Illinois State University Actuarial Research Seminar


The Actuarial Research Seminar at Illinois State University is held in the Fall 2013 semester on Tuesdays, 9:45 a.m. in Stevenson Hall room 131. Everyone is welcome to attend. Anyone interested in making a presentation or receiving information should send an e-mail to: actuary@IllinoisState.edu. Announcements of upcoming seminars are posted at this web site.

This is the current 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 Christian Adufutse Variable annuity guarantees.
March 25, 2014 Dr. Nan Zhu Informational asymmetry.
April 8, 2014 Dr. Ranee Thiagarajah To be determined.
April 15, 2014

Dr. Maochao Xu's graduate student

To be determined.
April 22, 2014 Mr. Hasan Cheema Data mnining.
April 29, 2014 Dr. Maochao Xu Extreme value theory.

 

 

 

 

 

 

 

 

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.

 

 

 

 

 

 

 

 

Below 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 transfrom.
Friday, February 10, 2012 Mr. Benjamin Leifheit Optimal capital allocation principles.

 

 

 

 

 

 

 

Below 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.

 

 

 

 

 

 

 

 

 

 

 

Below 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.

 

 

 

 

 

 

 

 

 

Below 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.

 



 

 

 

 

 

 

 

Below 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.

 


 

 

 

 

 

Below 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.