Interdisciplinary MCFAM Student Research Team Presents at the 2019 Actuarial Research Conference (ARC)
A team of actuarial and MFM students participated in a research project with MCFAM Faculty and an industry mentor on Indexed Universal Life (IUL) Insurance. The project was funded by a generous gift from Tonkagroup LLC. The team’s abstract was selected for presentation at the largest Actuarial Research Conference in North America-ARC. Their project taught them that IUL, developed to harness the power of equity market returns with downside protection, is currently illustrated using a static credited rate. This masks market return volatility inherent in its structure. In their research, the team modeled the pricing algorithms of major IUL products and applied scenario testing using Monte Carlo simulation of indices used in IUL products. They found that the statistical variance of indices leads to vastly different results than what is currently demonstrated in many cases, and this variance may cause the failure of the policy. Their research indicates a better method for demonstrating policy performance would be based on an outcome analysis rather than the static method currently in use. Some of the same actuarial students and additional MFM students are working on the second phase of the research which deals with derivatives modeling. This research team has been invited to present their work at a Society of Actuaries (SOA) event in May 2020.
Photo From Left to Right: Yifei Luo (MFM Student) Sonyu Yan (Actuarial/Computer Science Student) Breanne Richins (FSA/Instructor/Research Adviser)
Financial Mathematics Research Projects Presented On Campus - Summer 2019
Two teams of MFM alumni engaged in research projects with one of their MFM instructors, John Dodson, during their last year of their MFM program. Their research abstracts were accepted for the SIAM Financial Engineering Conference in Toronto 2019, but they were not able to attend due to other commitments. As a result, the MFM Program held a MFM Research Seminar, on June 22, 2019. Current MFM students, alumni, faculty and mentors attended the lecture and gathered for a social hour on campus after the seminar.
See full presentation at these links: