The presented work covers two tasks, the prediction of policy values up to the maturity of an individual contract and the grouping of contracts, which are combined within our approach. Despite the high importance of grouping in practice, little research o
Projection of own funds and capital requirements over a multi-year horizon has become a fundamental component in modern risk- and value-based business planning and regulatory requirements for insurance companies. The presentation provides an overview abou
Jochen Ruß a, Stefan Schelling b, * a Institute for Finance and Actuarial Sciences, Lise-Meitner-Strasse 14, 89081 Ulm, Germany and Ulm University, Institute of Insurance Science, Helmholtzstrasse 20, 89081 Ulm, Germany b Ulm University, Institute o
Matthias Börger, Jochen Russ, Johannes Schupp Abstract: Increasing life expectancy and thus decreasing mortality rates constitute a global trend that can be observed in almost all countries worldwide. Estimating the current rate at which mortality ra
A variety of mortality models can be used to project future mortality. However, the parameters of most of these models lack a clear demographic interpretation. Hence, it may be hard to identify forecasts which are not consistent to the most recent observe
Indifference Pricing under SAHARA UtilityApplications in Insurance and Finance (Joint work with An Chen and Thai Ngyuen) Pricing claims on nontraded assets is one of the ongoing challenges in option pricing theory. Nontraded assets occur in many differen
A measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio (joint work with Stefan Graf and Alexander Kling) Because of the long-term nature of life insurance policies including interest rate guarantees and the current l
“Mean-variance hedging of unit linked life insurance contracts in a Levy model“ (joint work with Frank Bosserhoff and Mitja Stadje) In this paper, we consider a mean variance optimization problem in a Levy market. To model the typical life ins
With the University of Ulm and the Institute of Finance and Actuarial Sciences (ifa), Ulm is an internationally leading center in actuarial science and its applications with a high degree of integration of education/training, research and its application.
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- Ulm offers one of the largest international education programs (bachelor and master) in actuarial science.
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