Efficient Risk-sensitivity Estimation for Equity-Linked Insurance Benefits

Liban Mohammed
University of Wisconsin -Madison
Friday, October 2, 2020 - 7:30pm to 8:30pm
Zoom : https://umn.zoom.us/j/99433158383?pwd=T3h

For an organization with billions of dollars in assets, precise risk management is necessary to safeguard those assets. However, when the risks these assets are exposed to depend on the future performance of equities in complex ways, directly estimating them in real-time to the necessary precision can be prohibitively expensive. This talk discusses some approaches to resolving this tension via metamodeling techniques.Bio: Liban Mohamed is a final-year PhD student in the UW-Madison Department of Mathematics. His research focuses on the scattering theory of solutions to the Schrodinger equation on discrete spaces. The content of this talk is the result of a project hosted by the 2020 IMA Math-to-Industry Boot Camp with industry partners at Securian Financial.Zoom Link: https://umn.zoom.us/j/99433158383?pwd=T3h6LzlTWCt4YW93Kzk3Rmg2bXQrZz09