MCFAM Seminar Series: “A mixed bond and equity fund model for the valuation of segregated fund policies"

2021-22 Seminar Series

Please join us for our first seminar of fall semester! This seminar will feature Frederic Godin from Concordia University in Montreal who will discuss a mixed bond and equity fund model for the valuation of segregated fund policies.

Zoom meeting link

About the lecture
Segregated fund and variable annuity policies are typically issued on mutual funds invested in both fixed income and equity asset classes. However, due to the lack of specialized models to represent the dynamics of fixed income fund returns, the literature has primarily focused on studying long-term investment guarantees on single-asset equity funds. This seminar focuses on a mixed bond and equity fund model in which the fund return is linked to movements of the yield curve. Theoretical motivation for the researchers' proposed specification is provided through an analogy with a portfolio of rolling horizon bonds. Moreover, basis risk between the portfolio return and its risk drivers is naturally incorporated into their framework. Numerical results show that the fit of the researchers' model to segregated fund data is adequate. Finally, the valuation of segregated fund policies is illustrated and it is found that the interest rate environment can have a substantial impact on guarantee costs.

About the speaker
Frederic Godin is an associate professor in the Mathematics and Statistics Department of Concordia University in Montreal, Quebec, Canada. Godin's 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 and is part of the Quantact research group.

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Start date
Friday, Sept. 24, 2021, Noon
End date
Friday, Sept. 24, 2021, 1 p.m.
Location

Zoom