Seminars in Insurance and Economics

The Seminar in Insurance and Economics is organized by the Section for Insurance and Economics at the Department of Mathematical Sciences. It aims to promote the dissemination of research in the mathematics of life insurance and non-life insurance, mathematical finance, operations research, applied probability, and data-driven applications within insurance and economics. 

The seminar is targeted at academics, practitioners, and graduate students alike. All are welcome to attend. For further information, please contact the organisers Mogens Bladt, Jeffrey Collamore and Trine Boomsma.

Click on titles for abstracts.

• 8 May 2025, 15:15-16:15

  Subjective mortality, investment and annuitization over the financial life cycle

  SPEAKER: Steven Haberman (Bayes Business School).

• 10 Apr. 2025, 15:15-16:15

  A Framework for Optimal Portfolios with Sustainable Assets and Climate Scenarios

  SPEAKER: Ralf Korn (University of Kaiserslautern-Landau).

• 25 Mar. 2025, 15:15-16:15

  Distributionally Robust Maximization of Ratio Exceedance Probability

  SPEAKER: Miguel Lejeune (George Washington University).

• 6 Feb. 2025, 15:15-16:15

  GARCH copulas, v-transforms and d-vines

  SPEAKER: Alexander McNeil (University of York).

• 5 Dec. 2024, 16:15-17:15

  Unbiased embeddings into two-sided Brownian motion

  SPEAKER: Hermann Thorisson (University of Iceland).

• 5 Dec. 2024, 15:15-16:15

  Collective Defined Contribution pension schemes in the UK

  SPEAKER: Catherine Donnelly (Heriot-Watt University).

• 27 Nov. 2024, 15:15-16:15

  On climate change and sustainability issues in actuarial science

  SPEAKER: Stéphane Loisel (CNAM).

• 31 Oct. 2024, 15:15-16:15

  Statistical inference for low rank volatility

  SPEAKER: Mark Podolskij (University of Luxembourg).

• 16 Oct. 2024, 15:15-16:15

  Optimization under rare events: scaling laws for linear chance-constrained programs

  SPEAKER: Bert Zwart (CWI Amsterdam & Eindhoven University of Technology).

• 3 Oct. 2024, 15:15-16:15

  Joint tail of randomly weighted sums under generalized quasi asymptotic independence

  SPEAKER: Dimitrios Konstantinides (University of the Aegean).

• 5 Sept. 2024, 15:15-16:15

  The Gapeev-Shiryaev Conjecture

  SPEAKER: Goran Peskir (University of Manchester).

• 8 Aug. 2024, 15:15-16:15

  Optimal ownership and capital structure with agency conflicts and debt renegotiation

  SPEAKER: Zhaojun Yang (Southern University of Science and Technology).

• 4 July 2024, 15:15-16:15

  Futures-based models in commodity markets: from the Samuelson effect to implied correlation.

  SPEAKER: Bertrand Tavin (Emlyon Business School).

• 13 June 2024, 15:15-16:15

  Using optimal transport to quantify and mitigate unfair insurance predictions

  SPEAKER: Arthur Charpentier (Université du Québec à Montréal).

• 8 May 2024, 15:15-16:15

  Optimal Robust Reinsurance with Multiple Insurers

  SPEAKER: Silvana Pesenti (University of Toronto).

• 2 May 2024, 15:15-16:15

  Learning Robust Portfolio Strategies

  SPEAKER: Josef Teichmann (ETH Zurich).

• 2 May 2024, 14:15-15:15

  Strategic Sector Coupling? Market Power in Heat and Power Markets

  SPEAKER: Afzal Siddiqui (Stockholm University).

• 25 Apr. 2024, 16:15-17:15

  Multiple executions in competition

  SPEAKER: Marina Di Giacinto (University of Cassino and Southern Lazio).

• 25 Apr. 2024, 15:15-16:15

  Scale-consistent rational planning

  SPEAKER: Claudio Tebaldi (Bocconi University).

• 3 Apr. 2024, 14:15-15:15

  Adapted Wasserstein distance between the laws of SDEs

  SPEAKER: Sigrid Källblad Nordin (KTH).

• 13 Mar. 2024, 15:15-16:15

  Calibration of the (geometric) Bass Local Volatility model

  SPEAKER: Gudmund Pammer (ETH Zurich).

• 7 Mar. 2024, 15:15-16:15

  Experience rating in insurance pricing

  SPEAKER: Mario V. Wüthrich (ETH Zurich).

• 22 Feb. 2024, 15:15-16:15

  Equilibrium premium strategies in a competitive non-cooperative insurance market

  SPEAKER: Rafael Serrano (Universidad del Rosario).

• 8 Feb. 2024, 15:15-16:15

  Multi-state models: Beware the Markov assumption!

