College of Liberal Arts & Sciences
Elias S Shiu
Professor of Statistics and Actuarial Science, College of Liberal Arts and Sciences
Contact Information
Primary Office: 362 Schaeffer Hall (SH)
319-335-2580
319-335-2580
Biography
Elias S. W. Shiu is Principal® Professor of Actuarial Science at the University of Iowa since 1992. He received a Ph.D. from the California Institute of Technology in 1975. From 1976 to 1991, he was a professor of actuarial science at the University of Manitoba and a consultant for the Great-West Life Assurance Company, Winnipeg, Canada. He is an Honorary Editor for the journal Insurance: Mathematics and Economics and was a Co-Editor for the North American Actuarial Journal. His paper “Option Pricing by Esscher Transforms” is the most cited paper ever published in the Transactions of the Society of Actuaries. Another paper, “On the Time Value of Ruin,” has been the theme of a biennial international meeting since 2006. Both papers were co-authored with Hans U. Gerber. His research papers have won four Halmstad Prizes. In June 2017, the University of Lausanne, Switzerland, awarded him an honorary doctorate in actuarial science. He is an Associate of the Society of Actuaries.
Education
- PhD in Mathematics, California Institute of Technology, 1975
- MSc in Mathematics, University of Manitoba, Canada, 1971
- BSc in Mathematics, University of Manitoba, Canada, 1971
Areas of Research Interest
- Actuarial Science
- Asset/Liability Management
- Mathematical Finance
Selected Courses Taught
- Life Contingencies I, ACTS:4180, Spring 2018
- Topics in Actuarial Science, ACTS:6160, Fall 2018
- Life Contingencies II, ACTS:4280, Fall 2018
- Mathematical Methods for Statistics, STAT:5120, Spring 2017
- Mathematics of Finance II, ACTS:4380, Spring 2015
Selected Publications
- Gerber, H. U., Shiu, E. S. & Yang, H. (2019). A Constraint-free Approach to Optimal Reinsurance. Scandinavian Actuarial Journal, 2019(1), 62-79. DOI: 10.1080/03461238.2018.1488272.
- Gerber, H. U., Shiu, E. S. & Yang, H. (2015). Geometric Stopping of a Random Walk and Its Applications to Valuing Equity-linked Death Benefits. Insurance: Mathematics and Economics, 64, 313–325. DOI: 10.1016/j.insmatheco.2015.06.006.
- Gerber, H. U., Shiu, E. S. & Yang, H. (2013). Valuing Equity-Linked Death Benefits in Jump Diffusion Models. Insurance: Mathematics and Economics, 53(3), 615-623. DOI: 10.1016/j.insmatheco.2013.08.010.
- Ko, B., Shiu, E. S. & Wei, L. (2010). Pricing Maturity Guarantee with Dynamic Withdrawal Benefit. Insurance: Mathematics and Economics, 47(2), 216-223. DOI: 10.1016/j.insmatheco.2010.04.006.
- Gerber, H. U., Shiu, E. S. (2005). The Time Value of Ruin in a Sparre Andersen Model. North American Actuarial Journal, 9(2), 49-69; Discussions 69-84 & 9(4), 131-136.
- Gerber, H. U., Shiu, E. S. (2004). Optimal Dividends: Analysis with Brownian Motion. North American Actuarial Journal, 8(1), 1-20.
- Gerber, H. U., Shiu, E. S. (2003). Pricing Perpetual Fund Protection with Withdrawal Option. North American Actuarial Journal, 7(2), 60-77; Discussions 77-92 & 8(1), 96-99.
- Gerber, H. U., Shiu, E. S. (2000). Investing for Retirement: Optimal Capital Growth and Dynamic Asset Allocation. North American Actuarial Journal, 4(2), 42-58; Discussions 58-62.
- Gerber, H. U., Shiu, E. S. (1996). Actuarial Bridges to Dynamic Hedging and Option Pricing. Insurance: Mathematics and Economics, 18(3), 183-218. DOI: 10.1016/0167-6687(96)85007-4.
- Gerber, H. U., Shiu, E. S. (1996). Martingale Approach to Pricing Perpetual American Options on Two Stocks. Mathematical Finance, 6(3), 303-322. DOI: 10.1111/j.1467-9965.1996.tb00118.x.
Selected Presentations
- Shiu, E. S. (2015, December) "Valuing Equity-Linked Death Benefits in Jump-Diffusion Models". Invited Lecture presented at The AMSS-Poly U Joint Research Institute Distinguished Lecture Series, Hong Kong Polytechnic University, Hong Kong, China.
- Shiu, E. S. (2013, September) "Option Pricing Without Tears: Valuing Equity-Linked Death Benefits". Invited Lecture presented at The Annual Ronald H. and Mary E. Simon Actuarial Science Lecture Series, Michigan State University, East Lansing, Michigan.
- Shiu, E. S. (2006, July) “On Redington’s Theory of Immunization”. Keynote/Plenary Address presented at Tenth International Congress on Insurance: Mathematics and Economics, Katholieke Universiteit Leuven, Leuven, Belgium.
- Shiu, E. S. (2005, September) “Dynamic Fund Protection”. Keynote/Plenary Address presented at ASTIN - AFIR Joint Meeting, ETH, Zürich, Switzerland.
Selected Grants and Contracts
- Chan, Kung-Sik (Principal Investigator), Chen, Yiqing (Principal Investigator), Lo, Ambrose (Principal Investigator), Shiu, Elias (Principal Investigator), Tang, Qihe (Principal Investigator) Grant Research, Applied. Modeling, Measuring, and Managing Catastrophe Risks. Sponsored by Society of Actuaries. Funded. June 1, 2018 - May 31, 2021.
- Lo, Ambrose (Principal Investigator), Shiu, Elias S (Principal Investigator), Shyamalkumar, N.D. (Principal Investigator), Tang, Qihe (Principal Investigator) Grant Research, Applied. A Multi-faceted Study of Risk Management for Insurance. Sponsored by Society of Actuaries. Funded. April 1, 2013 - April 30, 2016.
Last Modified Date: March 23, 2020