As more regulatory reporting requirements in the regulatory regimes around the world move towards dependence on stochastic approaches, insurance companies are experiencing increasing difficulty with detailed forecasting and more accurate valuation and risk assessment based on Monte Carlo simulations. Stochastic modeling is commonly used by financial reporting actuaries whenever reporting procedures, such as reserving and […]
While many retirement planning products such as annuities have been around for centuries, the needs of retirement financial security are drastically different in the 21st century. Just to name a few, the dynamics of family structure, employee-employer relationship, end-of-life care, rising medical costs, and financial technology, all made retirement planning much more complicated than just […]
We would like to understand pollution microclimates. We would like to statistically understand if urban regions with better access to the sky allow for decreased pollution. We will be combining data from: Estimates of pollution from Chicago’s array of things Congestion estimates from the Chicago data portal Estimates of sky occasion from Google Street view Using some […]
Solvency II is concerned about the amount of capital European insurance companies need to hold to reduce the risk of insolvency. An important part of the Solvency II ratio is the risk margin. The first part of the research project will investigate what the risk margin represents, why it has to be calculated and what the relationship […]
In this research project, we focus on dependencies between stock prices. The Herd Behavior Index (HIX) is a measure for the degree of co-movement between stock prices composing a stock market index, such as the Dow Jones or the S&P 500. Monitoring the HIX from day to day may help to detect a market where […]
When a company offers a new insurance product, there are a set of assumptions to be made in order to start the pricing process. For example, the size or frequency of the claims could be unknown, as could be the variability around their expected value. There are several ways in which actuaries estimate these parameters, but the risk […]
Paratus Partners LLC is a provider of third-party liability claims management for healthcare service providers (mainly hospital systems). Hospitals incur losses because they fail to recover all their costs related to a covered claim. Especially claims covered through a third party liability insurer are sometimes too cumbersome to handle by a hospital. Most hospitals do […]
Evaluating the performance of an active manager in institutional fixed income portfolios is often challenging due to the necessary customization of issuance-based benchmarks to meet specific investment objectives. These constraints can be related to risk limits including factors such as aggregate credit quality, issuer concentration, or asset type. Other constraints can be more liability-based such as duration, convexity, or minimum yield. Simply assessing a manager’s total returns relative to a broad-based index or peer group in isolation does not provide a complete representation of the quality of management. […]
The past has learned that stock prices tend to move together. Moreover, at moments of high market fear, this co-movement is stronger and stock prices move predominantly downwards. In such a market situation, diversification benefits dry up and stock picking does not help to protect an investment portfolio. In this project we implement the Herd Behavior Index, […]
Given a financial market environment, an agent aims to solve her optimal investment strategy. This project is a continuation of “forward and backward preferences” proposed in IGL and IRL last year. In the previous project, under the binomial market model, comparing to the classical backward approach, we showed substantial improvement in both computation time and […]