Seminar 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 academics, practitioners, and graduate students alike. All are welcome to attend. For further information, please contact the organizers: Christian Furrer and Mogens Bladt.

Upcoming talks:

25 April 2024, 15:15-16:15, Aud 3 (HCØ)

Claudio Tebaldi, Bocconi University

Title: Scale-consistent rational planning

25 April 2024, 16:15-17:15, Aud 3 (HCØ)

Marina Di Giacinto, University of Cassino and Southern Lazio

Title: Multiple executions in competition

2 May 2024, 14:15-15:15, Aud 3 (HCØ)

Afzal Siddiqui, Stockholm University

Title: Strategic Sector Coupling? Market Power in Heat and Power Markets

2 May 2024, 15:15-16:15, Aud 3 (HCØ)

Josef Teichmann, ETH Zurich

Title: Learning Robust Portfolio Strategies

8 May 2024, 15:15-16:15, Aud 8 (HCØ)

Silvana Pesenti, University of Toronto

Title: Optimal Robust Reinsurance with Multiple Insurers

12 June 2024, 15:15-16:15, Aud 8 (HCØ)

Stéphane LoiselCNAM

Title: To be determined

13 June 2024, 15:15-16:15, Aud 8 (HCØ)

Arthur Charpentier, Université du Québec à Montréal

Title: Using optimal transport to quantify and mitigate unfair insurance predictions

3 October 2024, 15:15-16:15

Dimitrios KonstantinidesUniversity of the Aegean

Title: To be determined

Past talks:

3 April 2024

Sigrid Källblad Nordin, KTH

Title: Adapted Wasserstein distance between the laws of SDEs

13 March 2023

Gudmund Pammer, ETH Zurich

Title: Calibration of the (geometric) Bass Local Volatility model

7 March 2024

Mario V. Wüthrich, ETH Zurich

Title: Experience rating in insurance pricing

22 February 2024

Rafael Serrano, Universidad del Rosario

Title: Equilibrium premium strategies in a competitive non-cooperative insurance market

8 February 2024

Hein Putter, Leiden University

Title: Multi-state models: Beware the Markov assumption!

18 January 2024

Harry Zheng, Imperial College London

Title: Utility maximization with periodic evaluations

14 December 2023

Johannes WieselCarnegie Mellon University

Title: Martingale Schrödinger bridges

7 December 2023

Alois Pichler, TU Chemnitz

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

19 October 2023

Sergey Foss, Heriot-Watt University

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

5 October 2023

Jan Beirlant, KU Leuven

Title: Estimation of tail parameters with missing largest observations

7 September 2023

Pierre Nyquist, KTH 

Title: Large deviations for Markov chain Monte Carlo methods: the surprisingly curious case of the Metropolis-Hastings algorithm

29 June 2023

Jae Kyung WooUNSW Sidney

Title: What is the average surplus before ruin?

29 June 2023

Eric C.K. Cheung, UNSW Sidney

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

29 June 2023

Gaurav KhemkaAustralian National University

Title: A Simple Lifecycle Strategy that Requires No Rebalancing

8 June 2023

Filip Lindskog, Stockholm University

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

7 June 2023

Mehdi Jabbari Nooghabi, Ferdowsi University of Mashhad

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

11 May 2023

Søren Asmussen, Aarhus University

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

9 March 2023

Andreas Søjmark, LSE

Title: Convergence of Stochastic Integrals on Skorokhod Space: New Results and an Application to Ruin Theory with Risky Investments

6 March 2023

Corina Constantinescu, University of Liverpool

Title: About social finance

22 February 2023

Morten Overgaard, Aarhus University

Title: On the assumption of independent right censoring

9 February 2023

Daniel Kuhn, EPFL

Title: On the Interplay of Optimal Transport and Distributionally Robust Optimization

17 January 2023

Luca De Gennaro Aquino, UCPH

Title: Portfolio selection with exploration of new investment opportunities

8 December 2022

Klaus K. Holst, Mærsk

Title: Data-driven decisions in the container logistics industry

1 December 2022

Burcu Aydoğan, RWTH Aachen University

Title: Optimal Market Making Models with Stochastic Volatility

3 November 2022

Boualem Djehiche, KTH

Title: On a Class of Time-inconsistent Optimal Stopping Problems

1 November 2022

Yevhen Havrylenko, TUM

Title: Constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model

20 October 2022

Chen Zhou, Erasmus University Rotterdam

Title: Extreme value statistics in semi-supervised models

6 October 2022

Hansjörg Albrecher, University of Lausanne

Title: Optimal ratcheting of dividends in insurance

8 September 2022

Jens Perch Nielsen, Bayes Business School

Title: Monitoring a developing pandemic with available data

25 August 2022

Sascha Desmettre, Johannes Kepler University Linz

Title: Dynamic surplus optimization with performance- and index-linked liabilities

25 August 2022

Jennifer Alonso GarcíaFree University of Brussels

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

10 August 2022

Jorge Yslas, University of Liverpool

Title: Phase-type regression models

10 June 2022

Martin Bladt, University of Lausanne

Title: Randomization and statistical expert information

23 February 2022

Nacira Agram, Linnæus University

Title: Solving mean-field stochastic control problems by using deep learning

1 December 2021

Marcus C. Christiansen, Carl von Ossietzky University of Oldenburg

Title: Life insurance calculations in a non-Markovian world