- Theme: Risk-free interest rate for valuation of insurance liability
- Date: 7th November, 2020, Saturday
- Time: 16：00-17：00
- Venue: Mathematical Science Building, MB 537
Due to the change of insurance accounting standards and the development of insurance solvency regulation, the interest rate for valuation of insurance reserve has become an important practical issue in the field of actuarial science. Risk free interest rate is also one of the themes of financial mathematics. I will brief through the interest rates for solvency reserve and financial report reserve adopted by China's insurance industry currently. Then I will show some research results by using Smith-Wilson method adopted by European Solvency II, to China's risk-free interest rate.
Professor Lan Wu, Peking University, China
Professor Lan Wu is a full professor and Head of the department in the Department of Financial Mathematics, School of Mathematical Science, at the Peking University. She has explored a range of topics such as Financial Statistics, Actuarial Science, Statistic methods and its application in financial investments. She received her PhD in 1999 from the Peking University, China, and has worked at the Peking University since 1997. She has taken on administrative roles, including serving as the head of the Department of Financial Mathematics, the vice chair of Education Committee of International Actuarial Association (IAA) (2018-2021), executive member of the China Association of Actuaries from 2014. Her research has been published in journals such as Journal of risk, Quantitative Finance, Statistics and Probability letters, Journal of Applied Probability, Journal of Theoretical Probability, Journal of Computational and Applied Mathematics, and the Insurance: Mathematics and Economics.