M3-200 Univ Ave W
Waterloo, Ontario N2L3G1
Canada
University of Waterloo
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Portfolio optimization, Estimation error, Approximation error, Spectral cut-off method, Spectral selection method
Bootstrapped portfolio, rebalanced portfolio, age effect, size effect
1/N rule, favorability index, bull and bear markets, regime-switching model
Global Minimum Variance Portfolio, Tail Eigenvalues Amplification, Risk Reduction, High-Dimensionality
constant proportion portfolio insurance, regime switching, exponential Levy process, shortfall, gap risk, matrix exponential.
Multivariate Regular Variation, Copula, Tail Dependence Index, Multivariate Subexponential Distribution, Multivariate Long-Tailed Distribution
Finance, Investment analysis, Risk management, Markov processes, Constant proportion portfolio insurance, Regime switching
Investment-reinsurance problem; Mean-variance analysis; Time-consistent strategy; Constant elasticity of variance model
Variable Annuities; Bang-bang Solution; Least Squares Monte Carlo; Sieve Estimation
Basis Risk; Optimal Hedging; Time Consistent Planning; Mean-Variance
quantile hedging, partial hedging, optimal strategy, Value-at-Risk (VaR), bull call spread, knock-out call
partial hedging, conditional value-at-risk (CVaR), bull call spread hedging, utility based indifference pricing, stop-loss
crop insurance; optimal reinsurance; conditional tail expectation risk measure; premium principle; loss cost ratio
participating contract; utility maximization; martingale and dual approach; concavification technique; stochastic control
Derivatives trading, HJB equations, Investment-reinsurance, Stochastic control, Stochastic volatility
Empirical Likelihood, Risk Measure Estimation, Value-at-Risk, Conditional Tail Expectation, Expectile
Reinsurance, Risk measure, Expectile, Coherent, Elicitable, Premium principle, Actuarial reserve, Risk margin, Liability
Empirical Model; Optimal Reinsurance; Second-Order Conic Programming; Risk Measure; Premium Principle; Variance Minimization; Conditional Tail Expectation Minimization.
vine copula, generalized linear model, penalized MLE
Stochastic Optimal Control, Monte Carlo Simulation, Nonparametric Sieve Estimation
Credibility Theory; Regression Tree; Premium Rating; Predictive Analytics
optimal reinsurance, marginal indemnification function, Lagrangian dual method, distortion risk measure, inverse-S shaped distortion premium principle
Multiple optimal reinsurance, Mean-CVaR, Nonparametric model, Kernel estimation, alpha-mixing process, Bootstrap
CDF formulation, Lagrangian dual method, optimal reinsurance, survival probability maximization, background risk, generalized Wang’s premium principle
Cost of capital; Conditional value at risk; Value at risk; Optimal reinsurance; Vajda condition.
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hedging, value-at-risk, optimal partial hedging
