[weekly
bulletin FIM][Risk Days and Previous Talks][Links to Talk Series][March 2004][April 2004][May
2004][June 2004]
If you would like to get an email when new talks are announced,
please
send your name and email address to Ms. Aline Strolz,
email strolz@isb.unizh.ch.
Last mailing: September 23, 2004
Wednesday, June 30,
2004,
15.00-15.50 h
(Campus Irchel, Y 36 M 94)
- Agoston Pisztora (IMPA, Rio de Janeiro and
Carnegie Mellon University, Pittsburgh)
FKG-type inequality for certain conditional measures
Wednsday, June 30, 2004, 16.00-16.50 h (Campus Irchel,
Y 36 M
94)
- Sergey Pergamenchtchikov (Rouen)
The tail of the stationary distribution of a random coefficient AR(q)
model
Wednsday, June 30, 2004, 17.20-18.10 h (Campus Irchel,
Y 36 M
94)
- Amir Dembo (Stanford)
Fractal geometry of simple random covering: late and favorite points
(Seminar on Stochastic Processes)
Thursday, June 24, 2004, 17.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Pavel Gapeev (Russian
Academy of Sciences)
Optimal Stopping Problems with Finite Horizon
Abstract: We present solutions to the
following two optimal stopping problems with finite time horizon: the
problem of quickest disorder detection for Wiener process and the
problem of pricing fixed-strike lookback American option in the
Black-Scholes model. The method of proof is based on reducing the
initial optimal stopping problems to parabolic free-boundary problems
where the continuation regions are determined by continuous curved
boundary and boundary surface, respectively. By means of the
change-of-variable formula containing the local time of a diffusion
process on curves and surfaces we show that the optimal boundaries can
be characterized as unique solutions of the nonliear integral equations
(in the second problem the latter follows from the early exercise
premium representation).
(Seminar on Financial and Insurance Mathematics)
Thursday, June 24, 2004, 16.15 -
17.30 h (IFW, A32.1)
- Alfred Müller (Universität Karlsruhe (TH))
A spot market model for pricing derivatives in electricity markets
Abstract: In this paper, we analyse the
evolution of prices in deregulated electricity markets. We present a
general model that simultaneously takes
into account the following features: seasonal patterns, price spikes,
mean reversion, price dependent volatilities and long term
non-stationarity. We
estimate the parameters of the model using historical data from the
European Energy Exchange. Finally, we demonstrate how it can be used
for
pricing derivatives via Monte Carlo simulation.
(Optimization Seminar)
Thursday, June 17, 2004, 17.15
h (ETHZ,
Hermann-Weyl-Zimmer, HG G43)
- Alexander Cherny (Moscow State
University)
General Arbitrage Pricing Model: Probability and Possibility Approaches
Abstract
(Seminar on Financial and Insurance Mathematics)
Wednesday, June 16, 2004, 17.30 h
(Campus Irchel, Y 36 M 94)
- Gesine Reinert (Oxford)
Couplings using biasing for the distributional approximations (with
particular emphasis on the normal distribution)
(Seminar on Stochastic Processes)
Tuesday, June 15, 2004, 12.15 h -
13.30 h (ETHZ,
Hermann-Weyl-Zimmer, HG G43)
- Andreas Kyprianou
(Utrecht
University)
Asymptotic overshoots of subordinators and applications to insurance
mathematics.
(Joint work with Ross Maller and Claudia Kluppelberg)
Abstract: We consider the overshoot of a fixed level of a class of
subordinators with heavy tails in their Levy measure which are killed
independently at an exponentially distributed time. By taking
asymptotics as the level tends to infinity an asymptotic overshoot
distribution
is obtained. Embedding these results into the ladder process of a
general Levy process one gets asymptotic overshoot distributions
which have meaning in insurance mathematics.
(Colloquium on Financial and Insurance Mathematics)
Monday, June 7, 2004, 17.15 h (ETHZ, HG G 3)
(Seminar on Financial and Insurance Mathematics)
Thursday, June 3, 2004, 17.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43)
- E. Rosazza-Gianin
(Università di Napoli Federico II)
Some examples of risk measures via g-expectations
(Seminar on Financial and Insurance Mathematics)
Thursday, June 3, 2004, 15.30 h (ETHZ, HG E33.5)
- E. Trubowitz, S. Malamud (both
ETH) and Y. Lengwiler (Basel)
Asset Pricing in Heterogeneous Economics
(Seminar on Financial and Insurance Mathematics)
Thursday, May 27,
2004, 17.15 h
(ETHZ,
HG D1.1)
- David Wilkie
(Heriot-Watt University, Edinburgh, and InQA Limited)
Best estimates, fair values and prudent reserves: the example of
reserving for guaranteed annuity options (.pdf)
Abstract: The
speaker, jointly with two colleagues, Professor Howard Waters and Dr
Sheauwen Yang, presented a long paper in 2003 on "Reserving, Pricing
and
Hedging for Policies with Guaranteed Annuity Options" (British
Actuarial
Journal, Vol 9, pp 263-425, 2003 and also http://www.actuaries.org.uk/files/pdf/sessional/sm20031027.pdf). In it
are discussed the three different concepts of "best estimate", or mean
value, quantile or value-at-risk contingency reserves, and "fair
value",
which allows for the best estimate plus a charge for the "rent" of the
extra capital needed to finance the required contingency
reserves.
