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Sessional Meeting - Asset Liability Modelling in the Quantum Era

Monday 5 July 2021 13:30 - 15:00

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The paper “Asset liability modelling in the quantum era” shall be presented by its authors, Tim Berry and James Sharpe, and chaired by Andrew Smith, Assistant Professor in the School of Mathematics and Statistics at University College Dublin. This gives a summary of historical and current practices in ALM, and then gives an insight into what ALM may be like in the immediate future by demonstrating how quantum computers can be used for ALM. A quantum algorithm for optimising ALM calculations is presented and tested using a quantum computer.

Speakers: 

Tim Berry

Tim Berry is a consultant actuary who specialises in creating valuation and pricing models for life and retirement income insurers and reinsurers. Tim aims to help create insightful, user-friendly and efficient models. Having worked in Hong Kong and Tokyo for several years, Tim currently works in the UK and internationally. Tim regularly chairs actuarial learning events, has an amateur interest in physics and enjoys hiking in warm places.

 

 

James Sharpe

James Sharpe is a consulting actuary with over twenty years of actuarial experience. James’s recent work has been in calibrating internal models, matching adjustment portfolios and asset liability matching.  James is also the Chair of the Extreme Events Working Party with the Institute and Faculty of Actuaries.

 

 

Chair: 

Andrew Smith 

Andrew is an internationally renowned actuary who specialises in the application of advanced mathematical and statistical methods to solve problems in the financial services industry.

Event organiser

Contact Events Team for more information.

eventmanagement@actuaries.org.uk

0207 632 1498

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