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A CMA-workshop on
"Mathematical Finance and Insurance"
12th Workshop in Mathematics &
Economics
Hosted by:
Department of Mathematics and The Centre of Mathematics for Applications,
University of Oslo, Norway
Time and place:
Friday September 30, 2005, CMA, University of Oslo, Niels
H. Abel hus - 10th floor, Room B1036
Main invited speaker:
Professor Andrew Cairns, Heriot-Watt University,
Edinburgh
Program
(A
tentative collection of abstracts can be found here)
9:10 Welcome
9:15 –10:00 Andrew Cairns (Heriot-Watt University,
Edinburgh), A family of term structure models with stochastic
volatility.
10:00 –10:15 Coffee break
10:15 –11:00 Erik Bølviken (UiO and
Gabler & Partners, Oslo), Insurance mathematics and its
links to mathematical finance
11:10 –11:55 Kristian Miltersen (NHH, Bergen),
Is Mortality Dead? Stochastic Forward Force of Mortality Rate
Determined by No Arbitrage
12:00 –13:15 Lunch break
13:15 –14:00 Andrew Cairns (Heriot-Watt
University),
Mortality is alive and kicking
14:00 –14:15 Coffee break
14:15 –15:00 Jøril Mæland (NHH,
Bergen), Valuation of an Irreversible Investment: Private Information
about a Stochastic Investment Cost
15:10 – 15:55 Jostein Paulsen (UiB, Bergen),
Optimal dividend payouts for diffusions with solvency constraints
16:05 –16:50 Knut Aase (NHH, Bergen), Using
Option Pricing Theory to Infer About Historical Equity Premiums
The organizing committee:
Fred Espen Benth fredb@math.uio.no
Giulia Di Nunno giulian@math.uio.no
Tom Lindstrøm lindstro@math.uio.no
Bernt Øksendal oksendal@math.uio.no
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