IME 2019 highlights online
From 10 to 12 July 2019, the Technical University of Munich (TUM) in cooperation with the ERGO Center of Excellence will host the 23rd International Congress on Insurance: Mathematics and Economics (IME 2019) in Munich. The IME is one of the best-known events in actuarial mathematics. It brings together researchers and practitioners who share the latest developments and ideas in actuarial science. The congress is connected to Insurance: Mathematics and Economics, one of the leading actuarial journals.
From 16 July you can find more than 30 recordings from the IME program online on actuview:
About TUM, ERGO Center of Excellence in Insurance and DGVFM
Department of Mathematics of the Technical University of Munich (TUM) has different research groups working on financial mathematics using a wide repertoire of methods from stochastics, statistics, numerics, optimization, function theory und functional analysis. The department is very well connected to the finance industry. Furthermore, they play a leading role in the Masters Degree Program "Mathematical Finance and Actuarial Science", as well as in the joint Elite Masters Program "Finance and Information Management" (FIM) at the TUM, the University of Augsburg and the University of Bayreuth.
The ERGO Center of Excellence in Insurance is an innovative research center established by the Technical University of Munich and ERGO, one of the major insurance groups in Germany and Europe. It aims to scientifcally analyze current insurance industry topics and develop and implement new solutions, and to advance the practice of financial and actuarial mathematics as well as risk management.
The German Society for Actuarial and Financial Mathematics (DGVFM) coordinates the mathematical research activities in Germany that are related to applications in the insurance business. It attracts students to the field of actuarial sciences and helps young researchers to build up their academic network. The DGVFM section particularly aims at giving young and promising German researchers the opportunity to present their research at an international top conference, but also to let established researchers from academia and industry present actuarial research.
We develop 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 t
Vine copulas have proven to be flexible dependence models, which are able to model tail dependence pattern as they occur in financial and insurance data. The models power is driven by the ability to construct a d-dimensional dependence model from a collec
This paper deals with the measurement of profitability of a life insurance company from the shareholders' perspective under a Solvency II framework. Profitability and solvency capital requirement of life insurance business are exposed to many levels of un
The stochastic programming scenario optimization using multi-period stochastic linear programming is a very good approach to asset and asset-liability management. This talk discusses the authors experiences in building and implementing large scale ALM mod
Dynamic hybrid products are pension products that consist of a dynamic combination of classical with profits participating life insurance contracts (or a bank account) and fund savings plans. To put such products in an optimal utility framework, we derive
We study the application of dynamic pricing in insurance from the perspective of an insurance company. We consider the problem of online revenue management for an insurance company that wishes to sell a new product. We do not consider effects of competiti
General insurers frequently cede parts of their insurance risk to reinsurers in order to protect themselves from intolerably large losses in their insurance portfolio. This gives rise to a new type of risk, so-called reinsurance counterparty credit risk o
Increases in the life expectancy, the low interest rate environment and the tightening solvency regulation have caused insurers and policyholders to search for new, attractive retirement products. In this context, tontines and pooled annuities have gained
Solvency II, the harmonized European Directive for insurance and reinsurance companies , introduces new fundamental measures, such as the Probability Distribution Forecast (PDF) and the Solvency Capital Requirement (SCR), whose estimation involves a ma
We consider the yield curves that one- and two-factor Vasicek interest rate models can produce. As a result, we show that the two-factor Vasicek model can explain significantly more effects that are observed at the market than its one-factor variant. Amon
This paper studies the portfolio management problem for an individual with a non-exponential discount function and habit formation in finite time. The individual receives a deterministic income, invests in risky assets, and consumes and buys insurance con
We investigate fair (market-consistent and actuarial) valuation of insurance liability cash-flow streams in continuous time. We first consider one-period hedge-based valuations, where in the first step, an optimal dynamic hedge for the liability is set up
Annuities constitute a fundamental branch in the life insurance business. To obtain the cost of annuities, Financial and demographic factors are the key inputs for the related mathematical quantitative models. In this work , we adopt and compare differ
In a previous article published in Insurance: Mathematics and Economics , we explored a multiperiod cost-of-capital valuation of a liability cashflow subject to repeated capital requirements. The resulting liability value is given by a backward recursi
Risk measurement models for financial institutions typically focus on the net portfolio position and thus ignore distinctions between 1) assets and liabilities and 2) uncollateralized and collateralized liabilities. However, these distinctions are economi
Insurance premium principle includes the expected loss plus a risk loading factor to cover the loss from adverse claim experience and generate a profit. This paper considers a stochastic differential game with multiple insurers who are competing to sell i
We discuss a portfolio management problem of the rational policyholder of a variable annuity (VA) with maturity guarantee who aims to maximize the utility of her terminal wealth. We consider a VA contract which allows the policyholder to modify her invest
Variable annuities are life insurance products which are particularly attractive in a low interest rate environment. They allow the policyholder to participate in the growth of the economy through the performance of a reference fund, guaranteeing at the s
The aim of this paper is to analyze the performance of hedging strategies based on snow and temperature options developed by ski operators to protect their profitability under adverse changes in climatic conditions. The setup is based on a joint non-param
Combining the best of drawdown and annuity, the investment returns and the longevity credits, tontines offer a great alternative to current pension products. Tontines are well-understood under the assumption of constant market returns and a perfect pool.
In this talk, I will discuss the economic approaches to evaluate the social cost of carbon, i.e., the present value of the flow of climate damages generated in the next few centuries by one more ton of CO2 emitted today. What discount rates should we use
Phase-type (PH) distributions are defined as distributions of lifetimes of finite continuous-time Markov processes. Their traditional applications are in queueing, insurance risk, and reliability, but more recently, also in finance and, though to a lesser
The Solvency II framework provides a standard formula for the calculation of the risk capital (SCR = Solvency Capital Requirement) in one year, but also gives life insurance companies the freedom to develop an own internal model. By using such an internal
One important point discussed between practitioners in insurance business is how many Monte-Carlo simulations are necessary to estimate the required Solvency Capital. A widespread opinion is that the larger the size of the Monte-Carlo sample is, the more
In this paper, we investigate a class of robust non-zero-sum reinsurance-investment stochastic differential games between two competing insurers under the time-consistent mean-variance criterion. We allow each insurer to purchase a proportional reinsuranc
We focus on the initiation option featured in many Guaranteed Lifelong Withdrawal Benefit variable annuity contracts, granting their owner the right to decide the age at which lifetime withdrawals should begin. Such contracts have been successfully analys
In Europe, the Solvency 2 directive prescribes that insurers must hold eligible own funds at least equal to their Solvency Capital Requirements (SCR) defined as the value at risk (VaR) of the basic own funds with a confidence level of 99:5% over a time ho
This paper sets out a market-consistent valuation methodology for insurance liabilities with nonreplicable cash flows. An explicit allowance for risks associated with such cash flows is common in modern accounting standards, as well as statutory solvency
This paper studies an equilibrium model between an insurance buyer and an insurance seller, where both parties' risk preferences are given by convex risk measures. The interaction is modeled through a Stackelberg type game, where the insurance seller play