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Seminari di Probabilita'

Lunedi' 26 Novembre 2012 - F. Biagini, G. Fusai, A. Gnoatto

ARGOMENTI: Seminari Dottorato

Lunedi` 26 Novembre 2012, in Aula 1BC45 si terranno i seguenti seminari.

Ore 10:00 - Francesca Biagini (LMU Muenchen)
"Risk-Minimization for Life Insurance Liabilities"
(joint work with Irene Schreiber)

-Abstract
In this paper we study the pricing and hedging of a very general class of life insurance liabilities by means of the risk-minimization approach. We find the price and risk-minimizing strategy in two cases, first in the case when the financial market consists only of one risky asset, e.g. a stock, and a bank account, and second in an extended financial market, allowing for investments in two additional traded assets, representing the systematic and unsystematic mortality risk. We also provide an application in the case of a unit-linked term insurance contract in a jump-diffusion model for the stock price and affine stochastic mortality intensity. Main features of this work are that we allow for hedging of the risk inherent in the insurance liabilities by investing not only in the stock and money market account, but also in a longevity bond, representing the systematic mortality risk and a pure endowment contract, accounting for the unsystematic mortality risk. Besides that we consider a very general setting regarding the underlying asset price and the structure of the insurance payment process studied, i.e.we work outside the Brownian setting, in particular the asset price may have jumps. Finally we are able to relax certain technical assumptions such as the existence of the mortality intensity and we do not require the independence of the underlying processes.


Ore 10:50 - Gianluca Fusai (Università del Piemonte Orientale)
"Fattorizzazioni di Wiener-Hopf e applicazioni al rischio di mercato e di credito"

-Abstract
Nel seminario, si illustra come le fattorizzazioni di Wiener-Hopf di processi di Lévy
siano rilevanti per la valutazione di derivati esotici (opzioni barriera, lookback, step, corridor)
e per la stima del rischio di credito di contratti finanziari


Ore 11:45 - Alessandro Gnoatto presenta la tesi di Dottorato
"Wishart processes: theory and application in mathematical Finance"
(Supervisore: Martino Grasselli)

Rif. int. P. Dai Pra