Actuarial Research Day @ MQ

You are cordially invited to attend Actuarial Research Day @ MQ on Friday 13 January 2023 from 10:10 am to 4:15 pm (Sydney Time). The Day aims to bring together leading/excellent researchers who will present their cutting-edge research and share their latest insights into interesting research problems.

The event will be held onsite at Macquarie University City Campus Level 24, 123 Pitt Street, Sydney NSW 2000, Australia. The Zoom details may be provided on request.

The event is free. All are welcome. Please feel free to come along.

Confirmed speakers include:

• Anthony Asher (University of New South Wales)
• Ping Chen (University of Melbourne)
• Uwe Schmock (Vienna University of Technology, TU Wien)
• Pavel Shevchenko (Macquarie University)
• Hailiang Yang (University of Hong Kong)
• George Yin (University of Connecticut)
• Jinxia Zhu (University of New South Wales)

Organizing Committee:

• Jiwook Jang (Macquarie University)
• Zhuo Jin (Macquarie University)
• Hanlin Shang (Macquarie University)
• Pavel Shevchenko (Macquarie University)
• Yanlin Shi (Macquarie University)
• Ken Siu (Macquarie University)
• Jinxia Zhu (University of New South Wales)

Please find the (tentative) program as follows:

Morning Tea and Welcome

Time: 10:10 am – 10:30 am

Speaker: Anthony Asher

Time: 10:30 am – 11:10 am

Title: Rethinking insurance markets with an institutional economics lens in a digital age

Abstract: The advent of the internet and a proliferation of data create new challenges and opportunities for insurance. Consumers need protection against invasions of privacy, and unfair discrimination by algorithmic underwriting decisions. The additional data provides opportunities to make products and prices more transparent, and provide advice on savings, investment and consumption. Some developments, such as comparison sites, do not seem be to have contributed much to a more efficient market. This paper approaches these issues using the insights of the “New Institutional Economics”, represented by the Economic “Nobel” prize winners, Ronald Coase, Douglass North, Elinor Ostrom and Oliver Williamson. They have explored the fact that all collaborative institutions, of which “free markets” are one type, operate under “rules of the game”. These rules can vary from implicit to detailed regulation, and determine the extent to which the markets serve the needs of participants. They do not develop spontaneously – and can as often be determined by the actions of market participants as by governments. The insights are used to analyse market structures with the four P’s of marketing theory: product, price, place and promotion. Markets are defined by the products sold and the place or places in which transactions take place. Their efficiency depends on the price being determined by the free and fair interaction of willing buyers and willing sellers. The method of promotion can have a significant impact on transparency and costs for both sides. Insurance markets have developed their own particular “rules of the game” over four thousand years. These include the concepts of average, insurable interest and utmost good faith – all of which contribute to transparency and the fairness of pricing. In recent centuries, prudential regulation was added – again to ensure that consumers were not unfairly treated, while the last few decades have seen legislation against unfair discrimination in pricing. Insurance products and services do not however enjoy much in the way of protection of intellectual property. Throughout the period of development, the rules have been as much supranational as local. Suggestions are made as to how actuaries can contribute to new rules of the game.

Speaker’s Bio: Anthony Asher is an actuary and part-time Associate Professor at the UNSW Business School. His working life has been divided between university teaching and a variety of professional roles including Chief Actuary of a life insurer, consultant actuary to a range of companies and governments, and with APRA. Within the Actuaries Institute he is currently a member of the Council and the Retirement Strategy Group, and Convenor of the Retirement Incomes Working Group, which is working on the design of post retirement products and advice. He is well known in the profession for his interest in ethics in professional life, particularly the social impact of actuarial work.

Speaker: Ping Chen

Authors: Ping Chen, Zhen Sim (Monash), Jianjie Shi (Monash), Dan Zhu (Monash)

Time: 11:10 am – 11:50 am

Title: A supervised mortality learning

Abstract: Mortality forecasting is often a popular topic as it provides actuaries with an idea about the exposure of mortality risks in the future. The publication of the Lee-Carter model is a memorable achievement for Actuarial Studies and often serves as a benchmark model for actuaries. In this paper, we build our mortality studies on the Lee-Carter model by introducing a Smoothing Splines method to the factor loadings. A data-driven traditional mortality study automatically selects the factors by an algorithm. However, with information and expert knowledge, we know that a few critical age groups drive the dynamic patterns of mortality experiences. Therefore, we can select the factors based on that prior knowledge, leading to a more straightforward interpretation of factors where traditional studies are hard to interpret. We obtained more stable and better short-term forecasts with a more interpretable outcome with some essential factors we selected. The methodology is an extension of the Lee-Carter model with an application to the French mortality data. The forecasts we obtained show an improved performance than the Lee-Carter model and a few of its variants.

