MCAP Special Issue

Advances in Actuarial Science and Quantitative Finance

We invite submission of research papers related to recent advances in probability modeling from all areas of Finance, Risk Management and Insurance.

We encourage research that focuses on the development of innovative probability models, methodologies and applications reflecting recent trends in finance and insurance. Topics of particular interest include but are not limited to:

    • Epidemiological modeling, especially pertaining to the COVID-19 pandemic
    • Risk theory and queuing theory with applications in insurance and finance
    • Asset and liability management techniques
    • Risk measures, solvency and financial instability
    • Monte Carlo simulations and other computational methods
    • Emerging risks modeling and technologies (cyber, climate, machine learning, etc)

The Special Issue on Advances in Actuarial Science and Quantitative Finance has been published and can be found here.

J.L. Doob Best Paper Award for Applied Probability

This special issue is connected but not restricted to the 2022 Actuarial Research Conference (ARC) to be held at the University of Illinois at Urbana-Champaign in the United States. The best paper award is set up in honor of Professor Emeritus Joseph L. Doob, who was a pioneer in the study of probability and analysis, and best known for his foundational work on martingales and probabilistic potential theory. 

All papers submitted to this special issue have been considered for the J. L. Doob Best Paper Award. We are very pleased to announce that the paper “Portfolio optimization with a guaranteed minimum maturity benefit and risk adjusted fees” by A. MacKay and A. Ocejo has won the best paper prize. The runners-up for this prize include “Deep learning for constrained utility maximisation” by A. Davey and H. Zheng; “Fraction-degree reference dependent stochastic dominance” by J. Yang, C. Zhao, W. Chen, D. Zhou and S. Han; and “Dynamic bivariate mortality modeling” by Y. Jiao, Y. Salhi and S. Wang. Congratulations to the authors for their excellent research work!