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Some Hilbert space ideas for actuaries of the third kind
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When
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17.00
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Where
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B617 (Leverhulme Library)
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Presentations
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Speaker
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Martin Schweizer
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From
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ETH Zurich
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Abstract
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We present a very simple approach via Hilbert space methods to some problems from mathematical finance that are also relevant for modern actuaries. More precisely, we show how to solve the classical Markowitz problems (in dynamic or static versions), explain how to do mean-variance hedging and give an application to indifference valuation. The latter is of particular interest for actuaries since it can be used to value insurance products in the context of a financial market.
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For further information
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Tom Hewlett (Postgraduate Administrator) Ext. 6879
Department of Statistics, Columbia House
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