Speaker’s Bio: Ping Chen is an Associate Professor in the Department of Economics at the University of Melbourne. She holds a Bachelor's degree in Applied Mathematics, Master's degree in Probability and Statistics, and a PhD degree in Actuarial Science. Her research interests lie in optimal control in insurance and finance, risk theory, pension fund management, and mortality modelling. Ping is an Associate of the Institute of Actuaries of Australia (AIAA) since 2019.

Speaker: Uwe Schmock

Time: 11:50 am – 12:30 pm

Title: Recursive Methods for the Aggregation of Dependent Risks

Abstract: The stochastic modelling and aggregation of dependent risks is a central risk management task for many financial institutions. After an introduction illustrating some basic mathematical challenges, we will review Poisson approximation, the collective model from actuarial science, Panjer distributions, and the extended multivariate Panjer recursion. To assure numerical stability, we introduce weighted convolutions combined with the Panjer recursion, thereby widening the class of mixture distributions. The aim is to discuss a multi-business-line variant of the collective model, mixed by a convex combination of non-negative (mainly unbounded) claim number intensities to obtain an arbitrary linear dependence structure -- and still use recursive methods to calculate the loss distribution of the portfolio.

Time permitting, an implementation will be presented, which is available online.

Speaker’s Bio: Since 2003 Dr. Uwe Schmock is full professor at the Vienna University of Technology (TU Wien) in Austria, heading the research area for risk management in financial and actuarial mathematics. TU Wien is currently the only institution in Austria offering all the courses to become a fully qualified actuary. He is also serving as vice president of the Actuarial Association of Austria and as chairman of its educational committee for more than a decade.

After his PhD at TU Berlin, he spent 13 years at the University and the ETH Zürich in various positions. As Research Director of the Swiss RiskLab at ETH Zürich, he worked with his team on projects together with the two major Swiss banks (Credit Suisse, UBS) and with Swiss Re. As Director he built up the program for the Master of Advanced Studies in Finance, offered jointly by the University and ETH Zürich ever since.

At TU Wien, he attracted funding from the Austrian Central Bank, the European Science Foundation, the Austrian Science Foundation, the Vienna Science and Technology Fund, the Anniversary Fonds of the Austrian Central Bank, etc. His major project was the Christian Doppler Laboratory for Portfolio Risk Management, which he was running as director for 8 years. The laboratory was cooperating with industry partners (Bank Austria, Austrian Federal Financing Agency, Austrian Control Bank, and a consulting company), working on basic as well as applied research.

Dr. Schmock is committed to teaching. Besides his usual teaching obligations, he taught three summer courses for international students in Italy, had several teaching assignments at the University of Basle (Switzerland), the University of Strasbourg (France) and holds a Guest Professorship at the University of Salzburg (Austria) with regular teaching assignments. So far he supervised 11 PhD students.

Lunch

Time:12:30 pm – 1:30 pm

Speaker: Pavel V. Shevchenko

Time: 1:30 pm – 2:10 pm

Title: Stochastic dynamic integrated climate-economy models

Abstract: The classical dynamic integrated climate-economy (DICE) model has become the iconic typical reference point for the joint modelling of economic and climate systems, where all model state variables evolve over time deterministically. We reformulate and solve the DICE model as an optimal control dynamic programming problem with six state variables (related to the carbon concentration, temperature, and economic capital) evolving over time deterministically and affected by two controls (carbon emission mitigation rate and consumption). We then extend the model by adding stochastic shock variables to the economy and temperature, and solve the model under several scenarios as an optimal stochastic control problem.

Speaker’s Bio: Pavel Shevchenko is a Professor in the Department of Actuarial Studies and Business Analytics and Co-Director of the Centre for Risk Analytics at Macquarie Business School. Prior to joining Macquarie University in August 2016, he worked at CSIRO Australia (1999-2016) holding the position of a Senior Principal Research Scientist (2012-2016). Since 1999, Prof Shevchenko has worked in the area of risk analytics, leading research and industry commercial projects on: modelling of operational and credit risks; longevity and mortality, retirement products; option pricing; insurance; modelling commodities and foreign exchange; and the development of relevant numerical methods and software. Prof Shevchenko has published extensively in academic journals, consulted for major financial institutions, and is a frequent presenter at industry and academic conferences. His publication records include one research monograph, two co-authored research monographs, over 70 journal papers, and over 80 technical reports.

