Workshop on Financial Engineering Methods for Insurance Mathematics

保险数学金融工程方法研讨会

• 批准号: 0649523
• 负责人: Michael Ludkovski
• 金额: $ 1.5万
• 依托单位: Regents of the University of Michigan - Ann Arbor
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2007
• 资助国家: 美国
• 起止时间: 2007-05-15 至 2008-04-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0649523&HistoricalAwards=false
• 关键词: Workshop; Financial; Engineering; Methods; Insurance

In the last decade applications of financial mathematics to insurance have emerged as a burgeoning research topic. Use of financial engineering models has provided new insights into pricing insurance policies, understanding mortality risk, designing re-insurance contracts, and hedging commercial insurance portfolios. At the same time, the insurance industry now offers a wide array of new products with many financial optionalities. In light of these developments many open problems have surfaced and have required new mathematical frameworks of analysis.The workshop is designed to address this interface of financial mathematics and insurance and to encourage further knowledge transfer between the two disciplines. In particular, the workshop will emphasize stochastic models in insurance and actuarial risk-management. The project entails bringing together a critical mass of researchers in order to foster new directions of research and bolster exchange of ideas. To do so, the organizing committee is inviting several leading experts in the fields of actuarial and financial mathematics to serve as keynote speakers. These will be complemented by a fair number of graduate students and young researchers, who will have an excellent opportunity for close interaction with senior colleagues. A significant part of the grant will be used for providing travel support to members of underrepresented groups, graduate students and postdocs. The tight focus of the workshop and a small participant list of forty will encourage a collaborative atmosphere and close contact. The workshop is one of the first of its kind in the United States and its wider aim is to encourage further research on insurance mathematics at American universities, as well as to promote projects addressing the distinctive US insurance environment and regulations. This is a crucial step in understanding the risks faced by the American consumer given the proliferation of various insurance policies and continued shift to defined-contribution pension plans.

在过去的十年中，金融数学在保险中的应用已成为一个新兴的研究课题。金融工程模型的使用为保单定价、理解死亡风险、设计再保险合同和对冲商业保险投资组合提供了新的见解。与此同时，保险业现在提供了一系列具有多种金融选择的新产品。鉴于这些发展，许多悬而未决的问题已经浮出水面，并需要新的数学分析框架。研讨会旨在解决金融数学和保险的接口问题，并鼓励两个学科之间进一步的知识转移。研讨会将特别强调保险和精算风险管理中的随机模型。该项目需要汇集大量研究人员，以培育新的研究方向并加强思想交流。为此，组委会邀请了精算和金融数学领域的几位顶尖专家作为主讲人。这些将得到相当数量的研究生和年轻研究人员的补充，他们将有绝佳的机会与资深同事进行密切互动。赠款的很大一部分将用于为代表性不足群体的成员、研究生和博士后提供差旅支持。研讨会的高度集中和 40 名参与者的小规模将鼓励协作氛围和密切联系。该研讨会是美国首个此类研讨会之一，其更广泛的目标是鼓励美国大学对保险数学进行进一步研究，并促进针对独特的美国保险环境和法规的项目。鉴于各种保险单的激增和持续转向固定缴款养老金计划，这是了解美国消费者所面临风险的关键一步。