题目：Two-Phase Selection of Representative Contracts for Valuation of Large Variable Annuity Portfolios

汇报人：  翁成国

会议时间：2023年6月7日(周三)  10：00-11：00

地点：综合楼644会议室

交流平台：腾讯会议272-295-880

报告人简介：翁成国，加拿大滑铁卢大学统计与精算系正教授(精算学); 本科硕士均毕业于浙江大学，博士毕业于加拿大滑铁卢大学统计与精算系。2004年至2006年，翁教授在浙江工商大学统计与数学学院工作。他的研究兴趣广泛，包括精算学、数量金融学、应用概率和统计学。翁教授主持过多项研究项目，包括加拿大国家自然科学基金和工程研究基金、北美精算师学会、加拿大精算师协会以及知名公司，如宏利保险公司和微软公司（加拿大）等项目。在包括《Insurance: Mathematics and Economics》和《Scandinavian Actuarial Journal》等精算学顶刊上发表论文50多篇；2008年与合作者发表于《Insurance: Mathematics and Economics》的论文《Optimal reinsurance under VaR and CTE risk measures》被CitEc评为该期刊发表的50篇被引用最多的论文之一，自2016 年以来，该论文一直跻身前50篇被引用最多的论文之列。 

摘要：A computationally appealing methodology for the valuation of large variable annuities portfolios is a metamodelling framework that evaluates a small set of representative contracts, fits a predictive model based on these computed values, and then extrapolates the model to estimate the values of the remaining contracts. In this talk, I will introduce a new two-phase procedure for selecting representative contracts. The representatives from the first phase are determined using contract attributes as in existing metamodelling approaches, but those in the second phase are chosen by utilizing the information contained in the values of the representatives from the first phase. Two numerical studies confirm that our two-phase selection procedure improves upon conventional approaches from the existing literature.