Fangda Liu (University of Waterloo)

Math & Stats Department Colloquium

Friday, January 20th, 2023

Time: 2:30 p.m.  Place: Jeffery Hall, Room 234

Speaker: Fangda Liu (University of Waterloo)

Title: Model uncertainty and applications in insurance design

Abstract: The model uncertainty is of crucial importance when market participants are making risk management strategies. For a participant who adopts law-invariant risk measures for quantification, the study of the supremum of risk measure values can help the participant to better understand the performance of risk in the worst-case scenario. In this talk, we introduce several model uncertainty settings. The choices of risk measures, uncertainty sets, and transformations of the underlying risk play important roles in the characterization of the worst-case distribution. Motivated by the insurance policies, we mainly focus on stop-loss functions and limited loss functions. Furthermore, we discuss the optimal retention levels for participants in an insurance policy with model uncertainties.

Dr. Liu is an Assistant Professor in Actuarial Science at the Department of Statistics and Actuarial Science, University of Waterloo. Her research includes insurance/reinsurance design problems, characterization of risk measures, risk sharing and risk allocation problems, etc. Dr. Liu obtained her PhD in Actuarial Science from UW, and she is an associated fellow of the Society of Actuaries (SOA).