  SPEAKER: Hein Putter (Leiden University).

• 18 Jan. 2024, 15:15-16:15

  Utility maximization with periodic evaluations

  SPEAKER: Harry Cheng (Imperial College London).

• 14 Dec. 2023, 15:15-16:15

  Martingale Schrödinger bridges

  SPEAKER: Johannes Wiesel (Carnegie Mellon University). 

• 7 Dec. 2023, 15:15-16:15

  Uniform Function Estimators in Reproducing Kernel Hilbert Spaces with applications in stochastic optimization

  SPEAKER: Alois Pichler (TU Chemnitz).

• 19 Oct. 2023, 15:15-16:15

  Maxima sampling on random time intervals for heavy-tailed compound renewal and Lévy processes

  SPEAKER: Sergey Foss (Heriot-Watt University).

• 5 Oct. 2023, 15:15-16:15

  Estimation of tail parameters with missing largest observations

  SPEAKER: Jan Beirlant (KU Leuven).

• 7 Sept. 2023, 15:15-16:15

  Large deviations for Markov chain Monte Carlo methods

  Large deviations for Markov chain Monte Carlo methods: the surprisingly curious case of the Metropolis-Hastings algorithm. SPEAKER: Pierre Nyquist (KTH).

• 29 June 2023, 15:15-16:00

  What is the average surplus before ruin?

  SPEAKER: Jae Kyung Woo (UNSW Sidney).

• 29 June 2023, 14:15-15:00

  Bivariate Laguerre series approach to insurance risk models: Joint ruin probability and finite-time ruin probability

  SPEAKER: Eric C.K. Cheung (UNSW Sidney).

• 29 June 2023, 13:15-14:00

  A Simple Lifecycle Strategy that Requires No Rebalancing

  SPEAKER: Gaurav Khemka (Australian National University).

• 8 June 2023, 15:15-16:15

  Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells

  SPEAKER: Filip Lindskog (Stockholm University).

• 7 June 2023, 15:15-16:00

  Estimation of the Premium in the Contaminated Pareto Distribution and Detecting of Outliers

  SPEAKER: Mehdi Jabbari Nooghabi (Ferdowsi University of Mashhad).

• 11 May 2023, 15:15-16:15

  Refined behaviour of a conditioned random walk in the large deviations regime

  SPEAKER: Søren Asmussen (Aarhus University).

• 6 Mar. 2023, 14:15-15:00

  About social finance

  SPEAKER: Corina Constantinescu (University of Liverpool).

• 22 Feb. 2023, 11:15-12:00

  On the assumption of independent right censoring

  SPEAKER: Morten Overgaard (Aarhus University).

• 17 Jan. 2023, 15:15-16:00

  Portfolio selection with exploration of new investment opportunities

  SPEAKER: Luca De Gennaro Aquino (UCPH).

• 8 Dec. 2022, 15:15-16:15

  Data-driven decisions in the container logistics industry

  SPEAKER: Klaus K. Holst (Mærsk).

• 1 Dec. 2022, 15:15-16:00

  Optimal Market Making Models with Stochastic Volatility

  SPEAKER: Burcu Aydoğan (RWTH Aachen University).

• 3 Nov. 2022, 15:15-16:15

  On a Class of Time-inconsistent Optimal Stopping Problems

  SPEAKER: Boualem Djehiche (KTH Royal Institute of Technology).

• 20 Oct. 2022, 15:15-16:00

  Extreme value statistics in semi-supervised models

  SPEAKER: Chen Zhou (Erasmus University Rotterdam).

• 6 Oct. 2022, 15:15-16:15

  Optimal ratcheting of dividends in insurance

  SPEAKER: Hansjörg Albrecher (University of Lausanne).

• 8 Sept. 2022, 15:15-16:15

  Monitoring a developing pandemic with available data

  SPEAKER: Jens Perch Nielsen (Bayes Business School).

• 25 Aug. 2022, 16:15-17:00

  Dynamic surplus optimization with performance- and index-linked liabilities

  SPEAKER: Sascha Desmettre (Johannes Kepler University Linz).

• 25 Aug. 2022, 15:15-16:00

  A hybrid variable annuity contract embedded with living and death benefit rider

  SPEAKER: Jennifer Alonso García (Free University of Brussels).

• 10 Aug. 2022, 15:15-16:00

  Phase-type regression models

  Seminar in Insurance and Economics. SPEAKER: Jorge Yslas (University of Liverpool).
  
  

• 1 Dec. 2021, 15:15-16:00

  Life insurance calculations in a non-Markovian world

  Seminar in Insurance and Economics. SPEAKER: Marcus C. Christiansen (Carl von Ossietzky University of Oldenburg).