by John Nikas

Last update: 20/01/2004

Summer School on

STOCHASTIC  FINANCE FOR INSURANCE

22 - 27 September 2003, Dimitsana, Arcadia, Greece

Sponsored  by the National Bank of Greece -- Under the auspices of the University of Patras, Greece


 

Aim of Summer School

    The Summer School will focus on modern aspects in insurance theory. The topics that we will cover are on the bridge between insurance and finance. We aim to present applications of finance theory in insurance but also to give applications from insurance theory to finance theory. In life insurance theory we will present the problem of equity linked policies where embedded guarantee options are present. This topic got new interest because of the decline in stock market returns. The problem of hedging the guarantees (if possible) will be discussed. We will also discuss the problem of constructing mortality tables under the assumption of longevity. This problem together with the guarantee problem mentioned above are particularly important for the safety of the pension fund systems. The optimal investment model with applications to dynamic reinsurance is linking the previous topics to the more classical insurance business. For big companies such as Swiss Re, the return of the different business units has to be measures taking into account the economic capital needed. The way this is done is through the calculation of the so called Risk Adjusted Capital. The theory behind it will be presented as well as the practical implementation of the calculations. Finally we would like to present the use of insurance models in finance through the presentation of a technique that permits the modeling of dependent credit risks. Although this seems to be a purely financial problem, the fact that banks gives credit to default prone agents turns them in some sense into an insurance company.

 

 

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