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Peter Grandits: Optimal investment and optimal dividend strategies for an insurance company

Datum objave: 15. 5. 2008
Seminar za verjetnost, statistiko in finančno matematiko
Torek, 20.5.2008 ob 15h, soba 2.02 na Jadranski 21
Abstract: We will consider in this talk two optimization problems for insurance companies:
  1. How to invest optimally in the stock market in order to minimize the ruin probability of the company?
  2. How to pay out dividends in order to maximize expected exponential utility of the discounted dividends?
tor
23
Jun
Panki Kim: Heat kernel estimates for Dirichlet forms degenerate at the boundary
Seminar za verjetnost, statistiko in finančno matematiko
14.15 - Predavalnica 3.07 na FMF, Jadranska 21, Ljubljana
sre
10
Jun
Antonino Zanette: Pricing financial and insurance derivatives within parameter uncertainty
Seminar za verjetnost, statistiko in finančno matematiko
14.15 - Predavalnica 3.06 na FMF, Jadranska 21, Ljubljana
tor
19
Maj
Peter Hieber: Optimal (self-)hedging of investment guarantees
Seminar za verjetnost, statistiko in finančno matematiko
16.30 - Predavalnica 3.06 na FMF, Jadranska 21, Ljubljana
tor
12
Maj
Jan Rems: A Deep Learning Approach to Renewable Capacity Installation under Jump Uncertainty
Seminar za verjetnost, statistiko in finančno matematiko
16.30 - Predavalnica 3.06 na FMF, Jadranska 21, Ljubljana
čet
16
Apr
Hansjoerg Albrecher: From optimal dividends to optimal reduction schedules of carbon emissions
Seminar za verjetnost, statistiko in finančno matematiko
16.30 - Predavalnica 3.04 na FMF, Jadranska 21, Ljubljana

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