Quantitative Risk Management of Variable Annuities Guaranteed Benefits: Opportunities and Challenges
主 题: Quantitative Risk Management of Variable Annuities Guaranteed Benefits: Opportunities and Challenges
报告人: Prof. Runhuan Feng (University of Illinois at Urbana-Champaign)
时 间: 2014-12-29 14:00-15:00
地 点: 理科一号楼1560（主持人：杨静平）
With the increasingly fierce competition in the financial market in the past decade, the life insurance industry in North America has experienced tremendous revolutionary development with the introduction of investment guarantees. As a consequence, the quantitative risk management of investment guarantees is a relatively new territory of research that calls for new techniques that go beyond the traditional actuarial toolkit. In this talk, we will present some common types of guaranteed benefits and show several mathematical models to quantify and formulate the risk management problems. We will also demonstrate that various techniques drawn from computational finance and applied probability literature offer possible solutions for the computation of risk measures.
报告人介绍： 请见Homepage: www.math.uiuc.edu/~rfeng
