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.
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8 May 2025, 15:15-16:15
Subjective mortality, investment and annuitization over the financial life cycle
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10 Apr. 2025, 15:15-16:15
A Framework for Optimal Portfolios with Sustainable Assets and Climate Scenarios
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25 Mar. 2025, 15:15-16:15
Distributionally Robust Maximization of Ratio Exceedance Probability
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6 Feb. 2025, 15:15-16:15
GARCH copulas, v-transforms and d-vines
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5 Dec. 2024, 16:15-17:15
Unbiased embeddings into two-sided Brownian motion
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5 Dec. 2024, 15:15-16:15
Collective Defined Contribution pension schemes in the UK
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27 Nov. 2024, 15:15-16:15
On climate change and sustainability issues in actuarial science
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31 Oct. 2024, 15:15-16:15
Statistical inference for low rank volatility
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16 Oct. 2024, 15:15-16:15
Optimization under rare events: scaling laws for linear chance-constrained programs
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3 Oct. 2024, 15:15-16:15
Joint tail of randomly weighted sums under generalized quasi asymptotic independence
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5 Sept. 2024, 15:15-16:15
The Gapeev-Shiryaev Conjecture
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8 Aug. 2024, 15:15-16:15
Optimal ownership and capital structure with agency conflicts and debt renegotiation
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4 July 2024, 15:15-16:15
Futures-based models in commodity markets: from the Samuelson effect to implied correlation.
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13 June 2024, 15:15-16:15
Using optimal transport to quantify and mitigate unfair insurance predictions
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8 May 2024, 15:15-16:15
Optimal Robust Reinsurance with Multiple Insurers
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2 May 2024, 15:15-16:15
Learning Robust Portfolio Strategies
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2 May 2024, 14:15-15:15
Strategic Sector Coupling? Market Power in Heat and Power Markets
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25 Apr. 2024, 16:15-17:15
Multiple executions in competition
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25 Apr. 2024, 15:15-16:15
Scale-consistent rational planning
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3 Apr. 2024, 14:15-15:15
Adapted Wasserstein distance between the laws of SDEs
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13 Mar. 2024, 15:15-16:15
Calibration of the (geometric) Bass Local Volatility model
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7 Mar. 2024, 15:15-16:15
Experience rating in insurance pricing
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22 Feb. 2024, 15:15-16:15
Equilibrium premium strategies in a competitive non-cooperative insurance market
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8 Feb. 2024, 15:15-16:15
Multi-state models: Beware the Markov assumption!
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18 Jan. 2024, 15:15-16:15
Utility maximization with periodic evaluations
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14 Dec. 2023, 15:15-16:15
Martingale Schrödinger bridges
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7 Dec. 2023, 15:15-16:15
Uniform Function Estimators in Reproducing Kernel Hilbert Spaces with applications in stochastic optimization
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19 Oct. 2023, 15:15-16:15
Maxima sampling on random time intervals for heavy-tailed compound renewal and Lévy processes
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5 Oct. 2023, 15:15-16:15
Estimation of tail parameters with missing largest observations
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7 Sept. 2023, 15:15-16:15
Large deviations for Markov chain Monte Carlo methods
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29 June 2023, 15:15-16:00
What is the average surplus before ruin?
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29 June 2023, 14:15-15:00
Bivariate Laguerre series approach to insurance risk models: Joint ruin probability and finite-time ruin probability
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29 June 2023, 13:15-14:00
A Simple Lifecycle Strategy that Requires No Rebalancing
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8 June 2023, 15:15-16:15
Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells
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7 June 2023, 15:15-16:00
Estimation of the Premium in the Contaminated Pareto Distribution and Detecting of Outliers
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11 May 2023, 15:15-16:15
Refined behaviour of a conditioned random walk in the large deviations regime
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6 Mar. 2023, 14:15-15:00
About social finance
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22 Feb. 2023, 11:15-12:00
On the assumption of independent right censoring
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17 Jan. 2023, 15:15-16:00
Portfolio selection with exploration of new investment opportunities
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8 Dec. 2022, 15:15-16:15
Data-driven decisions in the container logistics industry
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1 Dec. 2022, 15:15-16:00
Optimal Market Making Models with Stochastic Volatility
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3 Nov. 2022, 15:15-16:15
On a Class of Time-inconsistent Optimal Stopping Problems
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20 Oct. 2022, 15:15-16:00
Extreme value statistics in semi-supervised models
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6 Oct. 2022, 15:15-16:15
Optimal ratcheting of dividends in insurance
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8 Sept. 2022, 15:15-16:15
Monitoring a developing pandemic with available data
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25 Aug. 2022, 16:15-17:00
Dynamic surplus optimization with performance- and index-linked liabilities
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25 Aug. 2022, 15:15-16:00
A hybrid variable annuity contract embedded with living and death benefit rider
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10 Aug. 2022, 15:15-16:00
Phase-type regression models
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1 Dec. 2021, 15:15-16:00
Life insurance calculations in a non-Markovian world