Actuarial Mathematics Workshop 2013
Tuesday March 19th - University of Leicester
Garendon Room (Charles Wilson Building, 4th Floor)
The purpose of these annual workshops is to enhance collaboration between practitioners and academics in the field of financial and actuarial mathematics.
Speakers are invited from industry and academia to come and discuss their current research interests. In contrast to conferences where final results and papers are generally presented, these workshops aim to provide a forum for developing nascent ideas.
Programme
- 9:45-10:00 Welcome and introduction
- 10:00-10:40 Sergey Utev (University of Leicester) - Stochastic orderings and risk
- 10:40-11:20 Craig Turnbull (Barrie+Hibbert) - Market-consistent valuation of a defined benefit pension fund’s employer covenant and its use in risk-based capital assessment
- 11:20-11:40 Coffee break
- 11:40-12:20 Andrew Smith (Deloitte) & Stuart Jarvis (BlackRock) - Model risk and capital requirements
- 12:20-13:00 Elisabeth Larsson (Uppsala University) - Using radial basis functions for option pricing
- 13:00-14:30 Lunch break
- 14:30-15:10 Feng Zhou (Cass Business School) - The use of agent-based modelling to understand the behavioural patterns of non-life insurance companies
- 15:10-15:50 Adrian O'Hagan (University College Dublin) - Clustering with the Multivariate Normal Inverse Gaussian distribution
- 15:50-16:10 Coffee break
- 16:10-16:50 David Marsh (PensionsWatch) - Research opportunities arising from Local Government Pension Schemes
- 16:50-17:30 Alexander N. Gorban (University of Leicester) - Entropies for uncertainty measurement and management
- 17:30 Close
