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Joint Risk & Stochastics and Financial Mathematics Seminar

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The following seminars have been jointly organised by the Risk and Stochastics Group and the Department of Mathematics. The Seminar normally takes place on Thursdays from 12.00 - 13.00 in room NAB.1.09 (New Academic Building, LSE), unless stated below. Follow this link for a map of the School|.

The series aims to promote communication and discussion of research in the mathematics of insurance and finance and their interface, to encourage interaction between practice and theory in these areas, and to support academic students in related programmes at postgraduate level. All are welcome to attend.

Please contact the seminar administrator on seminar@maths.lse.ac.uk| for further information about any of these seminars.

Upcoming Speakers:

Thursday 5 February - Michael Schmutz| (University of Bern and Swiss Financial Market Supervisory Authority (FINMA))
Challenges in risk based solvency frameworks


Risk-based solvency frameworks such as Solvency II to be introduced in the EU or the Swiss Solvency Test (SST) in force since 2011 in Switzerland seek to assess the financial health of insurance companies by quantifying the capital adequacy through calculating the solvency capital requirement (SCR). Companies can use their own economic capital models (internal models) for this calculation, provided the internal model is approved by the insurance supervisor. The Swiss supervisor has essentially completed the first round of internal model approvals. This has provided the supervisor and the industry with many insights into the challenges of designing, assessing, and supervising such models and has shown that there is a considerable number of challenges, in particular modelling challenges, that have not yet been solved in a completely satisfactory way. Some of the most important challenges and problems will be discussed along with some approaches to solutions.

Thursday 19 February - Pietro Siorpaes| (University of Vienna)
Title and abstract TBC

Thursday 5 March - Fausto Gozzi| (Luiss University)
Title and abstract TBC

Thursday 19 March - Dylan Possamaï| (CMAP École polytechnique)
Title and abstract TBC

Previous Seminars:

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