MaPhySto Centre for Mathematical Physics and Stochastics Funded by The Danish National Research Foundation	CAF Centre for Analytical Finance Funded by The Danish Social Science Foundation	FML Laboratory of Actuarial Mathematics University of Copenhagen

Workshop on

Financial methods in insurance

Invited speakers

Dirk Becherer, Imperial College

Fred Espen Benth, Oslo University

Rüdiger Frey, University of Leipzig

Christian Hipp, University of Karlsruhe

Bjarne Højgaard, Aalborg University

Ralf Korn, University of Kaiserslautern

David Lando, University of Copenhagen

Kristian R. Miltersen, Norwegian School of Economics and Business Administration

Ragnar Norberg, London School of Economics

Wolfgang Runggaldier, University of Padova

Martin Schweizer, University of Munich

Thursday, February 20, and Friday, February 21, 2003

University of Copenhagen

The workshop will be held at the Institute of Mathematical Sciences, University of Copenhagen, in Lecture Hall 1. There will be about 6 talks per day. The workshop is organized by Søren Asmussen (University of Lund), Ole E. Barndorff-Nielsen (University of Aarhus), Bent Jesper Christensen (University of Aarhus), Thomas Mikosch, Thomas Møller, Mogens Steffensen and Michael Sørensen (University of Copenhagen)

Abstract for the workshop

Over the last few years financial products have become important for the risk management and control of insurance companies. These developments have been triggering academic research in actuarial mathematics far beyond the classical approach. The newly developed tools of financial mathematics, including pricing and hedging of financial derivatives via martingale theory, stochastic analysis and stochastic control, have opened the door for "actuaries of the third kind", as phrased by Hans Bühlmann. This means that a new symbiosis of finance and insurance products has become part of the daily life of an actuary. It is the aim of this workshop to bring together some of the leading experts who bridge the gap between the theory and the applications. The participants of the workshop will learn about the state of the art of financial methods in insurance. Apart from this, the workshop will be devoted to discussions about the future of the whole field and new mathematical approaches.

Intended audience

Researchers and graduate students in insurance and financial mathematics, finance, economics, practitioners from the insurance industry, banks and regulatory authorities

Registration and Accommodation

There will be a registration fee of 800 DKK including conference dinner and lunches. The participants are expected to have their expenses covered by their home institutions or from other sources. Registration form

Tentative Programme and Recent Information

Programme

Abstracts

Note that there will only be invited talks.

We intend to have an informal conference dinner on Thursday which is included in the registration fee.

More Information

We have a page with information on how to get to the HC Ørsted Institute, where the workshop will be held.

Do not hesitate to contact the Laboratory of Actuarial Mathematics (Actuarial@act.ku.dk) or the local organizers Mogens Steffensen (mogens@math.ku.dk) or Thomas Møller (tmoller@math.ku.dk) for more information.