Page 577 - 8th European Congress of Mathematics ∙ 20-26 June 2021 ∙ Portorož, Slovenia ∙ Book of Abstracts
P. 577
Minisymposium
MATHEMATICAL CHALLENGES IN INSURANCE
(MS-41)
Organized by Mihael Perman, University of Primorska, Slovenia
Coorganized by
Bor Harej, PRS Prime Re Solutions AG, Switzerland
Claudia Klüppelberg, TU München, Germany
Thomas Mikosch, University of Copenhagen, Denmark
Ermanno Pitacco, University of Trieste, Italy
Tomaž Košir, University of Ljubljana, Slovenia
• Linking risk management under expected shortfall to loss-averse behavior (joint work
with Thai Nguyen), An Chen
• On the validation of internal models, Michel Dacorogna
• Can machine learning algorithms outperform traditionally used methods in insurance
pricing?, Bor Harej
• Explainability - when, why, and how; For what use cases explainability is needed; when
it is not needed; high level overview of approaches for explainability, Diego Klabjan
• Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors
at its Source, Marie Kratz
• Tree-based learning methods for extreme value regression with applications to
cyber-insurance (joint work with Maud Thomas and Sébastien Farkas, Sorbonne
Université), Olivier Lopez
• Monte Carlo Valuation of the Initiation Option in a GMWB Variable Annuity,
Pietro Millossovich
• How would a Solvency II regulated insurer against riverine flooding have fared during the
past 7000 years? A hypothetical case study for NE Austria to inform risk modelling in
the face of climate change, Franz Prettenthaler
• Internal Model Approach for Risk Management II, Vincenzo Russo
• Optimal Drawdowns in Insurance, Hanspeter Schmidli
• Refined Doob Inequalities for σ-Integrable Submartingales, Uwe Schmock
• Internal Model Approach for Risk Management I, Johannes Schoenenwald
MATHEMATICAL CHALLENGES IN INSURANCE
(MS-41)
Organized by Mihael Perman, University of Primorska, Slovenia
Coorganized by
Bor Harej, PRS Prime Re Solutions AG, Switzerland
Claudia Klüppelberg, TU München, Germany
Thomas Mikosch, University of Copenhagen, Denmark
Ermanno Pitacco, University of Trieste, Italy
Tomaž Košir, University of Ljubljana, Slovenia
• Linking risk management under expected shortfall to loss-averse behavior (joint work
with Thai Nguyen), An Chen
• On the validation of internal models, Michel Dacorogna
• Can machine learning algorithms outperform traditionally used methods in insurance
pricing?, Bor Harej
• Explainability - when, why, and how; For what use cases explainability is needed; when
it is not needed; high level overview of approaches for explainability, Diego Klabjan
• Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors
at its Source, Marie Kratz
• Tree-based learning methods for extreme value regression with applications to
cyber-insurance (joint work with Maud Thomas and Sébastien Farkas, Sorbonne
Université), Olivier Lopez
• Monte Carlo Valuation of the Initiation Option in a GMWB Variable Annuity,
Pietro Millossovich
• How would a Solvency II regulated insurer against riverine flooding have fared during the
past 7000 years? A hypothetical case study for NE Austria to inform risk modelling in
the face of climate change, Franz Prettenthaler
• Internal Model Approach for Risk Management II, Vincenzo Russo
• Optimal Drawdowns in Insurance, Hanspeter Schmidli
• Refined Doob Inequalities for σ-Integrable Submartingales, Uwe Schmock
• Internal Model Approach for Risk Management I, Johannes Schoenenwald
