MCFAM: “Risk allocation through Shapley decompositions, with applications to variable annuities"

Please join us for our next seminar either in person or virtually! This seminar will feature Frédéric Godin from Concordia University in Montreal who will discuss risk allocation through Shapley decompositions with applications to variable annuities.

Vincent Hall, Room 364
Zoom meeting link

Note: Refreshments will be served to those who attend in person in Vincent Hall.

Frédéric Godin
Associate Professor
Mathematics and Statistics Department
Concordia University in Montreal

About the lecture

This paper introduces a flexible risk decomposition method for life insurance contracts embedding several risk factors. Hedging can be naturally embedded in the framework. Although the method is applied to variable annuities in this work, it is also applicable in general to other insurance or financial contracts. The approach relies on applying an allocation principle to components of a Shapley decomposition of the gain and loss. The implementation of the allocation method requires the use of a stochastic on stochastic algorithm involving nested simulations. Numerical examples studying the relative impact of equity, interest rate, and mortality risk for guaranteed minimal maturity benefit (GMMB) policies conclude the researchers' analysis.

About the speaker

Frédéric Godin is an associate professor in the Mathematics and Statistics Department of Concordia University in Montreal, Quebec, Canada. His research interests are financial engineering, risk management, actuarial science, reinforcement learning, stochastic modeling, dynamics programing, variable annuities, and energy markets. He holds the Fellow of the Society of Actuaries (FSA) and Fellow of the Canadian Institute of Actuaries (FCIA) designations. He is part of the Quantact research group.