AAERS 2023 — Programme

The Symposium programme is given below. Clicking on the title of a presentation will open the abstract in a new tab.

All talks are in the three lecture theatres within the Maclaurin (MC) building, and all food plus refreshments will be served in the Maclaurin building Foyer. For more details on that location, please see the Victoria University of Wellington Kelburn Campus Map (pdf).

The last speaker in each contributed session is the Session Chair. Please make sure all contributed talks keep to time: 20 minutes for each talk, plus up to 5 minutes for questions - 25 minutes in total. We have a busy schedule and some people may wish to swap between rooms at changeover times during the sessions.

Presenters are responsible for ensuring their talk is 'ready to go' when their session starts - please set up at the latest by the end of the refreshment break before each session. PDF and PowerPoint presentations should both work with no problems, directly from a USB. Connections for personal laptops are available too, if necessary.

Please note the AAERS 2023 Timetable also has a brief outline of events on both days.

Thursday 23 November

Time	Event and Location

8.30am onwards	Registration: Maclaurin building, Foyer

9.00-9.10am	Welcome and Housekeeping: MC LT103 Welcome Speech: Professor Bryony James, Provost, Victoria University of Wellington Housekeeping: Eric Ulm
9.10-10.10am	Plenary Session 1: MC LT103. Chair: Eric Ulm Ilan Noy: What is disaster insurance good for? Can it be improved?

10.10-10.30am	Morning Refreshments (20 minutes): Maclaurin building, Foyer

Time	Session A1: MC LT101 Environmental Finance and Economics I Chair: Colin Zhang	Session A2: MC LT102 Ruin Theory/Risk Theory/Risk Measures Chair: Budhi Surya	Session A3: MC LT103 Retirement I Chair: Toby Daglish
10.30-10.55am	Ryan Dai: Pricing carbon emission permits under the cap-and-trade policy with uncertainty	Eric Cheung: Cumulative Parisian ruin in finite and infinite time horizons in a renewal risk process	Tiancheng Huang: Delegated investment in retirement savings: value add?
10.55-11.20am	Giovani Gracianti: Hedging volume and price risks in wind energy production	Fabio Gomez: Robustness of the Higher Moment risk measure: embracing qualitative and quantitative aspects	Lingfeng Lyu: Postcode-Level reverse mortgages: longevity risks, house price risks, and welfare gain
11.20-11.45am	Yuhao Liu: Utility indifference pricing of green bonds	Budhi Surya: Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process	Shams Mehry: The dynamics and interactions of the building blocks for retirement income
11.45am-12.10pm	Colin Zhang: Time trends in losses from major tornadoes in the United States	Presentation withdrawn	Toby Daglish: Optimal retirement wealth

12.10-12.55pm	Lunch (45 minutes): Maclaurin building, Foyer

12.55-1.55pm	Plenary Session 2: MC LT103. Chair: Budhi Surya Wayne Anderson and John Gibbs: The COVID-19 Wage Subsidy and the role of actuaries

1.55-2.00pm	Short Break (5 minutes)

Time	Session B1: MC LT101 Environmental Finance and Economics II Chair: Chi Truong	Session B2: MC LT102 Extreme Events and Reserving Chair: Jae Kyung Woo	Session B3: MC LT103 Retirement II Chair: Francesco Ungolo
2.00-2.25pm	Eugenia Fang: Understanding compound weather and climate events through the lens of systemic financial crises	Zhen Dong Chen: Insurance pricing under joint extremes	Eugene Tan: Flexibility and selection effects in modern tontines
2.25-2.50pm	Zheng Xu: The optimal repayment structure of agricultural loans	Xinyue Man: Extreme value analysis of investment losses coupled with exogenous shocks	Himasha Warnakulasooriya: Optimal systematic longevity risk-sharing designs for annuities: reconciling policyholder's and insurer's perspectives
2.50-3.15pm	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	Yuyu Chen: Diversification of infinite-mean Pareto risks	Francesco Ungolo: An augmented variable Dirichlet Process Mixture model for the analysis of dependent lifetimes
3.15-3.40pm	Presentation withdrawn	Jae Kyung Woo: What is the average surplus before ruin?	Presentation withdrawn

