Risk measures have played an important role in quantitative risk management for finance, insurance, operations research, and many other fields. Many decision problems in actuarial science are based on risk measures as well. In this talk, we resent some optimization problems based on risk measures in actuarial science including optimal reinsurance designs and worst-case risk measures and discuss how to model and solve such optimization problems in actuarial science.
Dr. Jun Cai obtained his PhD degree in Actuarial Mathematics at Concordia University, Canada, and currently is a professor of Actuarial Science in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada. His current research interests include risk analysis, risk management for insurance and finance, dependence modelling, optimization problems in insurance and finance. His publications appear in different journals including Mathematical Finance, Finance and Stochastics, Journal of Risk and Insurance, Insurance: Mathematics and Economics, Scandinavian Actuarial Journal, Advances in Applied Probability, Stochastic Processes and their Applications, Journal of Multivariate Analysis. He is currently an associate editor of Insurance: Mathematics and Economics and is also serving in editorial boards for several other journals.
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