Further Information
The seminar will be held in English.
If you have any questions, please contact
- Prof. An Chen (e-mail: an.chen(at)uni-ulm.de)
Special Aspects of Insurance Economics
Assistant
Amount
2/0 SWS (4 ECTS)
Date
This seminar takes place as a block seminar. The attendance at all seminar dates is required.
Date: tba
Room: tba
Registration
If you are interested, use one of the following web-pages:
http://econ.mathematik.uni-ulm.de:3838/semapps/stud_en/ (English version) (tbd)
http://econ.mathematik.uni-ulm.de:3838/semapps/stud_de/ (German version) (tbd)
There you can register for this seminar from tbd until tbd.
Content
In this seminar, we are going to focus on some topics in actuarial science, including life insurance decisions, investment decisions, and climate risk. We are specifically dealing with optimal investment models, topics related to sustainable assets and peer-to-peer insurance, and topics related to catastrophic risk and ambiguity. The seminar is based on scientific papers that summarize recent results in this area.
Target Group
The seminar is suitable for Master students in Wirtschaftsmathematik, Wirtschaftswissenschaften or Finance. Previous knowledge in Personenversicherungsmathematik, Insurance Economics and Finanzmathematik 1 are helpful.
Seminar Performance
Typically, seminar papers are distributed to a group of 2 students.
The seminar performance consists of three parts:
- A seminar presentation about a selected topic. The presentation typically includes some theoretical derivations / model introduction and some numerical part that applies the results in a realistic setup.
Duration of the presentation: 90 minutes (including discussion).
- A written formulation of the presentation documents as a support for the participants of a maximum length of three pages.
Delivery of the presentation documents: at least one week before the presentation via e-mail to an.chen@uni-ulm.de. The creation of the presentation documents is a performance of the whole group.
- Active participation in this seminar.
Based on the performance, every participant will be credited with an (internal) grade.
Seminar Papers
1. Alexandrova, M., Bohnert, A., Gatzert, N., & Russ, J. (2017). Equity-linked life insurance based on traditional products: the case of select products. European Actuarial Journal, 7, 379-404.
2. Berger, L., Emmerling, J., & Tavoni, M. (2017). Managing catastrophic climate risks under model uncertainty aversion. Management Science, 63(3), 749-765.
3. Chen, Z., Feng, R., Hu, W., & Mao, Y. (2023). Optimal risk pooling of Peer-to-Peer Insurance. Available at SSRN 4498641.
4. Dietz, S., & Niehörster, F. (2021). Pricing ambiguity in catastrophe risk insurance. The Geneva Risk and Insurance Review, 46(2), 112-132.
5. Etner, J., Jeleva, M., & Raffin, N. (2021). Climate policy: How to deal with ambiguity?. Economic Theory, 72(1), 263-301.
6. Korn, R. (2005). Worst-case scenario investment for insurers. Insurance: Mathematics and economics, 36(1), 1-11.
7. Korn, R., & Nurkanovic, A. (2023). Optimal portfolios with sustainable assets: aspects for life insurers. European Actuarial Journal, 13(1), 125-145.
8. Pliska, S. R., & Ye, J. (2007). Optimal life insurance purchase and consumption/investment under uncertain lifetime. Journal of Banking & Finance, 31(5), 1307-1319.