Workshop on financial methods in insurance

Programme:

The workshop takes place in Lecture Hall 1 at the HC Ørsted Institute. However, the sessions Friday morning take place in Store UP 1 at DIKU. Registration starts on Thursday at 9.00 outside Lecture Hall 1.

Thursday, February 20


9:30 - 9:35
 Opening of the Workshop.
9:35 - 10:30
 David Lando (Copenhagen): The trouble with the term structure of credit spreads
10:35 - 11:30
 Rüdiger Frey (Leipzig): On Dynamic Models for Portfolio Credit Risk and Credit Contagion
11:35 - 12:30
 Kristian Miltersen (Bergen): International comparison of interest rate guarantees
12:30 - 13:45
 Lunch
13:50 - 14:45

 Ragnar Norberg (London): Anomalous PDEs in Markov chains:
domains of validity and numerical solutions
14:45 - 15:05
 Coffee break
15:05 - 16:00
 Bjarne Højgaard (Aalborg): Dynamic risk-minimizing strategies in non-life insurance
16:05 - 17:00
 Christian Hipp (Karlsruhe): Some explicit solutions in actuarial control problems


Friday, February 21


9:05 - 10:00
 Wolfgang Runggaldier (Padova): Hedging under incomplete information and for non-diffusion-type models
10:00 - 10:30
 Coffee break
10:35 - 11:30
 Dirk Becherer (Imperial College): Hedging and valuation in financial models with interacting Ito and point processes
11:35 - 12:30
 Martin Schweizer (Munich): Mean-variance hedging and stochastic control
12:30 - 13:45
 Lunch
13:50 - 14:45
 Claus Munk (Odense): Portfolio and consumption choice with stochastic investment opportunities
and habit formation in preferences
14:45 - 15:05
 Coffee break
15:05 - 16:00
 Fred Espen Benth (Oslo): Utility optimization and option pricing: PDE's and minimal entropy measures
16:05 - 17:00
Ralf Korn (Kaiserslautern): Optimal investment with possible market crashes