The Centre for Actuarial Studies at University of Melbourne will host the 7th International Gerber-Shiu Workshop on 10-11 July 2018 prior to the IME conference in Sydney on 16-18 July 2018.

The themes of the workshop are risk theory, general insurance and related problems.

Past International Gerber-Shiu Workshops

• 2016 Renmin University of China, Beijing, China
• 2014 University of Hong Kong, Hong Kong
• 2012 University of Melbourne, Australia
• 2010 University of Waterloo, Canada
• 2008 Radon Institute of Computational and Applied Mathematics, Austria
• 2006 Concordia University, Canada

Workshop Committee

IME 2018

The 22nd International Congress on Insurance: Mathematics and Economics will be held in Sydney, 16-18 July 2018. The congress is being hosted by the University of New South Wales in Sydney, Australia.

Download the Gerber-Shiu Program

Download the short course schedule

Computational Risk Management of Equity-Linked Insurance

(2 CPD points per hour from Actuaries Institute)

A 2.5-day short course, delivered by Associate Professor Runhuan Feng from UIUC, will follow the workshop and commence on the afternoon of July 11.

Equity-linked insurance products are hyrids of traditional life insurance and financial derivatives. The challenges from the modelling and risk management of these products stem from complex guaranteed benefits, dynamic policyholder behavior, and the interaction of mortality and financial risks.

Today's computational power and technology make it possible for the life industry to develop highly sophisticated models, which were impossible just a decade ago. Nonetheless, as more industrial practices and regulations move towards dependence on stochastic models, the demand for computational power continues to grow. While the industry continues to rely heavily on hardware innovations, trying to make brute force methods faster and more palatable, we are approaching a crossroads about how to proceed. There are many practitioners' publications on such issues, most of which, however, lack fine-level technical details due to the protection of their proprietary interests. This course is intended not only to provide a resource for students and entry-level professionals to understand the fundamentals of industrial modelling practice, but also to give a glimpse of academic research on "software" methodologies for modelling and computational efficiency.

Specific topics include:

• Monte Carlo simulations of investment guarantees;
• No arbitrage pricing versus actuarial pricing;
• Dynamic hedging based risk management;
• Risk measures based risk management;
• Regulatory capital requirement and allocation;
• Advanced computational methods;
• Nested stochastic modelling.

Textbook:
Feng, R. (2018) An Introduction to Computational Risk Management of Equity-Linked Insurance, Chapman & Hall, New York.

Instructor

Dr. Runhuan Feng is an Associate Professor and the Director of Actuarial Science at the University of Illinois. He is a Fellow of the Society of Actuaries and a Chartered Enterprise Risk Analyst. He is also the State Farm Companies Foundation Scholar in Actuarial Science in Illinois. Dr. Feng has published extensively on computational techniques of risk metrics for investment-combined insurance products. Most recently, he was commissioned by the Society of Actuaries to conduct the first North America industry-wide survey on nested stochastic modelling and performed subsequent research study to create resources for financial reporting actuaries on computational methods to speed up nested simulations. More information on Dr Feng can be found at https://faculty.math.illinois.edu/~rfeng/

Registration Deadline: Friday May 25

Student registration fee : $150

Academic registration fee: $200

Dinner for accompanying guest: $70 per person

Short course (2 CPD points per hour from Actuaries Institute): free

Register online

Rydges On Swanston Hotel Melbourne

701 Swanston Street Carlton VIC 3053

Phone:+61 3 9347 7811
Website: https://www.rydges.com/accommodation/melbourne-vic/swanston-melbourne

IBIS Melbourne

15-21 Therry Street MELBOURNE VIC 3000
Phone: +61 3 9666 0000
Email:  h1564@accor.com
Website: http://www.ibismelbourne.com.au

The Best Western Plus Travel Inn Hotel

225 Drummond St, Carlton VIC 3053,
Phone: +61 3 9347 7922
Website: http://www.thetravelinn.com.au/

Carlton Clocktower Apartments Melbourne

255 Drummond Street Carlton Victoria 3053
Phone: +61 (0)3 9349 9700
Fax: +61 (0)3 9349 2542
Website: http://www.clocktower.com.au

University of Melbourne Campus

Parking

If you are driving to the campus, ticketed parking is available at various locations within the Parkville campus. Several other public car parks are also available within walking distance from the Parkville campus.

The University Square Car Park is the closest to the conference venue:

• Entry: Entrance at 244 Bouverie Street or 206 Berkeley Street (map).
• Hours: Monday - Sunday 6:00am to 10:00pm.
• Availability: During the semester (weekdays), the car park fills up and closes to public parking normally around 9:00am - 9:30am.
• Fees and charges: $10 up to 4 hours; $20.00 all day; $8.00 after 5:00pm,  Monday to Friday and weekends.