3.40-4.00pm	Afternoon Refreshments (20 minutes): Maclaurin building, Foyer

4.00-4.50pm	Invited Session: MC LT103. Chair: John Haywood John Townend and Laura Hughes: Earthquakes and tsunami hazards in New Zealand — a geophysical perspective

6.30pm for 7.00pm start	Symposium Dinner: Dockside restaurant, Shed 3 Queens Wharf, Wellington Waterfront

Friday 24 November

Time	Event and Location

9.00-10.00am	Plenary Session 3: MC LT103. Chair: John Haywood Alan Greenfield: Broadening horizons — The evolving role of actuaries in the public sector

10.00-10.20am	Morning Refreshments (20 minutes): Maclaurin building, Foyer

Time	Session C1: MC LT101 General Chair: Han Li	Session C2: MC LT102 AI and Machine Learning Chair: Erwinna Chendra	Session C3: MC LT103 Mortality/Annuities/Long Term Care Chair: Kyu Park
10.20-10.45am	Hamza Hanbali: Insurance price cycles: insurer's preferences and policyholders' welfare	Eric Dong: Distributional forecasting via an interpretable actuarial neural network	Jianjie Shi: Beyond linearity: a Bayesian nonparametric VAR approach to mortality modelling
10.45-11.10am	Poon Leung: Building a student community to supercharge peer feedback	Xi Xin: Why you should not trust explanations in machine learning: an example of partial dependence plot	Kelvin Tang: Valuing equity-linked insurance products for couples
11.10-11.35am	Anthony Asher: A strategy for Actuarial Research – for the profession and universities	Erwinna Chendra: Valuing an arithmetic Asian option with Artificial Neural Network method	Gayani Thalagoda: Shapley decomposition-based selection of representative contracts for variable annuity portfolio valuation
11.35am-12.00pm	Han Li and Zhan Wang: Alternative data usage in life and health insurance	Presentation withdrawn	Kyu Park: Developing private long-term care insurance in Australia: Pricing analysis for healthy and chronically ill Australians

12.00-12.45pm	Lunch (45 minutes): Maclaurin building, Foyer

12.45-1.45pm	Plenary Session 4: MC LT103. Chair: John Haywood Rudi Zagst: Portfolio optimization with wealth-dependent risk constraints

1.45-1.50pm	Short Break (5 minutes)

Time	Session D1: MC LT101 Forecasting/ICL/Epidemic Models Chair: Zhuo Jin	Session D2: MC LT102 Credit/Finance/Cyber Risk Chair: Matteo Malavasi	Session D3: MC LT103 Mortality Chair: Johnny Li
1.50-2.15pm	Qingyue Li: Forecasting private health insurance participation in Australia: a microsimulation model	Ning Wang: Investment-consumption optimization with transaction cost and learning about return predictability	Xingying Yu: Modelling joint life functional disability and mortality
2.15-2.40pm	Lucy Yunxi Hu: Expanding the Income Contingent Loan (ICL) to women with partner violence	Xingyun Tan: Analysing reporting patterns and frequency of data breaches published by state Attorneys General in the United States	Lintao Wang: Evaluating climate change impacts on mortality, life insurance and annuities
2.40-3.05pm	Zhuo Jin: Epidemic modelling and pandemic insurance	Matteo Malavasi: Cyber risk taxonomies: statistical analysis of operational cybersecurity risk classifications	Johnny Li: Fast estimation of the Renshaw-Haberman model and its variants

3.05-3.25pm	Afternoon Refreshments (20 minutes): Maclaurin building, Foyer

3.25-4.25pm	Plenary Session 5: MC LT103. Chair: Eric Ulm Mike Callan, Executive General Manager (Education), Actuaries Institute: Lifelong learning
4.25-4.30pm	Closing