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Lecture - Towards Less Expensive Production in Insurance and for Pensions

Eckhard Platen, University of Technology, Sydney
When Jul 06, 2018
from 10:15 AM to 12:00 PM
Where Room 232, Ernst-Zermelo-Str. 1
Contact Name
Contact Phone +49 (0)761 203-97448
Attendees Universitätsoffen / Open to university members
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This presentation introduces into the benchmark approach, which provides a general framework for insurance and financial market modelling. It allows for a unified treatment of portfolio optimization, liability valuation and hedging, derivative pricing, financial planning, insurance and risk management. It extends beyond the classical asset pricing theories, with significant new possibilities emerging for portfolio optimization and long-dated liabilities. The Law of the Minimal Price will be presented for minimal possible valuation and production. A Diversification Theorem allows forming extremely well performing proxies for the growth optimal portfolio, the benchmark. The richer modelling framework of this approach allows the derivation of parsimonious, realistic long-term models under the real world probability measure. Examples about the valuation and production of long-term insurance and pension payouts demonstrate the important fact that a wide range of liabilities can be less expensively valued and produced than suggested by classical theory and currently practiced.

More information: http://www.stochastik.uni-freiburg.de/oberseminar