Talks in financial and insurance mathematics

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Spring Semester 2018

Date / Time

Speaker

Title

Location

8 March 2018
17:15-18:15

Sergio Pulido
ENSIIE

Event Details

Talks in Financial and Insurance Mathematics

Title	Density of the set of probability measures with the martingale representation property
Speaker, Affiliation	Sergio Pulido, ENSIIE
Date, Time	8 March 2018, 17:15-18:15
Location	HG G 43
Abstract	Using the theory of analytic maps, we prove density results for measures satisfying a backward formulation of the martingale representation property. These results are useful to study equilibrium-based mechanisms of pricing. This is joint work with Dmitry Kramkov.

Density of the set of probability measures with the martingale representation propertyread_more

HG G 43

15 March 2018
17:15-18:15

Johannes Muhle-Karbe
Carnegie Mellon

Event Details

Talks in Financial and Insurance Mathematics

Title	Portfolio Choice with Small Temporary and Transient Price Impact
Speaker, Affiliation	Johannes Muhle-Karbe, Carnegie Mellon
Date, Time	15 March 2018, 17:15-18:15
Location	HG G 43
Abstract	We study portfolio selection in a model with both temporary and transient price impact introduced by Garleanu and Pedersen (2016). In the large-liquidity limit where both frictions are small, we derive explicit formulas for the asymptotically optimal trading rate and the corresponding minimal leading-order performance loss. We find that the losses are governed by the volatility of the frictionless target strategy, like in models with only temporary price impact. In contrast, the corresponding optimal portfolio not only tracks the frictionless optimizer, but also exploits the displacement of the market price from its unaffected level. (Joint work with Ibrahim Ekren.)

Portfolio Choice with Small Temporary and Transient Price Impactread_more

HG G 43

12 April 2018
17:15-18:15

Matthias Fahrenwaldt
Heriot-Watt University, Edinburgh

Event Details

Talks in Financial and Insurance Mathematics

Title	Pricing of cyber insurance contracts in a network model
Speaker, Affiliation	Matthias Fahrenwaldt, Heriot-Watt University, Edinburgh
Date, Time	12 April 2018, 17:15-18:15
Location	HG G 43
Abstract	In this talk I present a novel approach for pricing cyber insurance contracts. The considered cyber threats, such as viruses and worms, diffuse in a structured data network. The spread of the cyber infection is modeled by an interacting Markov chain. Conditional on the underlying infection, the occurrence and size of claims are described by a marked point process. We introduce and analyze a new polynomial approximation of claims together with a mean-field approach that allows to compute aggregate expected losses and prices of cyber insurance. Numerical case studies demonstrate the impact of the network topology and indicate that higher order approximations are indispensable for the analysis of non-linear claims. This is based on joint work with S. Weber and K. Weske (Hannover).

Pricing of cyber insurance contracts in a network modelread_more

HG G 43

19 April 2018
17:15-18:15

Loriano Mancini
Università della Svizzera Italiana

Event Details

Talks in Financial and Insurance Mathematics

Title	Transitory versus permanent shocks: Explaining corporate savings and investment
Speaker, Affiliation	Loriano Mancini, Università della Svizzera Italiana
Date, Time	19 April 2018, 17:15-18:15
Location	HG G 43
Abstract	We model the investment and cash policies of a ﬁrm facing ﬁnancing frictions, transitory cash ﬂow shocks, and permanent productivity shocks. While cash holdings increase and investment and Tobin’s q decrease with the volatilities of either type of shocks, a higher correlation between these shocks makes the ﬁrm hold less cash, invest more, and become more valuable. We verify these predictions on a large sample of U.S. ﬁrms using estimates of permanent and transitory cash ﬂow shocks obtained via structural estimation. Our results suggest that corporate policies and valuations are better understood when distinguishing between permanent and transitory cash ﬂow shocks.

