---------- 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