Centers of Actuarial Excellence (CAE) Research Grants

NEWSOA

 

Modeling, Measuring, and Managing Catastrophe Risks

University of Iowa and Drake University (June 1, 2018 -- May 31, 2021)

Year 1: June 1, 2018 -- May 31, 2019

Principal Investigators: Kung-Sik Chan, Yiqing Chen, Ambrose Lo, Elias Shiu, and Qihe Tang

Annual Report

Publications:

  • Chen, Y. Comment on the work of Zhang et al. (2017). Submitted.
  • Chen, Y. Precise large deviations of aggregate claims with an arbitrary dependence between claim sizes and their interarrival times. Submitted.
  • Chen, Y.; Yang, Y. Bivariate regular variation among randomly weighted sums in general insurance. European Actuarial Journal (2019), in press. [PDF]
  • Cheung, K.C.; Chong W.F.; Lo, A. Budget-constrained optimal reinsurance design under coherent risk measures. Scandinavian Actuarial Journal (2019), in press.
  • Cheung, K.C.; Ling, H.K.; Tang, Q.; Yam, S.C.P.; Yuen, F.L. On cardinality of tail comonotonic risks. Submitted.
  • Gerber, H. U.; Shiu, E. S. W.; Yang, H. A constraint-free approach to optimal reinsurance. Scandinavian Actuarial Journal 2019 (2019), 62–79. [PDF]
  • Li, H.; Tang, Q. Analyzing mortality bond indexes via hierarchical forecast reconciliation. Revised and resubmitted.
  • Lo, A. Demystifying the integrated tail probability expectation formula. The American Statistician (2018), in press. [PDF]
  • Lo, A.; Tang, Q.; Tang, Z. Universally marketable insurance in a multivariate mixture model. Working paper.
  • Lo, A.; Tang, Z. Pareto-optimal reinsurance policies in the presence of individual risk constraints. Annals of Operations Research 274 (2019), no. 1–2, 395–423. [PDF]
  • Tang, Q.; Tang, Z.; Yang, Y. Sharp asymptotics for large portfolio losses under extreme risks. European Journal of Operational Research 276 (2019), no. 2, 710–722. [PDF]
  • Tang, Q.; Yang, Y. Interplay of insurance and financial risks in a stochastic environment. Scandinavian Actuarial Journal (2019), in press. [PDF]

Talks:

During the grant period we have presented our results in the following conferences and workshops; financial support of the research grant facilitated our participation in these events.

  • Yiqing Chen: “Bivariate regular variation among randomly weighted sums in general insurance,” The 4th International Workshop on Statistical Modeling of Heavy-Tail Phenomena with Applications, Suzhou, China, June 1–4, 2018
  • Yiqing Chen: “Bivariate regular variation among randomly weighted sums in general insurance,” The 22nd International Congress on Insurance: Mathematics and Economics (IME), UNSW Sydney, Sydney, Australia, July 15–18, 2018
  • Yiqing Chen: “Bivariate regular variation among randomly weighted sums in general insurance,” Colloquium at Center for Applied Mathematics, University of St. Thomas, September 14, 2018
  • Ambrose Lo: “Constrained and Unconstrained Optimal Reinsurance,” The 2nd International Workshop on Optimal (Re)Insurance, Central University of Finance and Economics, Beijing, China, July 12–14, 2018
  • Ambrose Lo: “Universally Marketable Insurance in the Presence of Multiple Risks,” The 22nd International Congress on Insurance: Mathematics and Economics (IME), UNSW Sydney, Sydney, Australia, July 15–18, 2018
  • Qihe Tang: “Sharp approximations for credit portfolio losses under extreme risks” at The 4th International Workshop on Statistical Modeling of Heavy-Tail Phenomena with Applications, Xi’an Jiaotong-Liverpool University, Suzhou, China, June 1–4, 2018
  • Qihe Tang: “Interplay of insurance and financial risks,” the International Workshop on Risks in Insurance and Finance, Northwest Normal University, Lanzhou, China, June 7–9, 2018
  • Qihe Tang: “Interplay of insurance and financial risks,” The 7th International Gerber–Shiu Workshop, University of Melbourne, Melbourne, Australia, July 10–11, 2018
  • Qihe Tang: “Sharp asymptotics for large portfolio losses under extreme risks” at the Actuarial and Financial Mathematics Conference on Interplay between Finance and Insurance, Brussels, Belgium, February 7–8, 2019
  • Graduate student Haibo Liu: “Indifference Pricing Of Bonds Linked to Actuarial and Interest Rate Risks,” The 22nd International Congress on Insurance: Mathematics and Economics (IME), UNSW Sydney, Sydney, Australia, July 15–18, 2018
  • Graduate student Zhaofeng Tang: “Large portfolio losses from defaults,” The 7th International Gerber–Shiu Workshop, University of Melbourne, Melbourne, Australia, July 10-11, 2018
  • Graduate student Zhaofeng Tang: “Large portfolio losses from defaults,” The 22nd International Congress on Insurance: Mathematics and Economics (IME), UNSW Sydney, Sydney, Australia, July 15–18, 2018

