Workshop on Financial Engineering Methods for Insurance Mathematics

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In the last decade applications of financial mathematics to insurance have emerged as a burgeoning research topic. Use of financial engineering models has provided new insights 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 is designed to address this interface of financial mathematics and insurance and to encourage further knowledge transfer between the two disciplines. In particular, the workshop will emphasize stochastic models in insurance and actuarial risk-management. The project entails bringing together a critical mass of researchers in order to foster new directions of research and bolster exchange of ideas. To do so, the organizing committee is inviting several leading experts in the fields of actuarial and financial mathematics to serve as keynote speakers. These will be complemented by a fair number of graduate students and young researchers, who will have an excellent opportunity for close interaction with senior colleagues. A significant part of the grant will be used for providing travel support to members of underrepresented groups, graduate students and postdocs. The tight focus of the workshop and a small participant list of forty will encourage a collaborative atmosphere and close contact. The workshop is one of the first of its kind in the United States and its wider aim is to encourage further research on insurance mathematics at American universities, as well as to promote projects addressing the distinctive US insurance environment and regulations. This is a crucial step in understanding the risks faced by the American consumer given the proliferation of various insurance policies and continued shift to defined-contribution pension plans.