Hedging, using option pricing principles, may reduce the required
contingency reserves, but not to zero. Hedging usually increases
the mean cost, so the fair value may either increase or reduce.
These are quite general concepts, applicable to any form of insurance,
not just to policies with guaranteed annuity benefits.
(Federal
Office of Private Insurance Seminar 2003/04, Seminar on Financial
and Insurance Mathematics)
Tuesday, May 18, 2004, 12.15 h -
13.30 h (ETHZ,
Hermann-Weyl-Zimmer, HG G43)
- Prof. K. Borovkov
(Melbourne University)
Boundary Crossing Probabilities for the Wiener Process: Approximation
Rates and Applications
Abstract:
We give explicit upper bounds for convergence rates when approximating
(both one- and two-sided general curvilinear) boundary crossing
probabilities
for the Wiener process by similar probabilities for
close boundaries (of simpler form for which computing the probability
is
feasible). In particular, we generalize and improve results obtained by
Poetzelberger and Wang (2001) for the case when approximating
boundaries
are piecewise linear. Applications to barrier option pricing are
discussed as well.
(Lunchtime Seminar)
Friday, May 14, 2004, 09.30 h - 11.30 h (ETHZ, HG G60)
- Massimo De Felice
(Universita di Roma "La Sapienza") and Franco
Moriconi (Universita di Perugia)
Measuring Risk Capital in P&C Loss Reserving (.pdf)
Abstract: The presentation addresses
the valuation of Risk Based Capital (RC) for outstanding liabilities in
P&C insurance. Two main components of RC are considered, Reserve RC
(risk from past years claims) and Premium RC (risk from next year
claims). Two different approaches to RC valuation are illustrated. A
first method is based on the variability of the updating ratios of the
ultimate loss estimates. The second approach is an application of the
stochastic chain-ladder model where future claim payments are simulated
by bootstrapping the observed data. In this framework the RCs are
derived from the predictive distribution of future reserve assessments
generated by the bootstrap procedure.
Numerical illustrations are provided.
Thursday, May 13, 2004, 17.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Massimo De Felice
(Universita di Roma "La Sapienza") and Franco
Moriconi (Universita di Perugia)
Market based tools for managing the life insurance company (.pdf)
Abstract: We present an approach to market based valuation of life
insurance policies. We have experienced the valuation method for more
than one decade, both as a pricing procedure applied to policy
portfolios of leading insurance companies, and by including the
valuation principles into several actuarial teaching activities.
Our interest is mainly focused here on participating policies that in
Italy are characterized by contractually binding profit sharing rules.
The problem of the fair valuation of the liabilities generated to the
insurer by these contracts can be conveniently addressed using the
methods of contingent claims pricing. These allow to price correctly
the
options embedded into the policies and to implement consistent plans of
asset-liability management. The approach also provides a market based
measurement of the value of business in force for outstanding policy
portfolios and consistent assessments of the financial risk based
capitals.
(Seminar on Financial and Insurance Mathematics)
Tuesday, May 11, 2004, 12.15 h - 13.30 h (ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Prof. K. Borovkov
(Melbourne University)
Large deviations probabilities for generalised renewal processes with
linear trend
(Lunchtime Seminar)
Thursday, May 6, 2004, 17.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43)
- John Schoenmakers (WIAS,
Berlin)
Iterative Construction of the Bermudan Stopping Time
Abstract: We present an iterative procedure for computing the optimal
Bermudan stopping time. We prove convergence, and so the method allows
for approximation of the Snell envelope from below. By using duality,
we
then deduce a convergent procedure for approximating the Snell envelope
from above as well. We provide numerical examples for Bermudan
swaptions in the context of a LIBOR market model.
(Seminar on Financial and Insurance Mathematics)
Thursday,
April 22, 2004, 17.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43)
- M. Zervos (King's
College London)
Sequential
entry and exit decisions with an ergodic criterion
Abstract: We consider a variant of an optimisation problem involving
sequential entry and exit decisions that has emerged in the economics
literature. The problem that we solve aims at maximising a performance
criterion of an ergodic, or long-term average nature, which is better
suited to decision making within a sustainable economic environment.
Our
results include a complete characterisation of the optimal strategy,
which can take qualitatively different forms depending on the problem's
data, as well as explicit expressions for the maximal value of the
associated performance index.
