Workshop of the Freiburg-Strasbourg Research Group with Hans-Jörg Albrecher
| What |
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| When |
Feb 05, 2019 from 10:00 AM to 01:00 PM |
| Where | FRIAS, Alberstr. 9, 79104 Freiburg (Germany), Large Seminar Room |
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A Workshop of a FRIAS and the Strasbourg Institute for Advanced Studies (USIAS) Research Group.
In this workshop we will discuss and elaborate on the recent progress in our group. A great amount of time will be devoted to work on specific problems. There will be two talks on Tuesday. One by the leading expert Hans-Jörg Albrecher (Lausanne) who will talk about multi-dimensional modeling in insurance and one from Thorsten Schmidt (FRIAS) on new pricing methodologies for variable annuities.
Invited speakers
11.00 Hans-Jörg Albrecher
On multi-dimensional ruin and dividend problems
12.00 Thorsten Schmidt
Pricing rules for variable annuities
topics covered are optimal stochastic control problems for the optimal dividend problem in higher dimensions, as
well as challenges in the identification of dependence structures in multivariate portfolios.
Abstract T. Schmidt
We discuss pricing mechanisms developed in our working group.