Announcements
Math Department Awards Day Ceremony on 4/19
Stuart Sidney Math Competition on April 2nd
2024 MATHCOUNTS Eastern Chapter Competition – February 17
News & Achievements
Professor Guozhen Lu elected AAAS Fellow
We are delighted with the news that our colleague Professor Guozhen Lu has been elected a Fellow of the American Association for the Advancement of Science (AAAS), one of the world’s largest general scientific societies. As the AAAS notes, election to be a Fellow is “a distinguished lifetime honor within the scientific community.” Professor Lu […]
[Read More]Math Department Awards Day Ceremony on 4/19
Goldenson Center research on the NBC Connecticut news
Small Business Life Expectancy actuarial research model featured in UConn Today and Contingencies magazine
Stuart Sidney Math Competition on April 2nd
Research by Professor Kyu-Hwan Lee and undergrad Alexey Pozdnyakov featured in Quanta Magazine
Upcoming Events
-
Apr
23
Control and Optimization Seminar - A Model for Loss Underreporting (Bin Zou, UConn) 2:00pm
Control and Optimization Seminar - A Model for Loss Underreporting (Bin Zou, UConn)
Tuesday, April 23rd, 2024
02:00 PM - 03:00 PM
Monteith Building 214
Abstract: Underreporting losses is a prevalent behavior in insurance that is well supported by the empirical study. The goal of this talk is, however, to propose a theoretical model to explain such a behavior. To achieve this, we take an optimization perspective and consider an optimal control problem in which the insured decides whether she should report a (covered) loss. This talk will be based on the following two papers:
- Jingyi Cao, Dongchen Li, Virginia R. Young, and Bin Zou (2023). Equilibrium reporting strategy: Two rate classes and full insurance. Journal of Risk and Insurance, https://onlinelibrary.wiley.com/doi/10.1111/jori.12451.
- Jingyi Cao, Dongchen Li, Virginia R. Young, and Bin Zou (2024). Strategic underreporting and optimal deductible insurance. ASTIN Bulletin, https://www.researchgate.net/publication/379300509_Strategic_Underreporting_and_Optimal_Deductible_Insurance.
Contact Information:
More -
Apr
23
Actuarial Science Seminar - Efficient Simulation of the SABR Model (Jaehyuk Choi, Peking University HSBC Business School) 3:00pm
Actuarial Science Seminar - Efficient Simulation of the SABR Model (Jaehyuk Choi, Peking University HSBC Business School)
Tuesday, April 23rd, 2024
03:00 PM - 04:00 PM
Monteith Building 214
This is a joint event with the UConn Control and Optimization Seminar.
Abstract. We propose efficient and reliable simulation schemes for pricing options under the stochastic-alpha-beta-rho (SABR) model. The standard two-step simulation procedures involve (i) simulation of the integrated variance conditional on terminal variance and (ii) simulation of the terminal forward price conditional on terminal variance and integrated variance. Most simulation schemes rely on the Islah approximation formula of the conditional distribution of the terminal asset price, which is seen to fail the martingale condition in general. We embed three enhanced features in our proposed simulation schemes. Firstly, we approximate the terminal forward price as the constant elasticity of variance (CEV) process that satisfies the martingale condition, an important property that precludes arbitrage. Secondly, we adopt the displaced Poisson-mixture Gamma distribution for the exact simulation of the underlying CEV process in the simulation of the terminal forward price conditional on integrated variance and terminal variance. Thirdly, we use the shifted lognormal approximation of the integrated variance to compute the integrated variance. Our enhanced procedures avoid the tedious Laplace inversion algorithm in integrated variance calculations and non-efficient inverse transform in the forward price calculations in earlier simulation schemes. Numerical results demonstrate our simulation schemes to be highly efficient, accurate, and reliable.
Speaker’s short bio: Dr. Choi is an associate professor with tenure at Peking University HSBC Business School in Shenzhen, China. He obtained his PhD in applied mathematics from Massachusetts Institute of Technology in 2005 and BS in mathematics from the Korean Advanced Institute of Science Technology in 2000. After his PhD, he worked in the industry as a quant for several years in BNP Paribas and Goldman Sachs. His research interests include quantitative finance, mathematical modeling, numerical methods, and data science. Please visit his website https://english.phbs.pku.edu.cn/2016/fulltime_0826/81.html for more information.
-
Apr
25
Probability and Data Science Colloquium 2:15pm
Probability and Data Science Colloquium
Thursday, April 25th, 2024
02:15 PM
Online
Speaker: Gordon Slade (UBC)
Contact Information:
More -
Apr
26
SIGMA Seminar - Formalizing Simplicial Topology in Lean- Garett Cunningham (UConn) 12:20pm
SIGMA Seminar - Formalizing Simplicial Topology in Lean- Garett Cunningham (UConn)
Friday, April 26th, 2024
12:20 PM - 01:10 PM
Monteith Building
In theory, proof assistants are a useful tool for validating mathematical claims. We will use simplicial topology as a case study to look at what goes into formalizing mathematics from pen and paper to the digital world. This is based on previous work with Stefan Friedl focused on formalizing stellar subdivisions of simplicial complexes. I will present a few anecdotal stories from our project that demonstrate some of the challenges involved. Topics include (but are not limited to) what changes when we introduce types to topology, decidability and computational complexity concerns, and what to do when the proof is left as an exercise for the reader.
Contact Information:
More -
Apr
26
Logic Colloquium: Xinhe Wu (NCSU) 2:00pm
Logic Colloquium: Xinhe Wu (NCSU)
Friday, April 26th, 2024
02:00 PM
MCHU 201 & Zoom
Join us in the Logic Colloquium for Xinhe Wu (NCSU)!
Details t.b.a.
All welcome!