---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Wed, 27 Oct 2004 11:17:18 +0100
From: Andrew Cairns <A.Cairns(a)ma.hw.ac.uk>
To: Andrewc(a)ma.hw.ac.uk
Subject: ANNOUNCEMENT: conference/workshop
Dear Colleagues,
I have appended below a short announcment of a workshop
on quantitative finance and insurance that will be held in
Edinburgh in 2005.
Please forward this announcement to any colleagues that
you think might be interested.
For further details please see the draft workshop website at
http://www.ma.hw.ac.uk/~andrewc/workshop/
To give me an idea of numbers, persons hoping to
attend and/or give a talk should e-mail me at A.Cairns(a)ma.hw.ac.uk
Yours sincerely,
Andrew Cairns
Heriot-Watt University, Edinburgh
Workshop on the Interface between Quantitative Finance and Insurance
Dates: 4-8 April, 2005
A satellite workshop of the Quantitative Finance programme of the
Isaac Newton Institute, January - June 2005.
Organised jointly by:
Heriot-Watt University, Edinburgh
The International Centre for Mathematical Sciences, Edinburgh
The Isaac Newton Institute, Cambridge
Organising Committee:
Andrew Cairns (Heriot-Watt University)
Claudia Klueppelberg (Technical University of Munich),
Susan Pitts, Chris Rogers (University of Cambridge)
General Summary
This workshop aims to discuss leading-edge research on the interface
between insurance, pensions and quantitative finance. It is intended that
the meeting will concentrate on two closely linked themes. First,
all insurance companies and pension plans are subject to a degree
of financial and economic risk as well as their traditional
insurance risks. Considerable research in the international actuarial
community is ongoing which attempts to model and manage these risks.
Much of this research is building upon existing knowledge in financial
mathematics. Equally, though, the specific problems being encountered
are throwing back new challenges for financial mathematicians.
This introduces us to the second theme. Namely the issue of securitisation
of insurance risks. This presents many new challenges which
require a combination of financial mathematics, mathematical
economics and good contract design.
Workshop Themes
A: Stochastic asset models for life insurance and pensions
B: Fair value, solvency testing and capital adequacy
C: Long-term risks: pricing and risk assessment
D: Dependence modelling, extreme-value theory, Levy processes
and their application in insurance problems
E: Optimal stochastic control and optimal hedging problems in insurance
F: Issues relating to specific contracts and securitisation of insurance
risks