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Sie sind hier: FRIAS Fellows Fellows 2017/2018 Prof. Dr. Karl-Theodor Eisele

Prof. Dr. Karl-Theodor Eisele

Universität Strasbourg
Aktuarwissenschaften
External Senior Fellow
Oktober 2017 - September 2018

CV

Karl-Théodor Eisele is professor emeritus of Actuarial and Financial Mathematics at the Faculty of Mathematics and Informatics at University of Strasbourg, and member of Laboratoire de Recherche en Gestion et Économie (LARGE) and Institut de Recherche Mathématique avancée (IRMA). He joined the University of Strasbourg in 1988. Before, he held several positions at the universities of Heidelberg, Zürich, and New York. From 1996 to 2006 he was responsible for the actuarial program at Strasbourg. He is a Fellow of the German Association for Actuarial and Financial Mathematics and of Swiss Association of Actuaries.  His research is related to compound claim distributions in non-life insurances, ruin probability, multi-period risk assessment, and mathematics of solvency for insurances and financial institutions.

Publikationen (Auswahl)

  • Asymptotically stable dynamic risk assessments, with M. Kupper, Statistics & Risk Modeling, 33, 41–50, 2016.
  • Marktkonsistente Bewertungen für Versicherungen, Dresdner Schriften zur Versicherungsmathematik 1, 2016.
  • Weak topologies for modules over rings of bounded random variables, with S. Taieb, J. Math. Analysis Applications, 421, 1334-1357, 2015.
  • Lattice modules over rings of bounded random variables, with S. Taieb, Communications of Stochastic Analysis, 6, 525-545, 2012.
  • Multiperiod insurance supervision:top-down models, with Ph. Artzner, European Actuarial Journal, 1, 107-130, 2011.

FRIAS-Projekt

Linking Finance and Insurance: Theory and Applications

The goal of this research group is to tackle problems which lie in the intersection of finance and insurance. Under the current market situation this is of particular interest, as the present low interest rate environment is both a big challenge for insurance companies and a key driving factor of stock markets. This shows the high topicality of this endeavor on one side and the enormous potential for future developments on the other side.  The main topics we aim  at  are  hybrid derivatives  which have equity  and  interest  rates  as underlying  instruments.  This type  of derivatives  appears  naturally  in  equity-linked  insurance  products,  variable  annuities  and other  financial products from the area of pensions and life-insurance.   Our first step is to develop fundamental results on assets of this type, in particular we are looking for valuation and risk-management methodologies. We will also cover the important question of model risk utilizing methods from robust finance and Bayesian finance. The second step is to apply these results by studying specific industry-relevant problems and developing tailor-made solutions.