ETH Zürich

Students Seminar on Financial and Insurance Mathematics

Summer 2002

Topic: Dependencies of Risks

In this seminar we will present and discuss Chapter 10 in R. Kaas et al., Modern Actuarial Risk Theory, Kluwer 2001 as well as two research papers listed below.

Time: Mondays, 10.15-12.00
Location: HG D1.2
Literature:
  1. Kaas, R., Goovaerts, M.J., Dhaene, J. & Denuit, M. (2001). Modern Actuarial Risk Theory. Kluwer, Dordrecht.
  2. Dhaene, J., Denuit, M., Goovaerts, M.J., Kaas, R. & Vyncke, D. (2001). The concept of comonotonicity in Actuarial Science and Finance: Theory. Proceedings of the fifth International Congres on Insurance: Mathematics and Economics, State College.
  3. Artzner P. (1999). Application of coherent risk measures to capital requirements in insurance. North American Actuarial Journal, Vol. 3, No. 2, pp. 11-25.
Monday, April 8, 2002:
Introduction.
Monday, April 29, 2002:
Presentation by Carolin Demarmels.
Source: Sections 1, 2 and 3 of Chapter 10 of R. Kaas et al.
Monday, May 6, 2002:
Presentation by Anja Egli.
Source: Sections 4 and 5 of Chapter 10 of R. Kaas et al.
Monday, May 13, 2002:
Presentation by Philippe Ehlers.
Source: Sections 1, 2 and 3 of the research paper by J. Dhaene et al.
Monday, May 27, 2002:
Presentation by Urs Schubiger.
Source: Section 4 of the research paper by J. Dhaene et al.
Monday, June 3, 2002:
Presentation by Norbert Quapp.
Source: Research paper by P. Artzner.
Monday, June 17, 2002:
Presentation by Isabelle Kranz.
Source: Section 5 of the research paper by J. Dhaene et al.
Please contact Dr. Jesper Lund Pedersen for further information.

Summer 2001

Topic: Recent Contributions to Insurance Mathematics

In this seminar we will present and discuss important research papers which appeared in well-known insurance journals (Insurance, Mathematics and Economics; Scandinavian Actuarial Journal; ASTIN Bulletin; North American Actuarial Journal; etc.) during the last years.

The following papers are planned for presentations:
April 26:
M. Kaluszka (2001) Optimal reinsurance under mean-variance premium principles, Insurance: Mathematics and Economics, Vol. 28 (1), pp. 61-67.
presentation by Michel Hauswirth
May 10:
J. Paulsen (1998) Ruin theory with compounding assets - a survey, Insurance: Mathematics and Economics, Vol. 22 (1), pp. 3-16.
presentation by Michael Bielser
May 17:
J. Dhaene, M. Goovaerts (1996) Dependency of risks and stop-loss order, ASTIN Bulletin, Vol. 26, No. 2, pp. 201-212.
presentation by Georges Bolli
May 31:
J. Dhaene, M. Denuit (1999) The safest dependence structure among risks, Insurance: Mathematics and Economics, Vol. 25 (1), pp. 11-22.
presentation by Martina Wilhelm
June 14:
P. Artzner (1999) Application of coherent risk measures to capital requirements in insurance, North American Actuarial Journal, Vol. 3, No. 2, pp. 11-25.
presentation by Michael Rey
Please contact Dr. Alexander McNeil for further information.

Winter 2000/01

Topic: Numerics of Financial Derivatives

One important practical issue in applied stochastics is the pricing and hedging of financial derivatives. In this seminar we discuss some relevant numerical methods. Topics include generation of random numbers, Monte-Carlo integration, low discrepancy sequences, stochastic Taylor series and numerical approximation of stochastic differential equations. Moreover we discuss numerical methods for partial differential equations with a view towards the Black-Scholes equation, which is one of the most basic equations in mathematical finance.

Prof. Freddy Delbaen and Prof. Paul Embrechts lead the seminar.

Prerequisites: Probability and Statistics as well as the elementary courses in calculus and linear algebra. Participation in the course Introduction to Mathematical Finance: Discrete-Time Models is an advantage.

Literature:
Rüdiger Seydel
Einführung in die numerische Berechnung von Finanz-Derivaten
Berlin: Springer, 2000
ISBN 3-540-66889-6

The seminar was in German. Please contact Dr. Thorsten Rheinländer for further information.

Summer 2000

Topic: Monte Carlo Simulation with a View to Risk Management

Monte Carlo simulation methods have become increasingly important in quantitative risk management. In this seminar we aim both to understand the theory of simulation better and also to learn about useful practical algorithms. As well as examining standard univariate procedures we will also consider the problem of simulation from more complex multivariate models.

Literature:
Robert CP & Casella G, Monte Carlo Statistical Methods, Springer 1999
Johnson ME, Multivariate Statistical Simulation, Wiley 1987
Ripley BD, Stochastic Simulation, Wiley 1987
Embrechts PME, McNeil AJ & Straumann D, Correlation and Dependence in Risk Management, preprint 1999

Thursday, March 30, 2000, 17.15 h (ETHZ, HG E1.2)

Thursday, April 6, 2000, 17.15 h (ETHZ, HG E1.2) Thursday, April 27, 2000, 17.15 h (ETHZ, HG E1.2) Thursday, May 4, 2000, 17.15 h (ETHZ, HG E1.2) Thursday, May 18, 2000, 17.15 h (ETHZ, HG E1.2) Thursday, May 25, 2000, 17.15 h (ETHZ, HG E1.2) Thursday, June 15, 2000, 17.15 h (ETHZ, HG E1.2) Thursday, June 22, 2000, 17.15 h (ETHZ, HG E1.2) Please contact Dr. Alexander McNeil for further information.

Summer 1999

Topic: Modelling and Management of Credit Risk

A model for credit risk is one of the most important components of an integrated risk management system in a bank or insurance company. Credit risk can be roughly defined as the unexpected change in the value of a portfolio of financial instruments caused by a change in the credit rating of a debtor. In the last few years some approaches to the stochastic modelling of this phenomenon have been proposed. In this seminar we aim to get an overview of these methods.

Thursday, April 8, 1999, 17.15 h (ETHZ, HG E1.2)

Thursday, April 22, 1999, 17.15 h (ETHZ, HG E1.2) Thursday, April 29, 1999, 17.15 h (ETHZ, HG E1.2) Thursday, May 6, 1999, 17.15 h (ETHZ, HG E1.2) Thursday, May 20, 1999, 17.15 h (ETHZ, HG E1.2) Thursday, June 10, 1999, 17.15 h (ETHZ, HG E1.2) Thursday, June 24, 1999, 17.15 h (ETHZ, HG E1.2) Thursday, July 1, 1999, 17.15 h (ETHZ, HG E1.2) Please contact Dr. Alexander McNeil for further information.

Summer 1998

Topic: Risk Measures with Applications in Insurance

Please send comments and suggestions concerning this page to Uwe Schmock, e-mail: schmock@math.ethz.ch
Last update: January 23, 2003