Victoria Building, University of Liverpool

Actuarial Teachers’ & Researchers’ Conference 2019

Programme

The conference will take place in the Department of Chemistry Building (#213 Grid G5 on the University Campus map).

Registration and all refreshments will be in the Foyer of the Chemistry Building (Donnan Laboratory)

All talks will take place in the Gossage Lecture Thetare in the Chemistry Building (Donnan Laboratory)

ATRC Overview

You can also view the programme overview here

The detailed programme is as follows (click on the links to view the presentations):

Thursday 27th June

09:00 - 09:30 - Registration, tea and coffee – Foyer, Department of Chemistry Building

09:30 - 09:45 - Welcome

09:45 - 11:00 - Session 1 - Investment I

09:45 - 10:25 - Martin White (RMSL) - Aspects of stewardship: wealth creation, working lives, wealth extraction - the needs, the education and empowerment of individuals, and the relevance and contribution of the actuarial profession.

10:25 - 11:00 - Colm Fitzgerald (University College Dublin) - Very long-term historical investment return data: what can we learn from looking back 200 - 750 years into history?

11:00 - 11:30 - Coffee break

11:30 - 12:00 - Liang Chen (University College Cork) - Bayesian Method for Small Population Longevity Risk Modelling

12:00 - 12:30 - Cristian Redondo Loures (Heriot Watt University) - Cause of death specific cohort effects in US mortality

12:30 - 13:00 - David Smith (Cass Business School) - Does living in a retirement village extend life expectancy? The case of Whiteley Village, England

13:00 - 14:00 - Lunch and networking

14:00 - 15:30 - Session 2 - Social Welfare and Pensions

14:00 - 14:30 - Pradip Tapadar (University of Kent) - How can adverse selection increase social welfare?

14:30 - 15:00 - Zhaoxun Mei (Heriot-Watt University) - Comparisons of smoothing methods in pension contracts

15:00 - 15:30 - Inmaculada Dominguez-Fabian (University of Extremadura) - Actuarial analysis of a two-steps decumulation pension system

15:30 - 16:00 - Coffee break

16:00 - 17:15 - Session 3

16:00 - 16:20 - PhD students’ short presentations

Insurance Risk Models with Premiums Dependent on Surplus - Jing Wang

Identifying spatio-temporal mortality clusters in China - Maoqi Hu

Unbounded Backward Stochastic Differential Equations with Quadratic Growth and Applications - Mashael Algoulity

Optimal investment and consumption in a market with random coeffcients and different rates for lending and borrowing - Abdullah Aljalal

Minimum pension under NDC Pension Scheme - Zuochen Song

16:20 - 16:50 - Oliver Bettis - IFoA’s research effort in economics

16:50 - 17:15 - Martin White - Actuarial Research Centre (ARC): update on research programmes


Friday 28th June

09:00 - 11:20 - Session 1 - Investment II

09:00 - 09:40 - Andrew Smith (University College Dublin) - Equity release mortgages

09:40 - 10:15 - Axel Helmert (msg life) - Integrated Unit Linked Collective Assets – ICA: Products using a collective approach

10:15 - 10:30 - Julia Eisenberg and Carmen Boado-Penas (University of Liverpool) - New pension product design under protracted ultra-low interest rates

10:30 - 11:00 - Andreas Tsanakas (Cass Business School) - Scenario Weights for Importance Measurement - An R package for sensitivity analysis

11:00 - 11:20 - REF discussion

11:20 - 11:50 - Coffee Break

11:50 - 13:20 - Session 2 - Life

11:50 - 12:20 - Oytun Hacarız (Heriot-Watt University) - Genetics, Insurance, and Cardiomyopathies: A Case Study of Hypertrophic Cardiomyopathy (HCM)

12:20 - 12:50 - Aniketh Pittea (University of Kent) - Examining Pension Plan Risks from an Economic Capital Perspective

12:50 - 13:20 - Pietro Millossovich (Cass Business School) - Monte Carlo valuation of the initiation option in a GLWB variable annuity

13:20 - 14:20 - Lunch and networking

14:20 - 16:00 - Session 3 - Data Science

14:20 - 14:50 - Paul King (University of Leicester) - Data Science for Actuaries

14:50 - 15:20 - Hirbod Assa (University of Liverpool) - On some applications of machine learning in banking and insurance

15:20 - 16:00 - Colin Thores and Patrina Effer (IFoA) - Data Science: Supporting IFoA members?

16:00 - 16:35 - Session 4

16:00 - 16:35 - Colm Fitzgerald - Actuaries of the future

16:35 - End of conference, coffee available

The detailed programme can also be found here

Click here to download a copy of the abstracts for all the talks