Illinois State University Actuarial Research Seminar


The Actuarial Research Seminar at Illinois State University is held in the Fall 2015 semester on less regular basis.

Date
Speaker

Seminar subject

Friday, October 16, 2015, 2:00 -- 3:00 p.m.

Dr. Wei Wei

Department of Mathematics at the University of Wisconsin–Milwaukee

Ordering Gini indexes of multivariate elliptical risks.

 

 

 

 

This is the past Spring 2015 schedule:

Date
Speaker

Seminar subject

January 15, 2015 Dr. Nan Zhu

Organizational meeting.

February 12, 2015 Dr. Nan Zhu Lapse and reentry of variable annuities.
February 26, 2015 Mr. Abootaleb Shirvani Cyber insurance.
March 5, 2015 Mr. Adolph N. Okine Models and measures for correlation in cyber insurance.
April 2, 2015 Dr. Ranee Thiagarajah Actuarial framework for index based crop insurance.
April 16, 2015 Mr. Qi Cai Optimal insurance contract.
April 21, 2015, Stevenson Hall room 131, 10:00 a.m. -- 11:00 a.m. Ms. Yan Jin Earthquake time series analysis. Presentation of a submission to the Statistical Project Competition.
April 23, 2015 Mr. Didier Masweka Catastrophe bonds: Determinants of the spread.
April 30, 2015, Stevenson Hall room 212, 10:00 a.m. -- 11:00 a.m. Mr. Collin Philipps Whether to intervene: the Allee Effect in global terrorism data. Presentation of a submission to the Statistical Project Competition.
May 7, 2015, Stevenson Hall room 101, 4:00 p.m. -- 5:00 p.m. Ms. Li Shen, EM Lyon, France, Ph.D. candidate Optimal asset-liability management of insurers of variable annuities with guarantees.

 

 

 

 

 

 

 

 

 

 

 

 

This is the past Fall 2014 schedule:

Date
Speaker

Seminar subject

September 9, 2014 Dr. Nan Zhu

Organizational meeting.

Wednesday, September 24, 2014, 6:30 p.m. (note the unusual date and time), in State Farm Hall of Business room 357, see also: http://smartURL.it/ISUevents

Dr. Tia Sawnhey Working with data from the actuarial perspective.
October 7, 2014 Dr. Nan Zhu Hedging longevity risk in the life settlement market.
Monday, October 13, 2014, 1:30 p.m. (note the unusual date and time), in Stevenson Hall room 310 Mr. Brock Harrell Internship experience at Humana.
Monday, October 20, 2014, 2:00 p.m. (note the unusual date and time), in Stevenson Hall room 121 Dr. Lei Hua from Northern Illinois University Tail negative dependence and its applications for aggregate loss modeling. (see also here)
November 11, 2014 Mr. Matt Certa Working with actuarial data.
November 18, 2014 at 12:30 p.m. in STV 352 (note the unusual time and place) Mr. Adolph Okine Pricing crop insurance using Black-Scholes framework.

Friday, November 21, 2014 (note the unusual date), 10:30 a.m. in Stevenson Hall room 232

 

Dr. Runhuan Feng from University of Illinois at Urbana-Champaign Quantitative Risk Management of Variable Annuities Guaranteed Benefits: Opportunities and Challenges.
December 9, 2014, at 11 a.m. (note the unusual time) in Stevenson Hall room 401 Ms. Elizabeth Luft To be determined.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

This is the past Spring 2014 schedule:

Date
Speaker

Seminar subject

February 4, 2014 Dr. Krzysztof Ostaszewski

Organizational meeting.

March 4, 2014 Mr. Charles Johnson Social Security reform proposals.
March 18, 2014 Dr. Nan Zhu Informational asymmetry.
March 25, 2014 Christian Adufutse Variable annuity guarantees.

April 7, 2014

6 p.m., in Catepillar Auditorium in the State Farm Hall of Business

Professor Isaac Baidoo Building Actuarial Capacity in Ghana.

April 11, 2014

1 p.m., Stevenson Hall room 346

Professor Chunming Zhang of the University of Wisconsin at Madison Estimation of the error auto-correlation matrix in
semi-parametric model for brain fMRI data.

