Workshop on Stochastic Analysis in Finance and Insurance

点击翻译按钮获取中文摘要

This award supports travel for participants in the Workshop on Stochastic Analysis in Finance and Insurance, held 17-20 May 2011 at the University of Michigan, Ann Arbor. The workshop brings together researchers in stochastic analysis and financial and insurance mathematics, in order to survey the state of the art of stochastic analysis in finance and insurance, to exchange ideas, and to forge new directions of research. The conference topics include optimal stochastic control, stochastic portfolio theory, market microstructure and interest-rate modeling, backward stochastic differential equations, stochastic mortality risk, pricing/hedging equity-linked insurance products, optimal risk sharing, contract design, and investment with annuities, and risk management for insurance firms.The workshop features twelve plenary talks by senior researchers and eight invited talks by junior researchers. The meeting includes a panel discussion focused on the current needs of financial and insurance mathematics, as well as the relationship between the academic research and practical applications. Panelists will identify open problems in the field and lead a discussion of open problems and new directions for the field. The workshop will enhance communication among junior and senior researchers in stochastic analysis in finance and insurance. The conference encourages and supports participation by graduate students, junior researchers, and members of under-represented groups. Conference web site: http://sites.google.com/site/safimichigan/