November 12, 2019
This session discusses the hedging implication of the proposed VM-21 PBR framework. Case studies are presented to provide practical guidance.
April 25, 2018 and June 26, 2019
This session discusses PathWise IFRS 17 solutions.
May 3, 2019
Adapted from the research paper Wavelet Based Equity VaR Estimation. Awarded the ERM Research Excellence Award in 2019.
November 6, 2018
This presentation focuses on system challenges faced by insurance companies and vendors when implementing GAAP reports for FIA.
November 5, 2018
This talk highlights the use of deep learning in hedge-strategy testing and how it might help others in understanding and managing hedging strategies.
May 24, 2018
This session highlights the importance of hedging and proposes hedging strategies that would be effective under the new standard.
November 6, 2017
At this presentation we talk about the impact IFRS17 regulation will have on ALM systems at life insurance companies.
November 15, 2016
At this conference we discuss the use of Artificial Neural Networks (ANNs) to variable annuities.
March 15, 2016
In this presentation the focus is on the topic of the push for big compute by life insurance companies.
November 17, 2015
In this session, we talk about Solvency II. We discuss, MVA, SCR, Risk Margin and BEL concepts.
November 17, 2014
This presentation talks about the use of Least Squares Monte Carlo (LSMC). We discuss and compare LSMC versus large scale hedging simulation of VA risks.
April 3, 2014
In this presentation we first lay out the typical stochastic-on-stochastic process (SOS) in an insurance company setting.
November 18, 2013
This presentation talks about the use of semi-static hedging on variable annuities.
June 6, 2013
This conference presentation talked about the computational problems that exist in the life insurance industry.
May 14, 2013
This presentation talks about the use of semi-static hedging on variable annuities and spends time on how we broke down the simulation problem using PathWise
February 17, 2013
At this conference we talk about how simulation is at the heart of risk management for retirement insurance products that contain embedded financial guarantees.
November 12, 2012
This presentation introduces the topic to high performance computing to the life insurance industry.
June 18, 2012
Presented in Tokyo, this talk focuses on the importance of managing basis risk in market risk hedging programs for retirement products.
March 15, 2012
In this presentation we talk about subset of life insurance retirement products that come with embedded financial guarantees.
November 15, 2011
This presentation talks about fund mapping, the modeling and simulation of bond funds, and basis risk.
May 30, 2011
This presentation talks about how companies can use disruptive technology to improve productivity and leverage the benefits associated with HPC.
November 2, 2010
This presentation talks about the operational risks associated with running a variable annuity hedging program.
April 29, 2010
This presentation discusses the measurement the effectiveness of seg fund hedging programs, and the simulation of such programs.
October 12, 2009
In this presentation model risk, situational awareness risk, hedge reporting risk and organizational risks are discussed