Transitory versus permanent shocks: Explaining corporate savings and investmentread_more

HG G 43

3 May 2018
17:15-18:15

Daniel Bauer
University of Alabama

Event Details

Talks in Financial and Insurance Mathematics

Title	A Least-Squares Monte Carlo Approach to the Calculation of Capital Requirements
Speaker, Affiliation	Daniel Bauer, University of Alabama
Date, Time	3 May 2018, 17:15-18:15
Location	HG G 43
Abstract	The calculation of capital requirements for financial institutions entails a reevaluation of the company's assets and liabilities at some future point in time for a (large) number of stochastic forecasts of economic and firm-specific variables. Relying on well-known ideas for pricing non-European derivatives, the current paper discusses tackling this nested valuation problem based on Monte Carlo simulations and least-squares regression techniques. We study convergence of the algorithm and analyze the resulting estimate for practically relevant risk measures. Importantly, we address the problem of how to choose the regressors (\basis functions"), and show that an optimal choice is given by the left singular functions of the corresponding conditional expectation operator. Our numerical examples demonstrate that the algorithm can produce accurate results at relatively low computational costs, particularly when relying on the optimal basis functions. (joint work with Hongjun Ha, Saint Joseph's University)

A Least-Squares Monte Carlo Approach to the Calculation of Capital Requirementsread_more

HG G 43

10 May 2018

Event Details

Talks in Financial and Insurance Mathematics

Title	Ascension Day
Speaker, Affiliation
Date, Time	10 May 2018,
Location

Ascension Day

17 May 2018
17:15-18:15

Eckhard Platen
University of Technolgy Sidney

Event Details

Talks in Financial and Insurance Mathematics

Title	Dynamics of a Well-Diversified Equity Index and Martingale Inference
Speaker, Affiliation	Eckhard Platen, University of Technolgy Sidney
Date, Time	17 May 2018, 17:15-18:15
Location	HG G 43
Abstract	The paper derives an endogenous model for the long-term dynamics of a well-diversified equity index with rough volatility, the S&P500. It assumes that the index is a proxy of the respective growth optimal portfolio, the variance of its increments evolves in some market time proportionally to the index value and the derivative of market time is a linear function of the squared derivative of a smoothed proxy of the single driving Brownian motion. The resulting model is highly tractable, allows almost exact simulation and leads beyond classical finance theory. Its parameters are estimated via a novel martingale inference method, which employs higher-strong order, implicit approximations of the increments of the system of stochastic differential equations.

Dynamics of a Well-Diversified Equity Index and Martingale Inferenceread_more

HG G 43

24 May 2018
17:15-18:15

Donatien Hainaut
UC Louvain

Event Details

Talks in Financial and Insurance Mathematics

Title	A Self-Organizing Predictive Map for Non-Life Insurance
Speaker, Affiliation	Donatien Hainaut, UC Louvain
Date, Time	24 May 2018, 17:15-18:15
Location	HG G 43
Abstract	This article explores the capacity of self-organizing maps (SOMs) for analysing non-life insurance data. Contrary to feed forward neural networks, also called perceptron, a SOM does not need any a priori information on the relevancy of variables. During the learning procedure, the SOM algorithm selects the most relevant combination of explanatory variables and reduces by this way the collinearity bias. However, the specific features of insurance data require adapting the classic SOM framework to manage categorical variables and the low frequency of claims. This work proposes several extensions of SOMs in order to study the claims frequency of a portfolio of motorcycle insurances.

A Self-Organizing Predictive Map for Non-Life Insuranceread_more

HG G 43

29 May 2018
16:00-17:00

Ying Hu
Université de Rennes 1

Event Details

Talks in Financial and Insurance Mathematics

Title	SDE and BSDE with Normal Constraints on the Law and associated PDEs
Speaker, Affiliation	Ying Hu, Université de Rennes 1
Date, Time	29 May 2018, 16:00-17:00
Location	HG G 19.1
Abstract	In this talk, we study reflected stochastic differential equations in the case where the constraint is on the law of the solution rather than on its paths. Such equation is motivated by the super-hedging of claims under running risk management constraint. We first study the existence and uniqueness of solution to such equation. Then we study the approximation of the solution by a particle system, i.e. the mean-field limit, and we describe the PDE associated with the reflected process. We consider also the backward SDE with normal constraint on the law, and the associated PDE (with obstacle). We give the application to super-hedging of claims under running risk management constraint. This is a joint work in progress with Philippe Briand, Pierre Cardaliaguet and Paul-Eric Chaudru de Raynal.

