Mathematics

Optimal Investment for an Insurance Company

Speaker: 
Alexandru Badescu
Location: 
Calgary Place Tower (Shell)
University of Calgary, Calgary, Canada
Conference: 
Shell Lunchbox Lectures
Abstract: 

Optimal investment is a key problem in asset-liability management of an insurance company. Rather than allocating wealth optimally so as to maximize the overall investment return, an insurance company is interested in assessing the risk exposure where both assets and liabilities are included and minimizing the risk of mismatches between them. Different approaches for solving optimization problems by minimizing standard risk measures such as the value at risk (VaR) or the conditional value at risk (CVaR) have been proposed in the literature. In this paper we focus on some Solvency II applications by investigating several novel problems for jointly quantifying the optimal initial capital requirement and the optimal portfolio investment under various constraints.

Discussions on the convexity of these problems are also provided. Using a Monte Carlo simulation and a semi-parametric approach based on different assumptions for the loss distribution, we compute the insurer optimal capital needed to be efficiently invested in a portfolio formed by two or more assets. Finally, a detailed numerical experiment is conducted to assess the robustness and sensitivity of our optimal solutions relative to the model factors.

This paper was written in collaboration with Alexandru V. Asimit (Cass Business School, City University, UK), Tak Kuen Siu (Faculty of Business and Economics, Macquarie University, Australia)and Yuriy Zinchenko (Department of Mathematics and Statistics, University of Calgary).

Class: 
Applied
Subject: 
Mathematics
Econometrics
Applied Mathematics

Moments of zeta and L-functions on the critical Line II (3 of 3)

Speaker: 
K. Soundararajan
Date: 
Fri, Jun 3, 2011
Location: 
University of Calgary, Calgary, Canada
Conference: 
Analytic Aspects of L-functions and Applications to Number Theory
Abstract: 

I will discuss techniques to get upper and lower bounds for moments of zeta and L-functions. The lower bounds are unconditional and the upper bounds in general rely on the Riemann Hypothesis. In several cases of low moments, one can obtain asymptotics, and I may discuss a couple of such recent cases.

This lecture is part of a series of 3

  1. Lecture 1: distribution-values-zeta-and-l-functions-1-3
  2. Lecture 2: Moments of zeta and L-functions on the Critical Line, I
  3. Lecture 3: Moments of zeta and L-functions on the critical line, II
Class: 
Scientific
Subject: 
Mathematics
Number Theory

Moments of zeta and L-functions on the critical Line I (2 of 3)

Speaker: 
K. Soundararajan
Date: 
Thu, Jun 2, 2011
Location: 
PIMS, University of Calgary
Conference: 
Analytic Aspects of L-functions and Applications to Number Theory
Abstract: 

I will discuss techniques to get upper and lower bounds for moments of zeta and L-functions. The lower bounds are unconditional and the upper bounds in general rely on the Riemann Hypothesis. In several cases of low moments, one can obtain asymptotics, and I may discuss a couple of such recent cases.

This lecture is part of a series of 3

  1. Lecture 1: distribution-values-zeta-and-l-functions-1-3
  2. Lecture 2: Moments of zeta and L-functions on the Critical Line, I
  3. Lecture 3: Moments of zeta and L-functions on the critical line, II
Class: 
Scientific
Subject: 
Mathematics
Number Theory

Distribution of Values of zeta and L-functions (1 of 3)

Speaker: 
K. Soundararajan
Date: 
Thu, Jun 2, 2011
Location: 
PIMS, University of Calgary
Conference: 
Analytic Aspects of L-functions and Applications to Number Theory
Abstract: 

I will discuss the distribution of values of zeta and L-functions when restricted to the right of the critical line. Here the values are well understood by probabilistic models involving “random Euler products”. This fails on the critical line, and the L-values here have a different flavor here with Selberg’s theorem on log normality being a representative result.