April 11, 2014

2 p.m., Stevenson Hall room 346

Professor Zhengjun Zhang of the University of Wisconsin at Madison A generalized beta copula with applications in modeling multivariate long-tailed data.
April 15, 2014 Mr. Trent Goughnour Time series forecasting using a hybrid ARIMA and neural network model.
April 22, 2014 Mr. Wasem Yaji Longevity risk and mechanisms to mitigate it.
April 29, 2014 Mr. Ronald Otoo To be determined.

 

 

 

 

 

 

 

 

 

 

 

 

 

This is the past Fall 2013 schedule:

 

Date
Speaker

Seminar subject

September 6, 2013 Dr. Krzysztof Ostaszewski

Organizational meeting.

September 13, 2013 Mr. Akwasi Sarpong Modeling the effects of fertility rate changes on pay-as-you-go pension system.
October 4, 2013 Ms. Xiaoying Zhou Pension system in China.
October 25, 2013 Ms. Phyllis Dere Pension system in Ghana.
November 1, 2013 Mr. Akwasi Sarpong Modeling the effects of fertility rate changes on pay-as-you-go pension system.
November 8, 2013: This seminar held at a different time 12:00-12:50 in STV 322A Dr. Michael Tsiappoutas Data mining methodologies.
November 15, 2013 Ms. Mollie Sloyan Health insurance and the demand for medical care evidence from a randomized experiment.
November 22, 2013 Mr. Jordan Smith

Class ratemaking for workers compensation: New developments in loss developments.

December 2 , 2013, Monday, this seminar held at a different time and date, 11:00 a.m. -- noon, in STV 229 Mr. Tyler Guzzino The value of health insurance: the access motive.

 

 

 

 

 

 

 

 

 

 

 

 

This is the past Spring 2013 schedule:

 

Date
Speaker

Seminar subject

April 5, 2013 Dr. Maochao Xu

Research presentation.

March 22, 2013 Mr. Trevor Grant Extreme value analysis.
March 8, 2013 Dr. Xiaofeng Shao from the University of Illinois at Urbana-Champaign Self-normalization.
March 1, 2013 Dr. Qihe Tang from the University of Iowa A Probabilistic Analysis of Chapter 7 and Chapter 11 of the U.S. Bankruptcy Code.
February 15, 2013 Dr. Nan Zhu Estimation of returns in secondary life insurance market.
January 25, 2013 Dr. Krzysztof Ostaszewski Organizational meeting.

 

 

 

 

 

 

 

 

This is the past Fall 2012 schedule:

Date
Speaker
Seminar subject
November 16, 2012 Dr. Maochao Xu Presentation on extreme value theory.
November 9, 2012 Ms. Xiaoying Zhou Presentation on optimal reinsurance.
November 2, 2012 Dr. Krzysztof Ostaszewski Presentation on modeling systemic risk.
October 12, 2012 Dr. Nan Zhu Presentation on longevity hedging.
August 31, 2012 Dr. Krzysztof Ostaszewski Organizational meeting.

 

 

 

 

 

 

 

Below is the past Spring 2012 schedule:

 

Date
Speaker
Seminar subject
April 20, 2012 Mr. Kyle Klein Value at Risk and Conditional Tail Expectation.
March 30, 2012 Ms. Carlos McReynolds Presentation on accounting manipulation by property-casualty companies.
Friday, February 24, 2012 Dr. Maochao Xu Presentation on excess wealth transform.
Friday, February 10, 2012 Mr. Benjamin Leifheit Optimal capital allocation principles.