Speaker: Hailiang Yang

Time: 2:10 pm – 2:50 pm

Title: Actuarial Science: A Personal Overview

Abstract: Actuarial science is a subject which deals with problems from or related to insurance industry. The insurance industry is changing due to the developments of artificial intelligence (AI) and big data. The changes have impacts on actuarial science and actuarial science research. In this talk, I shall briefly review the development of actuarial science and provide some personal view on the development of actuarial science and actuarial science research.

Speaker’s Bio: Hailiang Yang, Ph.D., ASA, HonFIA, received his PhD degree from University of Alberta and Master in Actuarial Science from University of Waterloo. He joined the University of Hong Kong in 1996 and is currently a Professor in the Department of Statistics and Actuarial Science. Hailiang Yang’s research is on actuarial science and mathematical finance. He has worked with many leading figures in the field. He has supervised more than 20 research students, his graduate students are, in many cases, now well-known researchers in their own right. He is an editor of Insurance; Mathematics and Economics and associate editor of five other journals. He is an Associate of Society of Actuaries, and he was elected as an Honorary Fellow of the Institute and Faculty of Actuaries and a Corresponding Member of the Swiss Association of Actuaries in 2014. He is an elected member of the International Statistical Institute. He received an Outstanding Researcher Award from The University of Hong Kong in 2013-2014.

Speaker: George Yin

Time: 2:50 pm – 3:30 pm

Title: Stochastic Kolmogorov Systems and Applications

Abstract: In this talk, we present some of our recent work on stochastic Kolmogorov systems. The motivation stems from dealing with important issues of ecological and biological systems. Focusing on environmental noise, we aim to address such fundamental questions: "what are the minimal conditions for the long-term persistence of a population, or long-term coexistence of interacting species". Some optimal control problems are also examined. Although the motivation comes from math biology, hopefully, it will be of interest to researchers working in actuarial science and risk management. [The talk reports some of our joint works with D.H. Nguyen, N.T. Dieu, N.H. Du, and N.N Nguyen.]

Speaker’s Bio: George Yin received the B.S. degree in mathematics from the University of Delaware in 1983, and the M.S. degree in electrical engineering, and the Ph.D. degree in applied mathematics from Brown University in 1987. He joined the Department of Mathematics, Wayne State University in 1987, became Professor in 1996, and University Distinguished Professor in 2017. He moved to the University of Connecticut in 2020. His research interests include stochastic processes, stochastic systems theory, and applications. He was Chair of the SIAM Activity Group on Control and Systems Theory, and was Co-chair of a number of conferences; he served on the Board of Directors of the American Automatic Control Council. He is the Editor-in-Chief of the SIAM Journal on Control and Optimization. He serves on (or served on) editorial boards of over 20 journals and book series including Automatica 1995-2011, IEEE Transactions on Automatic Control 1994-1998, and IEEE Control Systems Letters 2017-2019. He is a Fellow of IEEE, Fellow of IFAC, and Fellow of SIAM.

Speaker: Jinxia Zhu

Time: 3:30 pm – 4:10 pm

Title: Solvability of a Class of Optimal Control Problems under General Diffusion Frameworks

Abstract: Optimal control problems under the diffusion setting have received extensive attention. Despite the numerous studies on the control problems, most of the works in the diffusion setting are confined to a few special diffusion models including the Brownian motion and geometric Brownian motion models. We aim to demonstrate that many optimization problems for much more general (and likely more realistic) diffusion frameworks are also solvable. As an illustration, we consider a few examples under general linear diffusions and show that these problems are also solvable.

Speaker’s Bio: Jinxia Zhu is an Associate Professor and Deputy Head of School (Academic) in the School of Risk and Actuarial Studies at UNSW Sydney. Her primary research interests are risk theory, stochastic control in insurance and finance, pricing of Insurance and finance products, and cyber security risk modelling and management. She has published research works in leading international journals in the fields of Operational Research, Applied Probability and Actuarial Science including SIAM Journal on Control and Optimization, European Journal of Operational Research, Stochastic Processes and their Applications, Journal of Applied Probability, Insurance: Mathematics and Economics and ASTIN Bulletin. Jinxia is an editor for the Journal of Industrial and Management Optimization.

Closing: 4:10 pm – 4:15 pm