This lecture is part of a series of 3

  1. Lecture 1: distribution-values-zeta-and-l-functions-1-3
  2. Lecture 2: Moments of zeta and L-functions on the Critical Line, I
  3. Lecture 3: Moments of zeta and L-functions on the critical line, II
Class: 
Scientific
Subject: 
Mathematics
Number Theory

PIMS/UBC Distinguished Colloquium: Dusa McDuff

Conference: 
PIMS/UBC Distinguished Colloquium Series
Date: 
Fri, Nov 4, 2011
Reference: 
Embedding questions in symplectic geometry
Class: 
Scientific
Subject: 
Mathematics

Inaugural Hugh C Morris Lecture - George Papanicolaou

PIMS was pleased to present the inaugural lecture in the new Hugh C Morris series with speaker George Papanicolaou from Stanford University.

Conference: 
Hugh C. Morris Lecture
Date: 
Mon, Nov 7, 2011
Reference: 
Hugh C. Morris Lecture: George Papanicolaou
Class: 
Scientific
Subject: 
Mathematics

Special values of Artin L-series (3 of 3)

Speaker: 
Ram Murty
Date: 
Thu, Jun 2, 2011
Location: 
PIMS, University of Calgary
Conference: 
Analytic Aspects of L-functions and Applications to Number Theory
Abstract: 

Dirichlet’s class number formula has a nice conjectural generalization in the form of Stark’s conjectures. These conjectures pertain to the value of Artin L-series at s = 1. However, the special values at other integer points also are interesting and in this context, there is a famous conjecture of Zagier. We will give a brief outline of this and display some recent results.

This lecture is part of a series of 3.

Class: 
Scientific
Subject: 
Mathematics
Number Theory

Artin’s holomorphy conjecture and recent progress (2 of 3)

Speaker: 
Ram Murty
Date: 
Thu, Jun 2, 2011
Location: 
PIMS, University of Calgary
Conference: 
Analytic Aspects of L-functions and Applications to Number Theory
Abstract: 

Artin conjectured that each of his non-abelian L-series extends to an entire function if the associated Galois representation is nontrivial and irreducible. We will discuss the status of this conjecture and discuss briefly its relation to the Langlands program.

This lecture is part of a series of 3.

Class: 
Scientific
Subject: 
Mathematics
Number Theory

Introduction to Artin L-series (1 of 3)

Speaker: 
Ram Murty
Date: 
Thu, Jun 2, 2011
Location: 
PIMS, University of Calgary
Conference: 
Analytic Aspects of L-functions and Applications to Number Theory
Abstract: 

After defining Artin L-series, we will discuss the Chebotarev density theorem and its applications.

This lecture is part of a series of 3.

Class: 
Scientific
Subject: 
Mathematics
Number Theory

Small Number and the Old Canoe (Squamish)

Speaker: 
Veselin Jungic
Mark Maclean
Rena Sinclair
Date: 
Sun, Nov 22, 2009 to Mon, Nov 23, 2009
Location: 
Simon Fraser University, Burnaby, Canada
University of British Columbia, Vancouver, Canada
Conference: 
BIRS First Nations Math Education Workshop
Abstract: 

N.B. This video is a translation into Squamish by T'naxwtn, Peter Jacobs of the Squamish Nation

In Small Num­ber and the Old Canoe math­e­mat­ics is present through­out the story with the hope that this expe­ri­ence will make at least some mem­bers of our young audi­ence, with the moderator’s help, rec­og­nize more math­e­mat­ics around them in their every­day lives. We use terms like smooth, shape, oval, and sur­face, the math­e­mat­i­cal phrase­ol­ogy like, It must be at least a hun­dred years old, the artist skill­fully presents reflec­tion (sym­me­try) of trees in water, and so on. The idea behind this approach is to give the mod­er­a­tor a few open­ings to intro­duce or empha­size var­i­ous math­e­mat­i­cal objects, con­cepts, and ter­mi­nol­ogy. The short film is a lit­tle math sus­pense story and our ques­tion is related only to one part of it. The aim of the ques­tion is to lead to an intro­duc­tion at an intu­itive level of the con­cept of a func­tion and the essence of the prin­ci­ple of inclusion-exclusion as a count­ing tech­nique. The authors would also like to give their audi­ence an oppor­tu­nity to appre­ci­ate that in order to under­stand a math ques­tion, one often needs to read (or in this case, watch) a prob­lem more than once.

For additional details see http://mathcatcher.irmacs.sfu.ca/story/small-number-and-old-canoe

Class: 
Educational
Subject: 
Mathematics

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