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Workshop - Finance and Insurance

Part of the FRIAS/USIAS project "Linking Finance and Insurance: Theory and Applications
When Nov 14, 2019 10:00 AM to
Nov 15, 2019 05:00 PM
Where FRIAS, Albertstr. 19, Seminar Room
Contact Name
Contact Phone +49 (0)761 203-97362
Attendees auf Einladung / invitation only
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Workshop: Finance and Insurance
 
This conference on topics in finance and insurance is the last conference in a series of conferences and workshops at FRIAS in Freiburg taking part in the joint two-year  FRIAS/USIAS project „Linking Finance and Insurance: Theory and Applications“. It brings together participating researchers with additional guests to summarize our outcomes and foster future developments.
 
The invited speakers are leading experts from both fields, mathematical finance and actuarial science and constitute an ideal framework for inspiring discussions far beyond existing results in the fields. 
 
The conference is also a great opportunity to welcome Yuri Kabanov as senior fellow at FRIAS in Freiburg and celebrate his major contributions in both fields.
   
 
Organisation
 
 

Please note that pre-registration for the workshop is possible. Please pre-register by November 12 by e-mail to andrea.nordlander@frias.uni-freiburg.de

You can also register for the FRIAS Lunch on Thursday. The lunch costs 12 €. When registering, please specify whether you would like the meat/fish or vegetarian option.

 


Programme
- Can be downloaded here

 
14th of November

10:15 Laura Ballotta
Risk management of climate impact for tourism operators: An empirical analysis on ski resorts

11:00 Nicole Bäuerle
Portfolio Optimization in Fractional and Rough Heston Models

12:30 Lunch at FRIAS

14:00 Anna Maria Gambaro
Time Consistent Optimal Asset Allocation for Life Insurance Funds under Solvency II

14:45 Griselda Deelstra
On barrier option pricing by Erlangization in a regime-switching model with jumps

16:00 Pietro Millossovich
On The Optimal Design of Participating Life Insurance Contracts

16:45 An Chen
On the optimal combination of annuities and tontines

19:00 Conference Dinner

 
 
15th of November

10:15 Emmanuel Lepinette
Arbitrage and pricing without martingale probability measure in discretetime

11:00 Thilo Meyer-Brandis
Systemic Risk Measures: Random Capital Allocation and Fair Risk Allocation

Lunch at the Mensa

14:00 Francesca Biagini
Reduced-form framework under model uncertainty

14:45 Yuri Kabanov
On ruin problems with investment

16:00 Monique Jeanblanc
Generalisation of the Cox model