- Status:
- Associate Professor

- Coordinator for the Actuarial
Programs

- Affiliation:
- Department of Statistics and Actuarial Science, SFU

- E-mail:
- gparker at stat dot sfu dot ca

- Phone:
- (778) 782-4818

- Fax:
- (778) 782-4368

- Office:
- K 10562

My research interests lie in Actuarial Science. The general problem I
have been studying is that of modeling portfolios of insurance
policies under dual randomness of mortality and interest rates. I am
particularly interested in finding the moments and, when possible,
approximating the distribution of the present value of the benefits of
such portfolios. This problem is becoming a major area of research in
Actuarial Science. A better understanding of the portfolio approach is
very useful, for example, in determining appropriate contingency
reserves, in financial solvency assessment, in valuation of blocks of
businesses, and in pricing of products. The mortality risk is one that
is diversifiable, i.e., it can be reduced by increasing the size of
the portfolio, due to the Central Limit Theorem. However, the interest
rate risk does not follow this rule because of the highly dependent
investment rates of return that exist between policies of any given
portfolio. This dependency between policies complicates the problem
enormously. For example, we may want to find the distribution of the
sum of correlated random variables with mixed log-normal
distributions. I am also interested in the closely related problem of
modeling the movement of interest rates. Many different models have
been suggested in finance, like the Vasicek or the Cox-Ingersoll-Ross
models. These models and others may be used when studying portfolios
of insurance policies.

Selected
Publications

The
Actuarial Programs at SFU

contact me by email