 


A Multifaceted Study of Risk Management for Insurance

University of Iowa (April 15, 2013 -- April 14, 2016)

Year 1: April 15, 2013 -- April 14, 2014

Investigators: Elias Shiu, N. D. Shyamalkumar, and Qihe Tang

Annual Report

Year 2: April 15, 2014 -- April 14, 2015

Investigators: Elias Shiu, N. D. Shyamalkumar, and Qihe Tang

Annual Report

Year 3: April 15, 2015 -- April 14, 2016

Investigators: Ambrose Lo, Elias Shiu, N. D. Shyamalkumar, and Qihe Tang

Annual Report

Publications:

  • Cheung, K. C.; Dhaene, J.; Lo, A.; Tang, Q. Reducing risk by merging counter-monotonic risks. Insurance: Mathematics and Economics 54 (2014), 58–65. [PDF]
  • Cheung, K. C.; Lo, A. Characterizations of optimal reinsurance treaties - a cost-benefit approach. Scandinavian Actuarial Journal 2017 (2017), no. 1, 1–28. [PDF]
  • Gerber, H. U.; Shiu, E. S. W.; Yang, H. Valuing equity-linked death benefits and other contingent options: a discounted density approach. Insurance: Mathematics and Economics 51 (2012), 73–92. [PDF]
  • Gerber, H. U.; Shiu, E. S. W.; Yang, H. Valuing equity-linked death benefits in jump diffusion models. Insurance: Mathematics and Economics 53 (2013), 615–623. [PDF]
  • Gerber, H. U.; Shiu, E. S. W.; Yang, H. Geometric stopping of a random walk and its applications to valuing equity-linked death benefits. Insurance: Mathematics and Economics 64 (2015), 313–325. [PDF]
  • He, J.; Tang, Q.; Zhang, H. Risk reducers in convex order. Insurance: Mathematics and Economics 70 (2016), 80–88. [PDF]
  • Li, B.; Tang, Q.; Wang, L.; Zhou, X. Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code. Journal of Financial Engineering 1 (2014), 1450023 (19 pages). [PDF]
  • Li, J.; Tang, Q. Interplay of insurance and financial risks in a discrete-time model with strongly regular variation. Bernoulli 21 (2015), 1800--1823. [PDF]
  • Lo, A. A Neyman-Pearson perspective on optimal reinsurance with constraints. ASTIN Bulletin - The Journal of the International Actuarial Association 47 (2017), no. 2, 467–499. [PDF]
  • Lo, A. A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints. Scandinavian Actuarial Journal 2017 (2017), no. 7, 584–605. [PDF]
  • Lo, A. Functional generalizations of Hoeffding's covariance lemma and a formula for Kendall's tau. Statistics and Probability Letters 122 (2017), 218–226. [PDF]
  • Shi, X.; Tang, Q.; Yuan, Z. A limit distribution of credit portfolio losses with low default probabilities. Insurance: Mathematics and Economics 73 (2017), 156–167. [PDF]
  • Tang, Q.; Yang, F. Extreme value analysis of the Haezendonck–Goovaerts risk measure with a general Young function. Insurance: Mathematics and Economics 59 (2014), 311–320. [PDF]
  • Tang, Q.; Yuan, Z. Randomly weighted sums of subexponential random variables with application to capital allocation. Extremes 17 (2014), 467–493. [PDF]
  • Wang, X. Discussion on "Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty." North American Actuarial Journal 20 (2016), 88–93. [PDF]
  • Wang, X. On Pricing Barrier Options and Exotic Variations. University of Iowa Ph.D. thesis (2018). [PDF]
  • Zhou, Z. From valuing equity-linked death benefits to pricing American options. University of Iowa Ph.D. thesis (2017). [PDF]

Talks:

During the grant period we have presented our results in the following conferences; financial support of the grant facilitated our participation in these events.

