Seminar in applied mathematics and statistics

SPEAKER:  Matthias Fahrenwaldt (Univ. Hannover)

TITLE:   Dynamics of solvency risk in life insurance

ABSTRACT:  We describe the time dynamics of the solvency level of life insurance contracts by representing the solvency level and the underlying risk sources as the solution of a forward–backward system. This leads to an additive decomposition of the total solvency level with respect to time and different risk sources. The decomposition turns out to be an intuitive tool to study risk sensitivities. We study the forward–backward system and discuss ways to obtain representations of solutions that are amenable to numerical methods. 

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

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CURRENT SCHEDULE FOR SPRING 2016:
January 20, 15.15, Aud. 6:  Alessia Pini (MOX, Politecnico di Milano)
February 24, 15.15, Aud. 10:  Matthias Fahrenwaldt (Hannover)
March 11, 14.15, Aud. 8:  Hansjoerg Albrecher (Lausanne)
March 17, 15.15, Aud. 10:  Peter Glynn (Stanford)