# Oberseminar Finanz- und Versicherungsmathematik

Prof. Dr. F. Biagini, Prof. Dr. T. Meyer-Brandis, Prof. Dr. M. Scherer, Prof. Dr. R. Zagst

Prof. Dr. F. Biagini, Prof. Dr. T. Meyer-Brandis, Prof. Dr. M. Scherer, Prof. Dr. R. Zagst

Depending on the day, the Oberseminar takes place at:

- LMU Mathematics Institute, Theresienstraße 39-B
- TUM Business Campus, Parkring 11, 85748 Garching-Hochbrück

Date | Time | Venue | Speaker | Title |
---|---|---|---|---|

19.10.22 | 17.00 - 17.45 | LMU, Room B 349 | Eyal Neuman, Imperial College London | Optimal Liquidation with Signals: the General Propagator Case |

09.01.23, | 16.15 - 17.15 | TUM, Room 2.02.03 | Corrado de Vecchi,TUM | Recent results in Model Risk Assessment |

06.02.23 | 14.30 - 15.15 | TUM, Room 2.02.03 | Antoon Pelsser,Maastricht University | The Recovery Potential for Underfunded Pension Plans |

06.02.23 | 15.15 - 16.00 | TUM, Room 2.02.03 | Thijs Kamma,Maastricht University | Near-Optimal Asset Allocation in Financial Markets with Trading Constraints |

06.02.23 | 16.30 - 17.15 | TUM, Room 2.02.03 | Mogens Steffensen,University of Copenhagen | Optimal consumption, investment, and insurance under state-dependent risk aversion |

06.02.23 | 17.15 - 18.00 | TUM, Room 2.02.03 | Colin Zhang, Macquarie University | Optimal Consumption, Investment, Housing and Life Insurance Purchase Decisions for a Couple with Dependent Mortality |

09.02.23, | 18.00 - 19.00 | LMU, Room B 349 | Cosimo Munari, University of Zürich | Market-consistent pricing with acceptable risk |

The first part of this talk focuses on risk aggregation problems under partial dependence uncertainty. The main point of our analysis is to show that the knowledge of a dependence measure such as Pearson correlation, Spearman's rho or the average correlation, has typically no effect on the worst-case scenario of the aggregated (Range)Value-at-Risk, with respect to the case of full dependence uncertainty.

The second part of the talk deals with the robust assessment of a life insurance contract when there is ambiguity regarding the residual lifetime distribution function of the policyholder. Specifically, we show that if the ambiguity set is described using an L^2 distance constraint from a benchmark distribution function, then the net premium bounds can be reformulated as a convex linear program that enjoys many desirable properties.