The First T.N. Thiele Symposium

on Stochastics in Insurance and Finance


An international meeting under the auspices of the Mathematical Finance Network,
Grant No. 9800335 from the Danish Social Science Research Council.

Thursday 31 August - Friday 1 September, 2000


Venue: Auditorium 4, The H.C. Ørsted Institute, University of Copenhagen,
Universitetsparken 5, DK-2100 Copenhagen Ø, Denmark



Organizers:

Ragnar Norberg, London School of Economics (chairman)
David Lando, University of Copenhagen
Michael Sørensen, University of Copenhagen

Prospectus:

This conference marked the 125th anniversary of the advent of Thiele's (1875) differential equation for the reserve on a life insurance policy. Preceding by a quarter of a century the seminal works of Bachelier (1900) on stock prices modelled by Brownian motion and of Lundberg (1903) on ruin theory, Thiele's discovery represents the first rudiment of stochastic calculus in the mathematics of insurance and finance. The conference aimed at reviewing the field - its theoretical highlights and their practical implementation - and to further its development with a view to the ongoing merger of insurance and finance in academia and in the industry. During two conference days there were presentations by outstanding representatives of the actuarial and financial scientific communities. A special session was devoted to historical developments and in particular to the pioneering role of Professor (of astronomy) Thorvald Nicolai Thiele (1838-1910) in insurance mathematics, statistics, and numerical analysis.

A photo of Thorvald Nicolai Thiele

Speakers:

There were only invited speakers.

Programme

Abstracts

Søren Asmussen, Lund:   "The adjustment coefficient in some life insurance problems"

Tomas Björk, Stockholm:   "On the Existence of Finite Dimensional Realizations"
for Nonlinear Forward Rate Models"

Freddy Delbaen, Zürich:   "Predictable and optional decompositions in finance and insurance"

Michael Harrison, Stanford:   "Mathematizing option theory"

Vladimir Kalashnikov, Copenhagen:   "Stability concept in actuarial models"

Claudia Klüppelberg, München:   "Developments in Insurance Mathematics"

Steffen L. Lauritzen, Aalborg:   "Local computation in 1880"

Thomas Mikosch, Groningen :   "Tail probabilities for subadditive functionals acting on random walks and Lévy processes"

Jostein Paulsen, Bergen:   "On the use of importance sampling in the evaluation of ruin probabilities"

Hanspeter Schmidli, Århus:   "Optimal proportional reinsurance policies in a dynamic setting"

Mogens Steffensen, Copenhagen:   "Thiele's differential equation - still going strong"