Description: This paper investigates the optimal multi-period proportional reinsurance strategy that minimizes the ruin probability of an insurer. Some conditions under which it is optimal to have no reinsurance are derived. Based on these results, a new concept, capital threshold of proportional reinsurance, is introduced. In the case of two periods, a lower bound of the capital threshold of proportional reinsurance is provided. Some economic implications and properties of this new concept are also discussed.

Description: This report focuses on analyzing and managing climate change and carbon risk in the equity investment portfolios of insurance company and pension fund assets.

Description: This is the abstract for the presentation on an empirical-based approach to optimal reinsurance.

Description: This abstract describes a paper that establishes the relationship among dimension reduction methods, the feature of discontinuity and the performance of QMC methods, with special interest in understanding why BB and PCA do not offer a consistent advantage in QMC.

Description: This abstract describes a study that reviews by simulation the current tools available for testing trends in time series and constructs and compares alternative probability distribution models, using a unique and comprehensive data set that represents the entire crop insurance sector of Canada.

Description: This presentation provides evidence that a decline in interest rates in the negative interest rate environment produces a much more serious consequence on life insurers than that in the positive interest rate environment.

Description: This paper introduces and illustrates a new version of the Monte Carlo method that has attractive properties for the numerical valuation of derivatives. Quasi-Monte Carlo methods use deterministic sequences that are quasi-random sequences that result in better convergence and deterministic error bounds.

Description: Full version of Risk Management, July 2006, Issue No. 8.

Description: Article from Risk Management Newsletter, July 2006, Issue 8 announces the SunGard/IAFE Financial Engineer of the Year for 2005. This award acknowledges Dr. Boyle’s lifetime contributions and accomplishments in the field of financial engineering. Not only is Dr. Boyle a financial engineer and a professor at the University of Waterloo, he is also an actuary— FIA, FCIA, Hon. FSAI. While Dr. Boyle is best known for pioneering the Monte Carlo methods in quantitative finance, he has also made significant contributions in other areas including actuarial science and insurance.