  • Ambrose Lo: “On Hoeffding's Covariance Lemma: Its Functional Generalizations and Applications,” the 19th International Congress on Insurance: Mathematics and Economics (IME), University of Liverpool, Liverpool, UK, June 24–26, 2015
  • Ambrose Lo: “Characterizations of Optimal Reinsurance Treaties: A Cost-benefit Approach,” the 50th Actuarial Research Conference (ARC), University of Toronto, Toronto, Canada, August 5–8, 2015
  • Elias Shiu: “Option pricing without tears: valuing equity-linked death benefits, the 17th International Congress on Insurance: Mathematics and Economics, University of Copenhagen, Copenhagen, Denmark, July 1–3, 2013
  • Elias Shiu: “Option pricing without tears: valuing equity-linked death benefits,” the 48th Actuarial Research Conference (ARC), Temple University, Philadelphia, Pennsylvania, USA, August 1–3, 2013
  • Elias Shiu: “Valuing Equity-Linked Death Benefits in Jump-Diffusion Models,” the 18th International Congress on Insurance: Mathematics and Economics (IME), East China Normal University, Shanghai, China, July 10–12, 2014
  • Elias Shiu: “Actuarial Approach to Pricing Barrier Options,” the 50th Actuarial Research Conference (ARC), University of Toronto, Toronto, Canada, August 5–8, 2015
  • Qihe Tang: “Asymptotic Expressions for the Haezendonck–Goovaerts Risk Measure with General Young Function,” the 17th International Congress on Insurance: Mathematics and Economics, University of Copenhagen, Copenhagen, Denmark, July 1–3, 2013
  • Qihe Tang: “Interplay of Insurance and Financial Risks in a Discrete-time Model with Strong Regular Variation,” the 48th Actuarial Research Conference (ARC), Temple University, Philadelphia, Pennsylvania, USA, August 1–3, 2013
  • Qihe Tang: “Extreme Risks in Insurance and Finance,” the 18th International Congress on Insurance: Mathematics and Economics (IME), East China Normal University, Shanghai, China, July 10–12, 2014
  • Qihe Tang: “Losses Given Default in the Presence of Extreme Risks,” the 19th International Congress on Insurance: Mathematics and Economics (IME), University of Liverpool, Liverpool, UK, June 24–26, 2015
  • Qihe Tang: “Reducing Risk in Convex Order,” the 50th Actuarial Research Conference (ARC), University of Toronto, Toronto, Canada, August 5–8, 2015
  • Graduate student Xiao Wang: “Valuing Guaranteed Minimum Death Benefits in Variable Annuities Knock-out Options,” the 49th Actuarial Research Conference (ARC), University of California, Santa Barbara, USA, July 13–16, 2014
  • Graduate student Huan Zhang: “Risk Reducers in Convex Order,” the 48th Actuarial Research Conference (ARC), Temple University, Philadelphia, Pennsylvania, USA, August 1–3, 2013
  • Graduate student Huan Zhang: “Risk Reducers in Convex Order,” the 18th International Congress on Insurance: Mathematics and Economics (IME), East China Normal University, Shanghai, China, July 10–12, 2014
  • Graduate student Huan Zhang: “EVT Approach to Portfolio Selection for Insurance,” the 50th Actuarial Research Conference (ARC), University of Toronto, Toronto, Canada, August 5–8, 2015
  • Graduate student Zhenhao Zhou: “Valuing Equity-linked Death Benefits,” the 49th Actuarial Research Conference (ARC), University of California, Santa Barbara, USA, July 13–16, 2014

MATLAB functions:

  • Zhenhao Zhou:  Approximating a life table by linear combinations of exponential distributions and valuing life-contingent options [PDF, MATLAB