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Fri Sep 13

MCFAM Seminar

5:30pm - Vincent Hall 16
MFM Alumni/Student Panel: How the MFM Prepares You to Enter the Field of Quantitative Finance
MFM Alumni/Student Panel, Master of Financial Mathematics Program (MFM)

Learn from current students and MFM alumni in industry about the benefits of this professional master program. Panelists will talk about what attracted them to the program, how to make the most of your time in the MFM and why the practical, real-world learning helps you land jobs in quantitative risk analysis, hedging, trading, portfolio management, fintech, data analytics and other jobs that are hot in the field right now.

Fri Sep 20

MCFAM Seminar

5:30pm - Vincent Hall 16
MCFAM Student Research - Outcome analysis of Indexed Universal Life Insurance based on Monte Carlo Simulation
Songyu Yan and Ian Luo, University of Minnesota

Indexed Universal Life (IUL) Insurance was developed to harness thepower of equity market returns with downside protection. However IUL iscurrently illustrated using a static credited rate which masks market returnvolatility inherent in its structure. As a result, what policyholders see as expectedperformance maybe far from reality in many cases. In our research, we modeledthe pricing algorithms of major IUL products and applied scenario testing usingMonte Carlo simulation of indices used in IUL products. The statistical variance ofindices leads to vastly different results than what is currently demonstrated inmany cases, and this variance may cause the failure of the policy. Our researchindicates a better method for demonstrating policy performance would be basedon an outcome analysis rather than the static method currently in use.Bios: Songyu Yan: https://www.linkedin.com/in/songyu-yan-826bb2126/          Ian Luo: https://www.linkedin.com/in/yifei-luo-9051b1170/

Fri Sep 27

MCFAM Seminar

5:30pm - Vincent Hall 16
Positive Matrices and Derivative Models
Carlos Tolmasky, University of Minnesota 

Principal components analysis has become widely used in a variety of fields. In finance and, more specifically, in the theory of interest rate derivative modeling, its use has been pioneered by R. Litterman and J. Scheinkman. Their key finding was that a few components explain most of the variance of treasury zero-coupon rates and that the first three eigenvectors represent level, slope and curvature changes on the curve. This result has been, since then, observed in various markets.Over the years, there have been several attempts at modeling correlation matrices displaying the observed effects as well as trying to understand what properties of the those matrices are responsible for the effect. Using recent results of the theory of positive matrices we characterize these matrices and, as an application, we shed light on some of the critiques to this methodology.Bio: http://mcfam.math.umn.edu/people/carlos-tolmasky

Fri Oct 04

MCFAM Seminar

5:30pm - Vincent Hall 16
RANDOM RULES AND THE ANCIENT HISTORY OF SIMULATION
Arkady Shemyakin, University of St. Thomas 

Modern approaches to simulation, involving Monte Carlo methods and randomized procedures of decision-making, are usually dated back to the mid-20th century and the arrival of the computer era. Deeper history goes back to the 19th and even 18th centuries and involves such devices as Galton’s board and Buffon’s needle. However, one can argue that long before the invention of computers, older devices such as dice and their predecessors have been effectively used for games and divination. The idea of this paper is to review the use of ancient randomizing devices to trace the history of simulation and random rules of decision-making. Special attention will be paid to some contemporary cultures, which have preserved some unique elements of their ancient history: native cultures of the Americas, the Celtic civilizations of Ireland and Scotland, and the indigenous peoples of Northern and Central Asia (Altai and Siberia).Bio: https://www.stthomas.edu/mathematics/faculty/arkady-shemyakin.html

Fri Oct 25

MCFAM Seminar

5:30pm - Vincent Hall 16
Mortgage Prepayment Behavior
Messan Edorh, Vice President at US Bank, Financial Engineering & Mortgage Stress Test, US Bank
Fri Nov 01

MCFAM Seminar

5:30pm - Vincent Hall 16
MCFAM Seminar - Yao Deng
Yao Deng, University of Minnesota

Bio: https://carlsonschool.umn.edu/faculty/yao-deng

Fri Nov 15

MCFAM Seminar

5:30pm - Vincent Hall 16
Data Science in the Life Insurance Industry
Gary Hatfield, Securian/University of Minnesota

Bio: https://mcfam.dl.umn.edu/people/gary-hatfield

Fri Nov 22

MCFAM Seminar

5:30pm - Vincent Hall 16
MCFAM Seminar - Perry Li
Perry Li, University of Minnesota

Bio: https://www.linkedin.com/in/liyuepeng/

Fri Dec 06

MCFAM Seminar

5:30pm - Vincent Hall 16
GUN VIOLENCE: ACTUARIAL ANALYSIS AND MATHEMATICAL MODELING
Kristen Moore, University of Michigan 

Firearm deaths and injuries are a significant problem in the United States. Indeed, the American Medical Association recently called firearm violence “a public health crisis” and called for a comprehensive public health response and solution. Gun violence in America exacts a significant toll on our society in both human and economic terms. Some argue that Americans have a moral obligation to address the issue of gun violence. But even from a more concrete perspective, the economic cost of firearms directly impacts the financial outcomes of insurers and taxpayers. There is a clear need for unbiased and objective research on the societal and economic impact of firearms. Actuaries are well positioned to study the mortality and morbidity related to firearms, both to quantify the risk and to inform governmental and public health interventions to mitigate the risk associated with firearms. Yet there is little on the topic in the actuarial and insurance literature. In this talk. I will provide a brief overview on the scope of firearm deaths and injuries and examine the extent to which actuaries and insurance professionals have studied or addressed the issue. I will compare firearm risk to risks that are considered in the underwriting process for life and homeowners insurance. I will describe some existing insurance products related to firearm risk as well as proposed legislation regarding gun liability insurance. In a different vein, if time permits, I will discuss preliminary work on a dynamical systems model of gun violence within a population. We are studying how, in an idealized model, changes to various policy parameters affect the long-term behavior of a system. Finally, I will describe some of the many open questions related to gun violence that are amenable to study by actuaries and mathematicians. Bio: https://sites.lsa.umich.edu/ksmoore/

Fri Apr 03

MCFAM Seminar

5:30pm - Vincent Hall 16
MCFAM Seminar
Justin A. Sirignano

Bio: http://jasirign.github.io/