Description: Introduction to option pricing using Black-Scholes. Discussion on the limitations of Black-Scholes and of its alternatives such as Heston. Clear, accessible explanation of key results of mathematical finance including risk-neutral valuation.

Description: This is an abstract of presentation from 39th Actuarial Research Conference, 8/5-7/2004, University of Iowa in Iowa City, Iowa. In this talk, we examine the modeling of insurance losses resulting from natural catastrophes, particularly losses to residential and commercial structures as a result of earthquakes. The model proposed can also be used for other types of natural catastrophes such as floods and hurricanes.

Description: This presentation provided an analysis of investment guarantees in equity-linked products. There was an overview of the data and models in use. In addition an actuarial approach to left-tail analysis was presented as well as a dynamic hedging approach. From Actuarial Research Clearing House, 2012, Vol. 1.

Description: Introduction to option pricing, with special attention to issues in applying these tools to price equity-linked insurance products. Clear, accessible explanation of key results of mathematical finance including risk-neutral valuation.

Description: The growing global recognition of the importance of climate-related risks (transition and physical) has triggered a significant demand for research on the interface between climate and actuarial sciences, for example on the impact of risks from climate change on insurance markets and their operations. Furthermore, the systemic nature of climate-related risks underpins actuaries’ need to engage and work with diverse groups of stakeholders, including clients, communities, governments, regulators, boards, and investors. Contributions are invited for a special issue of the Annals of Actuarial Science featuring research on the topic ‘Managing Climate-Related Risks’. This special issue aims to capture leading interdisciplinary thinking, with clear relevance to actuarial problems in pensions and insurance.