AAERS 2023 — Contributed Abstracts

Speakers are listed in alphabetical order below, using last names. Clicking on the title of a presentation will open the contributed abstract in a new tab.

Contributed presentations are 25 minutes total duration per paper, which includes up to 5 minutes for questions. Full written papers are not required.

Anthony Asher: A strategy for Actuarial Research – for the profession and universities
Yuyu Chen: Diversification of infinite-mean Pareto risks
Zhen Dong Chen: Insurance pricing under joint extremes
Erwinna Chendra: Valuing an arithmetic Asian option with Artificial Neural Network method
Eric Cheung: Cumulative Parisian ruin in finite and infinite time horizons in a renewal risk process
Toby Daglish: Optimal retirement wealth
Ryan Dai: Pricing carbon emission permits under the cap-and-trade policy with uncertainty
Eric Dong: Distributional forecasting via an interpretable actuarial neural network
Eugenia Fang: Understanding compound weather and climate events through the lens of systemic financial crises
Fabio Gomez: Robustness of the Higher Moment risk measure: embracing qualitative and quantitative aspects
Giovani Gracianti: Hedging volume and price risks in wind energy production
Hamza Hanbali: Insurance price cycles: insurer's preferences and policyholders' welfare
Lucy Yunxi Hu: Expanding the Income Contingent Loan (ICL) to women with partner violence
Tiancheng Huang: Delegated investment in retirement savings: value add?
Zhuo Jin: Epidemic modelling and pandemic insurance
Poon Leung: Building a student community to supercharge peer feedback
Han Li and Zhan Wang: Alternative data usage in life and health insurance
Johnny Li: Fast estimation of the Renshaw-Haberman model and its variants
Qingyue Li: Forecasting private health insurance participation in Australia: a microsimulation model
Yuhao Liu: Utility indifference pricing of green bonds
Lingfeng Lyu: Postcode-Level reverse mortgages: longevity risks, house price risks, and welfare gain
Matteo Malavasi: Cyber risk taxonomies: statistical analysis of operational cybersecurity risk classifications
Xinyue Man: Extreme value analysis of investment losses coupled with exogenous shocks
Shams Mehry: The dynamics and interactions of the building blocks for retirement income
Kyu Park: Developing private long-term care insurance in Australia: Pricing analysis for healthy and chronically ill Australians
Jianjie Shi: Beyond linearity: a Bayesian nonparametric VAR approach to mortality modelling
Budhi Surya: Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
Eugene Tan: Flexibility and selection effects in modern tontines
Xingyun Tan: Analysing reporting patterns and frequency of data breaches published by state Attorneys General in the United States
Kelvin Tang: Valuing equity-linked insurance products for couples
Gayani Thalagoda: Shapley decomposition-based selection of representative contracts for variable annuity portfolio valuation
Chi Truong: What factors accelerate adaptation? An analysis of optimal investment timing for flood risk adaptation in presence of trend, seasonality and stochastic interest rates
Francesco Ungolo: An augmented variable Dirichlet Process Mixture model for the analysis of dependent lifetimes
Lintao Wang: Evaluating climate change impacts on mortality, life insurance and annuities
Ning Wang: Investment-consumption optimization with transaction cost and learning about return predictability
Himasha Warnakulasooriya: Optimal systematic longevity risk-sharing designs for annuities: reconciling policyholder's and insurer's perspectives
Jae Kyung Woo: What is the average surplus before ruin?
Xi Xin: Why you should not trust explanations in machine learning: an example of partial dependence plot
Zheng Xu: The optimal repayment structure of agricultural loans
Xingying Yu: Modelling joint life functional disability and mortality
Colin Zhang: Time trends in losses from major tornadoes in the United States