Talks in Financial and Insurance Mathematics

This is the regular weekly research seminar on Insurance Mathematics and Stochastic Finance.

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Spring Semester 2024

Date / Time Speaker Title Location
22 February 2024
17:15-18:15
Dr. Salvatore Scognamiglio
Parthenope University of Naples
Event Details

Talks in Financial and Insurance Mathematics

Title Explainable Least Square Monte Carlo for Solvency Capital Requirement Evaluation
Speaker, Affiliation Dr. Salvatore Scognamiglio, Parthenope University of Naples
Date, Time 22 February 2024, 17:15-18:15
Location HG G 43
Abstract Solvency II requires that to be solvent, insurance and reinsurance undertakings that adopt the internal model should hold their own funds able to cover losses in excess of expected ones at a given confidence level over a one-year period. This Solvency Capital Requirement (SCR) is defined as the Value-at-Risk of the Net Asset Value probability distribution at a 99.5% confidence level over a one-year period. Estimating the SCR involves nested simulations, incurring prohibitive computational costs. While machine and deep learning methods exhibit accuracy, their lack of explainability impedes adoption in the highly regulated insurance sector. This paper introduces an extension of the Least Square Monte Carlo method based on recent advances in explainable deep learning known as ‘localGLMnet’. The proposed approach allows for an accurate estimation of the SCR without compromising model explainability. It allows for deriving some interesting insights into the impact of risk factors on the value of the insurance liabilities. Numerical experiments performed on two realistic insurance portfolios validate our proposal. Additionally, we illustrate that the ElasticNet regularisation can be applied to enhance the model’s performance further.
Explainable Least Square Monte Carlo for Solvency Capital Requirement Evaluationread_more
HG G 43
29 February 2024
17:15-18:15
Prof. Dr. Mehdi Talbi
Université Paris-Cité
Event Details

Talks in Financial and Insurance Mathematics

Title Sannikov’s contracting problem with many Agents
Speaker, Affiliation Prof. Dr. Mehdi Talbi, Université Paris-Cité
Date, Time 29 February 2024, 17:15-18:15
Location HG G 43
Abstract This work aims to study an extension of the celebrated Sannikov’s Principal-Agent problem to the multi-Agents case. In this framework, the contracts proposed by the Principal consist in a running payment, a retirement time and a final payment at retirement. After discussing how the Principal may derive optimal contracts in the N-Agents case, we explore the corresponding mean field model, with a continuous infinity of Agents. We then prove that the Principal’s problem can be reduced to a mixed control-and-stopping mean field problem, and we derive a semi-explicit solution of the first best contracting problem. This is a joint work with Thibaut Mastrolia and Nizar Touzi.
Sannikov’s contracting problem with many Agentsread_more
HG G 43
7 March 2024
17:15-18:15
Prof. Dr. Gregoire Loeper
BNP Paribas Global Markets
Event Details

Talks in Financial and Insurance Mathematics

Title Black and Scholes, Legendre and Sinkhorn
Speaker, Affiliation Prof. Dr. Gregoire Loeper, BNP Paribas Global Markets
Date, Time 7 March 2024, 17:15-18:15
Location HG G 43
Abstract This talk will be a unified overview of some recent contributions in financial mathematics. The financial topics are option pricing with market impact and model calibration. The mathematical tools are fully non-linear partial differential equations and semi-martingale optimal transport. Some new and fun results will be a Black-Scholes-Legendre formula for option pricing with market impact, a Measure Preserving Martingale Sinkhorn algorithm for martingale optimal transport, and a lognormal version of the Bass Martingale.
Black and Scholes, Legendre and Sinkhornread_more
HG G 43
14 March 2024
17:15-18:15
Dr. Brandon Garcia Flores
Université de Lausanne
Event Details

Talks in Financial and Insurance Mathematics

Title Optimal reinsurance from an optimal transport perspective
Speaker, Affiliation Dr. Brandon Garcia Flores, Université de Lausanne
Date, Time 14 March 2024, 17:15-18:15
Location HG G 43
Abstract We regard the optimal reinsurance problem as an iterated optimal transport problem between a (known) initial distribution and an (unknown) resulting risk exposure of the insurer. We also provide conditions that allow to characterize the support of optimal treaties, and show how this can be used to deduce the shape of the optimal contract, reducing the task to a finite-dimensional optimization problem, for which standard techniques can be applied. The proposed approach provides a general framework that encompasses many reinsurance problems, which we illustrate in several concrete examples, providing alternative proofs of classical optimal reinsurance results as well as establishing new optimality results, some of which contain optimal treaties that involve external randomness. Finally, we explain how in the current framework one can approach the problem of moral hazard in reinsurance and provide characterizations that avoid it.
Optimal reinsurance from an optimal transport perspectiveread_more
HG G 43
11 April 2024
17:15-18:15
Prof. Dr. Erich Walter Farkas
ETH Zurich, Switzerland
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Prof. Dr. Erich Walter Farkas, ETH Zurich, Switzerland
Date, Time 11 April 2024, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
18 April 2024
17:15-18:15
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation
Date, Time 18 April 2024, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
25 April 2024
17:15-18:15
Dr. Xinwei Shen
ETH Zürich
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Dr. Xinwei Shen, ETH Zürich
Date, Time 25 April 2024, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
2 May 2024
17:15-18:15
Prof. Dr. Luciano Campi
University of Milan
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Prof. Dr. Luciano Campi, University of Milan
Date, Time 2 May 2024, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
16 May 2024
17:15-18:15
Prof. Dr. Peter Hieber
Université de Lausanne
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Prof. Dr. Peter Hieber, Université de Lausanne
Date, Time 16 May 2024, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
23 May 2024
17:15-18:15
Prof. Dr. Umut Cetin
London School of Economics
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Prof. Dr. Umut Cetin, London School of Economics
Date, Time 23 May 2024, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
30 May 2024
17:15-18:15
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation
Date, Time 30 May 2024, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43

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