Wednesday,
April 21, 2004, 14.00 - 15.00 h (ETHZ, HG E33.1)
- J. Kampen (University of
Heidelberg)
On
generalizations of Hajek's mean comparison result and optimal
strategies for multivariate passport options
Abstract: We generalize Hajek's mean comparison result and apply it to
multivariate passport options. A multivariate passport option is a call
option on the balance of a trading account based on a basket of
securities. The strategy of the trading account is chosen by the option
holder, subject to certain position limits. We study the dependence of
option values on volatilities and identify optimal strategies. We
determine optimal strategies in terms of the Gammas' of the option. We
also show how optimal strategies are related to the value of the
portfolio. A new aspect in the multivariate case is that optimal
strategies depend on correlations between the returns of the assets.
Thursday, April 15, 2004, 17.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Anna Rita Bacinello (University
of Trieste)
Modelling
the surrender conditions in Equity-Linked Life Insurance
Tuesday, April 13, 2004, 12.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Enrico Biffis (University
of Trieste)
Affine
Processes in mortality modelling: an actuarial application
Tuesday,
March 30, 2004, 12.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Bojan Basrak (University of Zagreb)
Using copulas for the analysis of linkage in human genetics
Abstract: Linkage analysis is a statistical method that compares
genetic similarity between two individuals to similarity of their
physical or psychological traits. Its main goal is to find an
approximate location of the genes associated with a specific phenotype.
In this talk we deal with quantitative traits, like a person's height
or
blood pressure. In linkage studies, data typically consist of n pairs
of
measurements obtained from $n$ pairs of relatives, e.g. nonidentical
twins. Moreover, geneticists also measure degree or relatedness between
two twins on many different places along their genome using the concept
of identity by descent - IBD status. It is now a statistical problem to
decide if there is any region on our genome where higher IBD status
translates into more dependent phenotypic values. There are various
ways
geneticists tackle this problem. The commonly used approach assumes
that
the two measurements are coming from a bivariate normal distribution
conditional on the IBD status. To allow traits that are not normally
distributed, we advocate the use of copulas and semiparametric models.
Finally, we discuss some real-life data, as well as some multiple
testing issues that arise in these settings.
(Lunchtime Seminar)
Monday, March 22, 2004, 16.15 h (ETHZ,
HG F26.1)
- Prof. Nobuhiro Nakamura
(Hitotsubashi University, International Corporate Strategy)
Numerical
Approach to Asset Pricing Models with Stochastic Differential
Utility
Abstract: In this paper we develop two
new numerical schemes of solving the asset pricing models with
stochastic differential utility (SDU), which are formulated by either
backward stochastic differential equation (BSDE) or forward-backward
stochastic differential equation(FBSDE). The first scheme is based upon
a traditional lattice algorithm of option pricing theories, involving
the discretization scheme of coupled FBSDE, which is combined with a
technique of solving numerically a certain type of nonlinear equations
with respect to the backward state variables. The second one is a
modified four-step scheme of solving the quasi-linear partial
differential equation associated with the FBSDE. We demonstrate that
our
algorithm can successfully solve the asset pricing models with
generalized SDU and the large investor problem with market impact which
are typical examples such that the usual naive four-step scheme of Ma,
Protter and Yong(1994) breaks down. For other applications we study the
optimal consumption and investment policies of a representative agent
with SDU, and the recoverability of preferences and beliefs from
observed consumption data.
Monday, March 22, 2004, 17.15 h (ETHZ,
HG F26.1)
- Takahiko Fujita
(Hitotsubashi University, Graduate School of Commerce)
Exotic
Barrier Options and Related Topics
Abstract: I give examples of new Exotic
Barrier Options like "Edokko Options, Local Time Barrier Options". I
calculate the prices of these options in Black Scholes Model and
Discrete Time Model. Especially in Discrete Time Model, Preparing
Discrete Ito Formula and Discrete Levy formula, I develop Discrete
Stochastic Calculus and give an application for pricing exotic
derivatives.
Tuesday, March 9, 2004, 14.30 h (Swiss Re,
Mythenquai 50/60)
- Jean
Lemaire (Wharton School)
Adverse Selection due to Genetic Testing in Insurance Markets
Please register by
sending an email to Mirella_Jolliet@swissre.com.
Deadline: Friday, 20 February 2004.
Links to
Talk Series:
Risk Days and Previous Talks:
- Risk Day 2004, 2003, 2002, 2001, 2000, 1999, 1998
- Talks 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
[Finance and Insurance][Department of Mathematics][ETH Zürich]
Created and supported by Uwe Schmock
until September 12, 2003. Please send comments and suggestions to Gallus Steiger/Jörg Osterrieder,
email: finance_update@math.ethz.ch.
Last update: April 15, 2004