Seminars in Applied Mathematics and Statistics

SPEAKER #1 (15.15-16.00): Yushu Li (NHH: Norwegian School of Economics)

TITLE: Some aspects of wavelet analysis: statistical surveillance and support vector machine

SPEAKER #2 (16.15-17.00): Björn Löfdahl Grelsson (KTH Stockholm)

TITLE: Value at Risk for large life insurance portfolios

ABSTRACT: The upcoming Solvency II regulatory framework brings many new challenges to the insurance industry. In particular, the new regulations suggest a new mindset regarding the valuation and risk management of insurance products. In the standard model, capital charges are computed using a scenario based approach, and the capital charge is given as the difference between the present value under best estimate assumptions, and the present value in a certain shock scenario. As an alternative, insurers may adopt an internal model, which should be based on a Value-at-Risk approach. We consider a large portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Based on a conditional law of large numbers, we present approximate quantiles for the portfolio value, which can be used to compute the Solvency capital requirement.

(Host: Mogens Steffensen.)

Tea and chocolate will be served in room 04.3.15 after the seminar.