 |
|
Talks in Financial and Insurance Mathematics
Autumn Semester 2010
| Date |
Speaker |
Title |
Time |
Location |
| Sep. 16, 2010 |
Thorsten Schmidt
|
Existence and postivity in CDO term structures
|
17:15-18:15 |
HG G 43 |
| Abstract: |
Starting from a model for dynamical term structures of CDOs, conditions for absence of arbitrage reveal nested stochastic partial differential equations which respect a particular monotonicity. In a first part study conditions for existence of such models and in the second part we derive general conditions such that the required monotonicity holds. Besides being applicable to CDOs, similar questions also arise in models with ratings.
This is joint work with Stefan Tappe.
|
| Speakers: |
Thorsten Schmidt
(TU Chemnitz)
Invited by: Josef Teichmann
|
|
| Oct. 14, 2010 |
Richard Verrall
|
TBA
|
16:15-17:15 |
HG G 19.2 |
| Speakers: |
Richard Verrall
(Cass Business School, London, England)
Invited by: Paul Embrechts
|
|
| Oct. 14, 2010 |
Glenn Meyers
|
What EU Insurers Could Do if They Had Schedule P
|
17:15-18:15 |
HG G 43 |
| Abstract: |
The goal of this paper is to demonstrate how publicly available data can be used to calculate the technical provisions in Solvency II. This is a purely hypothetical exercise, since the publicly available data is in America, and Solvency II applies to the European Union. Using American Schedule P data, this paper:
1.Develops prior information to be used in an empirical Bayesian loss reserving method.
2.Uses the Metropolis-Hastings algorithm to develop a posterior distribution of parameters for a Bayesian Analysis.
3.Develops a series of diagnostics to assess the applicability of the Bayesian model.
4.Uses the results to calculate the best estimate and the risk margin in accordance with the principles underlying Solvency II.
5.Develops an ongoing process to regularly compare projected results against experience.
The paper includes analyses of the Schedule P data for four American Insurers based on its methodology.
The paper can be downloaded from the CAS E-Forum at:
http://www.casact.org/pubs/forum/10fforum/Meyers.pdf
My talk at ETH will contain some updates to the analysis contained in the paper. |
| Speakers: |
Glenn Meyers
(ISO Innovative Analytics)
Invited by: Paul Embrechts
|
|
| Oct. 28, 2010 |
Wolfgang Arendt
|
TBA
|
17:15-18:15 |
HG G 43 |
| Speakers: |
Wolfgang Arendt
(University of Ulm)
Invited by: Josef Teichmann
|
|
| Nov. 4, 2010 |
Harry Zheng
|
TBA
|
16:15-17:15 |
HG |
| Speakers: |
Harry Zheng
(Imperial College London)
Invited by: Martin Schweizer
|
|
| Nov. 4, 2010 |
Aurelien Alfonsi
|
TBA
|
17:15-18:15 |
HG G 43 |
| Speakers: |
Aurelien Alfonsi
(CERMICS, Paris, France)
Invited by: Josef Teichmann
|
|
| Nov. 11, 2010 |
Andrea Macrina
|
TBA
|
17:15-18:15 |
HG G 43 |
| Speakers: |
Andrea Macrina
(King's College London)
Invited by: Josef Teichmann
|
|
| Nov. 18, 2010 |
Jan Beran
|
TBA
|
17:15-18:15 |
HG G 43 |
| Speakers: |
Jan Beran
(Universitaet Konstanz)
Invited by: Paul Embrechts
|
|
| Dec. 9, 2010 |
Matheus Grasselli
|
TBA
|
17:15-18:15 |
HG G 43 |
| Speakers: |
Matheus Grasselli
(McMaster University, Hamilton, Canada)
Invited by: Mete Soner and Martin Schweizer
|
|
| Dec. 16, 2010 |
Michael Merz
|
TBA
|
17:15-18:15 |
HG G 43 |
| Speakers: |
Michael Merz
(University of Hamburg)
Invited by: Paul Embrechts
|
|
Risk Days and talks before Spring Semester 2009
- Risk Day 2004, 2003, 2002, 2001, 2000, 1999, 1998
- Talks SS09, HS08, HS07, SS07, WS06/07, SS06, WS05/06, SS05, WS 2004/05, SS 2004, WS 2003/04, SS 2003, WS 2002/03, SS 2002, WS 2001/02, SS 2001, WS 2000/01, SS 2000, WS 1999/2000, SS 1999, WS 1998/99, SS 1998, WS 1997/98
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