 

 

 

 

 

 

 

This is the past Fall 2011 schedule:

 

Date
Speaker
Seminar subject
Friday, December 2, 2011 Dr. Fuxia Cheng Research presentation.
Friday, November 11, 2011 Mr. Carlos McReynolds Presentation on dynamic optimal pricing of insurance.
Friday, November 4, 2011 Ms. KerFuey Chang Presentation of the paper "The Devil is in the Tails: Actuarial mathematics and the subprime mortgage crisis," written by Catherine Donnelly and Paul Embrechts.
Friday, October 28, 2011 Mr. Jeffrey Hanschmann Presentation about new design of universal variable life insurance policy.
Friday, October 14, 2011 Dr. Maochao Xu Presentation "Modeling high-dimensional dependence with directed acyclic graphs."
Friday, September 16, 2011 Dr. Krzysztof Ostaszewski Presentation on Dodd-Frank Act.
Friday, September 9, 2011 Dr. Krzysztof Ostaszewski Organizational meeting.

 

 

 

 

 

 

 

 

 

 

 

 

This is the past Spring 2011 schedule:

Date
Speaker
Seminar subject
Friday, April 1, 2011 Dr. Fuxia Cheng Presentation on the paper "Nonparametric estimation of conditional VaR and expected shortfall," by
Zongwu Cai and Xian Wanga, Journal of Econometrics 147 (2008), pp. 120-130.
Friday, March 25, 2011 Dr. Maochao Xu Presentation of new research on capital allocation.
Friday, February 25, 2011 Mr. Jeffrey Hanschmann Presentation of the paper "Tail Conditional Expectations for Elliptical Distributions," written by Zinoviy M. Landsman and Emiliano A. Valdez.
Friday, February 11, 2011 Mr. Khoi Luu Presentation of the paper "Modelling and Measuring Business Risk" written by Klaus Boecker.
Friday, January 28, 2011 Dr. Krzysztof Ostaszewski Organizational meeting.

 

 

 

 

 

 

 

 

This is the past Fall 2010 schedule:

Date
Speaker
Seminar subject
Friday, November 19, 2010 Dr. Maochao Xu Presentation of a paper by Michel Denuit and Esther Frostig entitled "Heterogeneity and the need for capital in the individual model", published in 2006 in Scandinavian Actuarial Journal.
Friday, November 5, 2010 Mr. Jeffrey Hanschmann Presentation of a paper by Sebnem Kalemli-Ozcan and David N. Weil entitled "Mortality change, the uncertainty effect, and retirement", published in 2010 in Journal of Economic Growth.
Friday, October 29, 2010 Dr. Maochao Xu Presentation on current statistical research on shortfall models. Related papers are available here, and here.
Friday, October 8, 2010 Dr. Wei Hao Presentation on asset-liability models used in practice.
Friday, September 17, 2010 Dr. Wei Hao Organizational meeting.

 

 



 

 

 

 

 

 

 

This is the past Spring 2010 schedule:

Date
Speaker
Seminar subject
Friday, April 23, 2010 Ms. Vivian Tan Presentation on A Course on Finance of Insurance, by Massimo De Felice and Franco Moriconi.
Friday, March 26, 2010 Ms. Vivian Tan Presentation on A Course on Finance of Insurance, by Massimo De Felice and Franco Moriconi.
Friday, February 12, 2010 Ms. Vivian Tan Presentation on A Course on Finance of Insurance, by Massimo De Felice and Franco Moriconi.
Friday, January 29, 2010 Mr. Vladimir Kustov

Presentation on actuarial models for secondary market for life insurance.

 

 


 

 

 

 

 

This is the past Fall 2009 schedule:

Date
Speaker
Seminar subject
Friday, December 11, 2009 Dr. Jeungbo Shim

Presentation of "Measuring Economic Capital: Value at Risk, Expected Tail Loss and Copula Approach," article by Jeungbo Shim, Seung-Hwan Lee, and Richard MacMinn.

Friday, October 30, 2009 Dr. Wei Hao Life Economic Capital Calculation with an ERM flavor.
Friday, September 18, 2009 Dr. Tzuling Lin Presentation of Consumption, Population, and the Cross-Section of Stock Returns article by Tzuling Lin, Richard MacMinn, and Larry Tzeng.
Friday, September 4, 2009 Mr. Vladimir Kustov

Presentation on Allocation of Capital in the Insurance Industry article by J. David Cummins.

Friday, August 21, 2009 Dr. Krzysztof Ostaszewski Organizational meeting, short presentation on capital management for an insurance enterprise.