Johnny Li presented “Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes” at the 2018 Asian Actuarial Conference, Hong Kong.
CAE funded student Fei Meng presented “Valuation of Hedge Fund Investments under Alternative Fee Structures” at the Canadian Mathematical Society Meeting, ݮƵ.
On December 1 & 2, 2017 the CAE hosted Advances in Predictive Analytics at the University of ݮƵ.
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Phelim Boyle conducted 3-week lectures at African Institute of Mathematics.
PhD student Danqiao Guo presented “Enhanced Sharpe ratio via eigen portfolios selection” at the Finance Seminar of Rotman School of Management, University of Toronto
PhD student Xiaobai (Mike) Zhu hosted webcast on “Valuation of Bermudan-DB-Underpin Option”. The same paper was presented at PBSS/IACA Cancun Colloquium. Because of the quality of the paper, the PBSS committee decided to award the prize for the Best Theoretical Paper at the Colloquium.
Johnny Li was invited to speak at the 2017 Korean Statistical Conference, Seoul, Korea. The title of his presentation was “The Locally-Linear Cairns-Blake-Dowd Model: A Note on Delta-Nuga Hedging of Longevity Risk”
PhD student Danqiao Guo presented “Improved Global Minimum Variance Portfolio via Tail Eigenvalues Amplification” at Canadian Econometric Study Group (CESG), York University
Ken Seng Tan gave an invited presentation on “Optimal Dynamic Longevity Hedge with Basis Risk” at the China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, China.
Ken Seng Tan and PhD student Jingong Zhang participated at the 2017 International Longevity Risk and Capital Markets Solutions Conference, which was held in Taipei, Taiwan. Jingong presented “Optimal Longevity Hedge with Basis Risk”.