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Talks in Financial and Insurance Mathematics
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This is the regular weekly research seminar on Insurance Mathematics and Stochastic Finance.
Autumn Semester 2016
Note: The highlighted event marks the next occurring event.
Date / Time | Speaker | Title | Location | |
---|---|---|---|---|
25 August 2016 |
No seminar | |||
1 September 2016 17:15-18:15 |
Marcel Nutz Columbia University |
A Mean Field Game of Optimal Stopping | HG G 43 | |
Abstract: We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become functions of the common noise that all agents are exposed to, whereas idiosyncratic randomness can be eliminated by an Exact Law of Large Numbers. Under a structural monotonicity assumption, we can identify equilibria with solutions of a simple equation involving the distribution function of the idiosyncratic noise. Solvable examples allow us to gain insight into the uniqueness of equilibria and the dynamics in the population. | ||||
29 September 2016 17:15-18:15 |
Yan Dolinsky Hebrew University of Jerusalem |
Super-Replication with Constant Transaction Costs | HG G 43 | |
Abstract: We study super-replication of contingent claims in markets with fixed transaction costs. First we prove that in reasonable continuous time financial market the super-replication price is prohibitively costly and leads to trivial buy-and-hold strategies. Our second result is deriving non trivial scaling limits of super-replication prices in the binomial models. joint work with Peter Bank | ||||
13 October 2016 17:15-18:15 |
Bruno Bouchard Ceremade, Université Paris-Dauphine |
Stochastic invariance of closed sets with non-Lipschitz coefficients | HG G 43 | |
Abstract: We provide a new characterization of the stochastic invariance of a closed subset with respect to a diffusion. We extend the well-known inward pointing Stratonovich drift condition to the case where the diffusion matrix can fail to be differentiable: we only assume that the covariance matrix is. In particular, our result can be directly applied to construct affine and polynomial diffusions on any arbitrary closed set. | ||||
20 October 2016 17:15-18:15 |
Peter Tankov Université Paris-Diderot |
Optimal importance sampling for Lévy processes | HG G 43 | |
Abstract: We develop importance sampling estimators for Monte Carlo pricing of European and path-dependent options in models driven by Lévy processes, extending earlier works focusing on the Black-Scholes and continuous stochastic volatility models. Using recent results from the theory of large deviations for processes with independent increments, we compute an explicit asymptotic approximation for the variance of the pay-off under an Esscher-style change of measure. Minimizing this asymptotic variance using convex duality, we then obtain an importance sampling estimator of the option price. Numerical tests in the variance gamma model show consistent variance reduction with a very small computational overhead. (Adrien Genin and Peter Tankov) | ||||
27 October 2016 17:15-18:15 |
Tim Boonen Universiteit van Amsterdam |
Capital allocation for portfolios with non-linear risk aggregation | HG G 43 | |
Abstract: Existing risk capital allocation methods, such as the Euler rule, work under the explicit assumption that portfolios are formed as linear combinations of random loss/profit variables, with the firm being able to choose the portfolio weights. This assumption is unrealistic in an insurance context, where arbitrary scaling of risks is generally not possible. Here, we model risks as being partially generated by Lévy processes, capturing the non-linear aggregation of risk. The model leads to non-homogeneous fuzzy games, for which the Euler rule is not applicable. For such games, we seek capital allocations that are in the core, that is, do not provide incentives for splitting portfolios. We show that the Euler rule of an auxiliary linearized fuzzy game (non-uniquely) satisfies the core property and, thus, provides a plausible and easily implemented capital allocation. In contrast, the Aumann-Shapley allocation does not generally belong to the core. For the non-homogeneous fuzzy games studied, Tasche's (1999) criterion of suitability for performance measurement is adapted and it is shown that the proposed allocation method gives appropriate signals for improving the portfolio underwriting profit. This presentation is based on joint work with Andreas Tsanakas (Cass Business School) and Mario Wüthrich (ETH Zürich). | ||||
10 November 2016 17:15-18:15 |
Michaela Szölgyenyi Vienna University of Economics and Business |
A numerical method for SDEs appearing in insurance and financial mathematics | HG G 43 | |
Abstract: When solving certain stochastic control problems in insurance- or financial mathematics, the optimal control policy sometimes turns out to be of threshold type, meaning that the control depends on the controlled process in a discontinuous way. The stochastic differential equations (SDEs) modeling the underlying process then typically have a discontinuous drift coefficient. This motivates the study of a more general class of such SDEs. We prove an existence and uniqueness result, based on a certain transformation of the state space by which the drift is “made continuous”. As a consequence the transform becomes useful for the construction of a numerical method. The resulting scheme is proven to converge with strong order 1/2. This is the first scheme for which strong convergence is proven for such a general class of SDEs with discontinuous drift. Joint work with G. Leobacher (JKU Linz) | ||||
17 November 2016 17:15-18:15 |
Pavel Shevchenko Macquarie University |
Title T.B.A. | HG G 43 | |
24 November 2016 17:15-18:15 |
Johannes Muhle-Karbe University of Michigan |
Title T.B.A. | HG G 43 | |
8 December 2016 17:15-18:15 |
Marcus C Christiansen Heriot Watt University |
Title T.B.A. | HG G 43 |
Archive: SS 17 AS 16 SS 16 AS 15 SS 15 AS 14 SS 14 AS 13 SS 13 AS 12 SS 12 AS 11 SS 11 AS 10 SS 10 AS 09