Workshop on Financial Engineering for Actuarial Mathematics

In the last decade applications of financial mathematics to insurance have emerged as a burgeoning research topic. Financial engineering models have been used to obtain new insight into pricing insurance policies, understanding mortality risk, designing re-insurance contracts, and hedging commercial insurance portfolios. At the same time, the insurance industry now offers a wide array of new products with many financial optionalities. In light of these developments many open problems have surfaced and have required new mathematical frameworks of analysis.

The workshop will address this interface of financial and insurance mathematics and foster further knowledge transfer between the two disciplines. In particular, the workshop will emphasize stochastic models in insurance and actuarial risk-management. To create a collaborative atmopshere and facilitate exchange of ideas, the workshop will have a limited number of participants and several talks by leading experts in the field.

The following is the list of confirmed keynote speakers:

Tomas Björk	(Stockholm School of Economics)
Andrew Cairns	(Heriot-Watt U.)
Sam Cox	(Georgia State U.)
Mary Hardy	(U. of Waterloo)
Bruce Jones	(U. of Western Ontario)
Moshe Milevsky	(York U.)
Martin Schweizer	(ETH)
Elias Shiu	(Iowa)
Shaun Wang	(Georgia State U.)
Thaleia Zariphopoulou	(UT Austin)

Sponsored by the University of Michigan Department of Mathematics, ERM-II and the National Science Foundation grant DMS-0649523.