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Presenters | Australasian Actuarial Education and Research Symposium

Day One – Monday, December 7

Presenter

Presentation Title

Scheduled Session

Time

Shang Wu

Optimal portfolio choice with health contingent income products: The value of life care annuities

Plenary Session 1, Parallel 1

10:45am -11.15am

Nikolay Gudkov

Valuation of Guaranteed Minimum Withdrawal Benefits in Variable Annuities under Stochastic Mortality, Stochastic Volatility and Stochastic Interest Rates

Plenary Session 1, Parallel 1

11.15am -11.40am

Andrew Song 

Pricing and Hedging of Guaranteed Minimum Benefits in Variable Annuities

Plenary Session 1, Parallel 1

11.40am -12.05pm

Jonathan Ziveyi

Valuation of Guaranteed Minimum Maturity Benefits in variable annuities with surrender options

Plenary Session 1, Parallel 1

12.05pm -12.30pm

Jaroslaw Majtyka

Fragmentation and Consolidation of Dark and Lit Order Books

Plenary Session 1, Parallel 2

10:45am -11.15am

Nick Inglis

Beyond Momentum:  Investigating statistical learning for winners-minus-losers anomalies

Plenary Session 1, Parallel 2

11.15am -11.40am

David Bell

Value, Momentum and Multi-Period Portfolio Construction

Plenary Session 1, Parallel 2

11.40am -12.05pm

Vincent Tu

On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs

Plenary Session 1, Parallel 2

12.05pm -12.30pm

Can Jin

On the moments and distribution of the durations of the surplus process below or above a certain level prior to ruin

Plenary Session 2, Parallel 1

1.30pm -2.00pm

Andrés M. Villegas

StMoMo: An R Package for Stochastic Mortality Modelling

Plenary Session 2, Parallel 1

2.00pm -2.25pm

Michael Sherris

Data Analytics in Actuarial Education and Research

Plenary Session 2, Parallel 1

2.25pm -2.50pm

Dr Adrian Gepp

Detecting fraud in corporate financial statements using trees and forests

Plenary Session 2, Parallel 1

2.50pm -3.15pm

Fei Huang

Mortality forecasting using a modified CMI Mortality Projections Model for China I: methodology and country-level results

Plenary Session 2, Parallel 2

1.30pm -2.00pm

Zixi Li

Modelling Long Term Care Incorporating Systematic Uncertainties in Health Transition Rates

Plenary Session 2, Parallel 2

2.00pm -2.25pm

Yajing Xu

The Application of Affine Processes in Multi-Cohort Mortality Model

Plenary Session 2, Parallel 2

2.25pm -2.50pm

Dr Wilma Terblanche

Mortality trends in Australia at a state and national level

Plenary Session 2, Parallel 2

2.50pm -3.15pm

Day Two – Tuesday, December 8

Presenter

Presentation Title

Scheduled Session

Time

Xinda Yang

Micro-level insurance claim count modelling: a stochastic process approach

Plenary Session 3, Parallel 1

10:45am -11.15am

Alan Xian

Individual claim liability analysis using Markov modulated Poisson Processes

Plenary Session 3, Parallel 1

11.15am -11.40am

Jennifer Alonso Garcia

Guarantee valuation in unfunded pension schemes

Plenary Session 3, Parallel 2

10:45am -11.15am

Mengyi Xu

Portfolio Insurance Strategies for Target Annuitisation Funds

Plenary Session 3, Parallel 2

11.15am -11.40am

Greg Taylor

Existence and uniqueness of chain ladder solutions

Plenary Session 4, Parallel 1

1.30pm -2.00pm

Benjamin Avanzi             

Correlations between insurance lines of business: An illusion or a real phenomenon? Some methodological considerations

Plenary Session 4, Parallel 1

2.00pm -2.30pm

Adam Wenqiang Shao

Managing Retirement Risks with Reverse Mortgage Loans and Long-Term Care Insurance

Plenary Session 4, Parallel 2

1.30pm -2.00pm

Dr Anthony Asher

Personal financial planning calculators: communicating life-time consumption risks

Plenary Session 4, Parallel 2

2.00pm -2.30pm