cai (Statistics and Actuarial Science, Waterloo) and his co-author Dr. Tiantian Mao (former postdoc in Statistics and Actuarial Science,  Waterloo, currently Associate Professor at the University of Science and Technology of China) have been awarded the International Actuarial Association’s Bob Alting von Geusau Prize for 2020 for their paper titled "Risk Measures Derived From a Regulator’s Perspective on the Regulatory Capital Requirements for Insurers" published in ASTIN Bulletin. 

The paper proposes new risk measures from a regulator’s perspective on the regulatory capital requirements. The new risk measures not only generalize the existing, well-known risk measures in the literature, including the Dutch, Tail Value-at-Risk (TVaR), and expectile measures, but also provide new approaches to generate feasible and practical coherent risk measures. These new risk measures emphasize the control of downside risks and are particularly useful for agents who face serious downside risks. 

The Bob Alting von Geusau Prize, sponsored by the Actuarial Approach for Financial Risks (AFIR-ERM) Section of the International Actuarial Association(IAA), is presented annually for the best article published in ASTIN Bulletin with a Financial Risk or Enterprise Risk Management focus. The prize comes with 5,000 Canadian Dollars and an invitation to present the paper at the AFIR-ERM colloquium next year.

To learn more about the Bob Alting von Geusau Prize or the AFIR-ERM, visit the IAA website.

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