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.
Feng, R. (2018) An Introduction to Computational Risk Management of Equity-Linked Insurance, Chapman & Hall, New York.
July 11 Wednesday
July 12 Thursday
July 13 Friday
The Spot 3008
198 Berkeley Street
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/