Abstract

Variable annuities are retirement insurance products created by insurance companies that contain financial guarantees. To mitigate the financial risks associated with these guarantees, insurance companies have adopted dynamic hedging, which is a risk management technique for options. However, dynamic hedging is associated with computationally intensive valuations of variable annuity policies.  In this talk, I will present the computational problems and the metamodeling approaches that have been developed in the past few years to address these computational problems.

Biography

Guojun Gan is an Associate Professor in the Department of Mathematics at the University of Connecticut, Stores, CT, USA, where he has been since August 2014. Prior to that, he worked at a large life insurance company in Toronto, Canada for six years and a hedge fund in Oakville, Canada for one year. He received a BS degree from Jilin University, Changchun, China, in 2001 and MS and PhD degrees from York University, Toronto, Canada, in 2003 and 2007, respectively. He is also a Fellow of the Society of Actuaries (FSA).  His research interests are in the interdisciplinary areas of actuarial science and data science.  He has published several books and papers on a variety of topics, including data clustering, variable annuity, applied statistics, programming, and mathematical finance. According to Google Scholar, his work has been cited more than 4,400 times.