Graduate Seminar Financial- and Actuarial Mathematics LMU and TUM (WS 2017/18)



Dates - Mai

Monday, 07.05.2018 - 1.Speech

Speaker: Dr. Gregor Kastner


Time: 14:15 o'clock

Place: MI 02.08.011, Boltzmannstr. 3, 85748 Garching)


Monday, 07.05.2018 - 2.Speech

Speaker: Dr. Tobias Kley


Time: 15:15 o'clock

Place: B 349, Theresienstr. 39, 80333 Munich




Dates - June

Monday, 11.06.2018 - 1.Speech

Speaker: Prof. Pierre Devolder´s (UCL Institute of Statistics, Biostatistics and Actuarial Sciences, Louvain/ Belgium)


Time: 14:15 o'clock

Place: B349, Theresienstr. 39, 80333 Munich

Description: The classical ways to price in finance and insurance are quite different. The financial pricing is usually based on risk neutral expectations, justified by hedging purposes. In insurance, premiums calculations are often deduced from the historical data and the law of large numbers generates premiums based on expectations under the real world. However, sophisticated products in incomplete markets can incorporate financial as well as actuarial components and are not necessarily neither perfectly hedgeable nor completely diversifiable. The aim of this paper is to propose a new methodology of pricing which generalizes financial and actuarial philosophies and takes into account partial financial hedging and insurance diversification. The idea is to split the liabilities into three components; each component has its own pricing logic and its own management tools. Indeed the advantage of the methodology is that it generates not only a valuation basis but also a practical risk management. We will illustrate the technique by considering a unit- linked life insurance contract with financial guarantee and longevity risk. We will also compare with the two-step valuation proposed by Pelsser and Stadje (2014). (*) Professor, Université Catholique de Louvain, Institute of Statistic, Biostatistic and Actuarial Science 20 Voie du Roman Pays , 1348 Louvain la Neuve , Belgium, ( (**) Université Libre de Bruxelles, Department of Mathematics