IRisk Lab Education Research
Representation Learning for Insurance Products
The insurance industry has long known the importance of data, and the success of its business heavily relies on data…
Option-Implied indicators for market stress
TStock and index options are traded on the financial market and their prices are determined by supply and demand. These prices…
Forward and backward preferences
Classical backward preferences of an investor are simply defined by a family of her value functions across states and times.…
Visualization of sample recycling methods for nested stochastic modeling
As more regulatory reporting requirements in the regulatory regimes around the world move towards dependence on stochastic approaches, insurance companies…
Playbook for 21st century retirement planning
While many retirement planning products such as annuities have been around for centuries, the needs of retirement financial security are…
Do blue skies drive away pollution?
We would like to understand pollution microclimates. We would like to statistically understand if urban regions with better access to…
Risk margin under Solvency II
Solvency II is concerned about the amount of capital European insurance companies need to hold to reduce the risk of…
Data driven study of the Herd Behavior Index
In this research project, we focus on dependencies between stock prices. The Herd Behavior Index (HIX) is a measure for…
Statistics for monitoring the healthiness of a portfolio
When a company offers a new insurance product, there are a set of assumptions to be made in order to start…
Paratus LLC – Third party liability claims management (Student – Consulting)
Paratus Partners LLC is a provider of third-party liability claims management for healthcare service providers (mainly hospital systems). Hospitals incur…
Northwestern Mutual Fixed Income Project – cont’d (Student-Consulting)
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…
The Herd Behavior Index and predicting market fear
The past has learned that stock prices tend to move together. Moreover, at moments of high market fear, this co-movement is…
Optimal Investment with Forward Preferences and uncertain parameters under binomial market model
Given a financial market environment, an agent aims to solve her optimal investment strategy. This project is a continuation of…
European-type basket option pricing: independence and comonotonicity approximations.
This project solves the European-type basket option pricing problem. Finding analytical solutions or stable numerical schemes for the corresponding high-dimensional…
Implied Portfolio Value-at Risk: model-free and forward-looking risk estimates for investment portfolios
The Value-at-Risk (VaR) is one of the key risk measures to determine the risk levels of trading portfolios. The VaR…
Measuring intra-day systemic risk in high-frequency order books
Measuring the degree of co-movement between stock prices is of utmost importance when dealing with portfolio selection, risk measurement and…
P2P insurance: risk sharing of heterogeneous risks
The main objective of an insurance contract is to provide an adequate risk sharing scheme between insured and insurer. An…
Model-free hedging via reinforcement learning
Under the complete market model assumption, risk neutral approach for pricing and hedging financial derivatives have been the standard solution…
Holistic principle for risk aggregation and capital allocation: an extension to Solvency II standard
A novel holistic principle for risk aggregation and capital allocation has recently been proposed in [1], to remedy the issues…
Cyber risk profile construction via individual cyber losses aggregation – continued
This project is a continuation of the IRisk Lab project, Cyber risk profile construction via individual cyber losses aggregation, in…
Visualization on Pandemic Contingency Planning and Medical Resources Allocation
Can we simply reboot 2020? Definitely not. But, if so, could we have prepared better for the COVID-19? Most media…
Northwestern Mutual Fixed Income Project
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…
Terry Group Project
The Terry Group is a Chicago-based actuarial consulting firm focusing on health care and pensions. The firm is made up…
Forward and backward preferences – cont’d
Classical backward preferences of an investor are simply defined by a family of her value functions across states and times.…
Cyber risk profile construction via individual cyber losses aggregation
Cyber risk refers to the potential losses that a firm might suffer due to a failure of its information system.…
European-type basket option pricing – continued
This project is a continuation of the IRisk Lab project, European-type basket option pricing: independence and comonotonicity approximations with modern…
covidplan.io Maintenance and Development
Data visualization is a great tool for you, a wannabe actuary or data scientist, to communicate with your teammates and…
Implied Value-at-Risk: Model-Free and Forward-Looking Risk Estimates for the US Banks
A rapid and persistent market value decline of the US bank equity, around 50% since January 2020, can be observed…
AI-Powered Lifecycle Financial Planning
Life is a game with sophisticated rules. With today’s AI technology, we can develop a lifecycle strategy guide for successes…
Cyber Risk Data Analysis
With the ever-increasing reliance on technology, such as Zoom meeting, online purchase, and even national security for sensitive research, the…
Automated Machine Learning (AutoML) Project
Machine Learning (ML) techniques have been applied broadly in the field of actuarial science and achieve fruitful results. However, to…