SDE and BSDE with Normal Constraints on the Law and associated PDEsread_more

HG G 19.1

31 May 2018
17:15-18:15

Daniel Lacker
Columbia University

Event Details

Talks in Financial and Insurance Mathematics

Title	Beyond mean field limits: Local dynamics for large sparse networks of interacting diffusions
Speaker, Affiliation	Daniel Lacker, Columbia University
Date, Time	31 May 2018, 17:15-18:15
Location	HG G 43
Abstract	We study large systems of stochastic processes (particles) in which each particle is associated with a vertex in a graph and interacts only with its neighbors. When the graph is complete and the numbers of particles grows to infinity, the system is well-described by a McKean-Vlasov equation, which describes the behavior of one typical particle. For general (sparse) graphs, the system is no longer exchangeable, and the mean field approximation is not valid. Nevertheless, if the underlying graph is locally tree-like, we show that a single particle and its nearest neighbors are characterized by a peculiar but autonomous set of "local dynamics." This work is motivated in part by recent mean field models of inter-bank lending, which capture several dynamic features of systemic risk but thus far lack realistic network structure.

Beyond mean field limits: Local dynamics for large sparse networks of interacting diffusionsread_more

HG G 43

14 June 2018
15:15-16:15

Ruodu Wang
University of Waterloo

Event Details

Talks in Financial and Insurance Mathematics

Title	Robust risk aggregation and merging p-values
Speaker, Affiliation	Ruodu Wang, University of Waterloo
Date, Time	14 June 2018, 15:15-16:15
Location	HG G 43
Abstract	This talk may also be of interest to statisticians. Modeling inter-dependence among multiple risks often faces statistical as well as modeling challenges, with considerable uncertainty arising naturally. This issue is crucial in modern risk management and regulation regimes in banking and finance. To deal with the uncertainty at the level of dependence in multivariate models, various techniques in robust risk aggregation have been developed in the past few years. First, I will review some recent developments and open challenges in the field. Then, I will discuss the problem of merging p-values in multiple hypothesis testing, a classic problem in statistical theory. It turns out that recent results in robust risk aggregation can be utilized to establish various conservative and precise averaging methods of p-values. For instance, we show that K p-values can be combined by scaling up their arithmetic mean by a factor of 2, their geometric mean by a factor of e, or their harmonic mean by a factor of e(logK). This gives an interesting example where mathematical techniques developed in quantitative risk management are found tremendously useful to another major scientific field. This talk is based on joint work with Vladimir Vovk.

Robust risk aggregation and merging p-valuesread_more

HG G 43

6 July 2018
15:00-16:00

Samuel Drapeau
Shanghai Jiao Tong University

Event Details

Talks in Financial and Insurance Mathematics

Title	Computational Aspects of Robust Optimized Certainty Equivalent and Option Pricing
Speaker, Affiliation	Samuel Drapeau, Shanghai Jiao Tong University
Date, Time	6 July 2018, 15:00-16:00
Location	HG G 43
Abstract	We present a robust extension under distribution uncertainty of optimized certainty equivalent that includes the expected shortfall. We show that the infinite dimensional optimization problem can be reduced to a finite one using transport duality methods. Some important cases such as the Expected Shortfall can even be computed explicitly and provide insights about the additional costs from distributional uncertainty. The general result can be further applied for explicit computation of robust option price where we also provide some explicit formulas in cases of call options. We finally address dual representation of the robust optimized certainty equivalent. This talk is based on a joint work with Daniel Bartl and Ludovic Tangpi

Computational Aspects of Robust Optimized Certainty Equivalent and Option Pricingread_more

HG G 43

Organizers: Matteo Burzoni

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