Faculty of Actuarial Science and Insurance Research Seminars

Academic Year 2019/2010.

If you wish to attend a seminar, please book, using the link below the Seminar.  Tea and other light refreshments will be available 15 minutes before the talk begins in the milling area outside conference room.

The FASI seminars are recognised by the Institute and Faculty of Actuaries as providing 1 hour of continuous professional development (CPD) training.

If you would like to be added to the seminar electronic mailing list, please send an e-mail stating so, containing your name to Faculty.Administration@city.ac.uk.

9th October 2019 - Hirbod ASSA

Dr Hirbod Assa
Head of Consultancy in Financial Math, University of Liverpool

No Hedging Market Consistent Valuation

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Abstract. The existing literature on market-consistent valuation (MCV) always assumes that the liquid assets cannot change the market valuation of a risky portfolio. In other words, an MCV needs also to be a hedging consistent valuation (or HCV). In this talk, we will discuss how HCV can be a restrictive condition when it comes to MCV. Then we consider a pure MCV, or MCV without hedging, and discuss how one can relate it to market sub-consistent valuation (MSCV). The discussions will follow by proposing methods for real word implement.


Dr Hirbod Assa joined the Department of Mathematics at the University of Liverpool in September 2013 as an assistant professor (Lecturer in the UK system). He now serves as the director of MSc program in financial mathematics and also as Head of Consultancy in the Department of Mathematics.  He earned his first PhD in mathematical finance from the University of Montreal, working on the application of risk measures in finance. In 2013 Dr Assa completed another PhD in economics at Concordia University, where he was awarded the Balvir Singh medal for outstanding achievements in my PhD thesis. He has experience of teaching courses in economics as well as in mathematics.   His background in two disciplines gives him  the ability to model real world problems with mathematical tools. His research interests cover different areas including insurance, re-insurance, asset pricing, agricultural insurance and game theory. Dr Assa is the founder and chair of Financial and Actuarial Mathematics group in Iran (FINACT-IRAN). He has chaired the  FINACT-IRAN conference in 2014, 2015, 2016 and 2017, and also organised few other workshops for this group.  He has been on the organizing committees of several events, including, , Quantitative Finance and Risk Analysis (2015, 2016) and Insurance: Mathematics and Economics (IME, 2015). Since September 2014  he has  become a member of the advisory board of Agricultural Finance Review

6th November 2019 - Jennifer ALONSO-GARCIA

Utility indifference pricing of a coupon-yielding bond.

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When valuing claims on assets or indices which are not fully hedgeable, well-known option pricing expressions are no longer valid (see e.g. \cite{amin,black}) and incomplete market techniques need to be used. We use the theory of utility indifference pricing to derive a general framework to price claims on securities which are not traded \cite{musiela,young}. The utility indifferent price is the one that makes the issuer indifferent between issuing the claim, which involves receiving a premium and paying cash-flows throughout the duration of the contract and at maturity, and not issuing the claim. The strength of this technique is that it can incorporate the risk appetite of the issuer in the price and that it provides closed-form solutions when individuals have exponential preferences. We calculate the price for a security which is partially correlated with the financial markets and which makes regular coupon payments throughout the duration of the contract. Contrary to most frameworks found in the literature, we generalize the two-step pricing procedure and incorporate intermediate payments. The framework can be applied to the valuation of over-the-counter securities. In the specific insurance context, it can be used to price catastrophic-linked bonds or longevity bonds.


Jennifer Alonso García joined the Department of Economics, Econometrics and Finance (EEF) as an Assistant Professor at the University of Groningen in July 2018. Previously she was a Senior Research Associate at CEPAR, where she is now Associate Investigator. She completed her studies in mathematics in Spain and Germany, and received her PhD from the Université Catholique de Louvain in Belgium in 2015. She is a IABE Qualified Actuary of the Belgian Institute of Actuaries. She has also worked in the industry as a Risk advisor in the area or Solvency II and MCEV.

Her research combines the areas of actuarial science, household, pension and quantitative finance to study the design, risk-sharing and financing of funded and pay-as-you-go retirement income schemes. Her past, current and future research projects are all developed around the following overarching question: “How can we develop sound retirement income schemes that are fiscally sustainable and attractive for participants in an ageing environment?” During her PhD she studied both the fiscal sustainability and adequacy of pay-as-you-go financed defined contribution public pension schemes.

​Jennifer is currently involved in research projects on the financial decision making of households during retirement, life expectancy inequality and design and risk management of equity-linked retirement income products.  Her research has been published in leading international journals, including European Journal of Finance, Quantitative Finance, Insurance: Mathematics and Economics, Scandinavian Actuarial Journal and the ASTIN Bulletin and has been awarded the ICA 2018 Best Paper Award.

20th November - Anna Maria GAMBARO

Time Consistent Optimal Asset Allocation for Life Insurance Funds

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In this work, we propose a dynamic consistent optimization problem for a portfolio of life insurance policies, in the Solvency II directive framework. In [Asanga et al., 2014], the authors use Solvency indicators to find the optimal asset allocation of non-life insurance funds, minimising the Solvency Capital Requirement (SCR), in a one-period model. [Christiansen and Niemeyer, 2014] propose a dynamic formulation of the SCR, using the dynamic value at risk (VaR). However, the dynamic-VaR is not a time consistent risk measure (see for instance, [Acciaio and Penner, 2010]). For non-life insurance funds and in case of a single liability cash-flow at maturity, [Devolder and Lebégue, 2017] analyse the time-consistent dynamic formulation of the SCR using the iterated-VaR and the iterated conditional tail expectation.  However, the iterated formulation of the SCR has some important drawbacks. [Devolder and Lebégue, 2017] show that using iterated risk measures, the SCR becomes quite expensive for long term liabilities and it may explode in some circumstances. Moreover, the iterated-SCR is not compliant with the Solvency II directive, in fact, it does not answer to the regulator request: how much is the capital to be held by insurance to meet his obligations over the following year?  We extend the literature in various directions. Firstly, we consider the framework of life insurance liabilities with multiple cash-flows. Secondly, starting from the static definition of the SCR in [Christiansen and Niemeyer, 2014], we propose a dynamic version of the SCR, that is time consistent, in agreement with the regulators directive and that encompass the drawbacks of the iterated formulation. Moreover, following the work of [Shapiro, 2009] on dynamic risk averse stochastic programming problems, we formulate a time consistent asset allocation problem based on the SCR minimization.

Finally, we apply the optimization problem to the case study of with-profit life insurance funds, which is analysed in [Gambaro et al., 2018] from the market-consistent valuation perspective.


Anna Maria Gambaro is an assistant professor in mathematics for economy, Finance and insurance at Università del Piemonte Orientale, Novara, Italy. Her research interests focus on pricing and risk management of financial and insurance products. Her recent research contributions have appeared in Quantitative Finance and Insurance: Mathematics and Economics. She obtained a Ph.D in Mathematical Finance in 2017 from Università degli studi di Milano Bicocca, faculty of Statistic and Quantitative Methods. Previously, she obtained an MSc and a BSc in Physics from Università degli Studi di Milano. From 2017 to 2018, she was granted a postdoctoral scholarship from Università del Piemonte Orientale, co-financed by Deloitte Consulting, Finance & Risk, under the supervision of Prof. Gianluca Fusai.

Seminars take place on Wednesdays 16:00 to 17:00 in Room 2005. Light refreshments available at 15:45 in seminar room. The seminars are open to everyone.

Please contact: faculty.administration@city.ac.uk for further information.