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Workshop - Finance and Insurance

Teil des FRIAS/USIAS Projekts "Linking Finance and Insurance: Theory and Applications
Wann 14.11.2019 um 10:00 bis
15.11.2019 um 17:00
Wo FRIAS, Albertstr. 19, Seminarraum
Teilnehmer auf Einladung / invitation only
Termin übernehmen vCal
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.

Please note that pre-registration for the workshop is possible. Please pre-register by November 12 by e-mail to

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.


- 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.
15:30 - Break
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

12:00 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.