Winner | Daniel Brönnimann
(D-Math, ETHZ)
for his diploma thesis "Die Entwicklung des Wahrscheinlichkeitsbegriffs von 1654 bis 1718". |
Laudatio | Prof. Dr. Frank Hampel (Seminar for Statistics, ETH Zürich) |
Talk | Jon Bardola
(Zurich Insurance) An asset liability management project in life insurance Abstract: We describe a pilot project, which has been successfully completed in Switzerland. It should give answers to important questions for managing a life insurance company, in particular during a low interest rate environment or after a drop in stock markets: "For how much longer can high policyholder returns be supported? Do we have an optimal investment strategy and how risky is our strategy? Which investment- and policyholder bonus-strategy will extract maximum value?" In the first part we will explain how this model has been built up (stochastic and dynamic modeling). In the second part we will discuss some results (return measures, investment strategies, bonus strategies). |
Apero | Dozentenfoyer of ETHZ (offered by Zurich Insurance) |
Abstract: The discretisation of stochastic procesess in financial applications is quite important. Most financial models are continuous time models, whereas the real world only offers the possibility to trade in discrete time. Also from a numerical viewpoint, the calculations can only be done in a discrete framework. The minicourse will treat some problems that come from the approximation of continuous time processes with discrete processes.
Date | Time | Location |
---|---|---|
Monday, January 21, 2002 | 14.00 - 16.00 | HG F33.1 |
Tuesday, January 22, 2002 | 10.00 - 12.00 14.00 - 16.00 |
LFW E14/16 |
Monday, January 28, 2002 | 14.00 - 16.00 | LFW E14/16 |
Tuesday, January 29, 2002 | 10.00 - 12.00 14.00 - 16.00 |
HG F33.5 |
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