Tid: 14 april 2000 kl 1515-1700 (Observera dagen och tiden!)

Plats : Seminarierummet 3721 (Obs platsen!), Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Claudia Klüppelberg, Zentrum für Mathematik, Technische Universität München .(Publikationslista)

Titel: Insurance and finance

Full text (Postscript-format)

Sammanfattning: Insurance mathematics in the 1990s is influenced firstly, by the increase of catastrophic claims which becomes apparent already during the early seventies and eighties and requires new mathematical and statistical methods and, secondly, by a fast increasing financial market that is interested in new investment possibilities.

Ideas from extreme value theory and mathematical finance are introduced into insurance mathematics and enrich the classical insurance methods. But the exchange is not only from mathematical finance to insurance mathematics. The continuing occurrences of crashes in the financial market leads to a new development in mathematical finance: models and tools from insurance mathematics enter the world of finance.

We present examples, both from the insurance and the finance world. The choice of topics is guided by personal taste and my own work.

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