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Workshop on Stochastic Analysis in Finance and Insurance

金融与保险随机分析研讨会

基本信息

批准号：
1108593
负责人：
Erhan Bayraktar
金额：
$ 4万
依托单位：
Regents of the University of Michigan - Ann Arbor
依托单位国家：
美国
项目类别：
Standard Grant
财政年份：
2011
资助国家：
美国
起止时间：
2011-03-01 至 2014-02-28
项目状态：
已结题

来源：
https://www.nsf.gov/awardsearch/showAward?AWD_ID=1108593&HistoricalAwards=false
关键词：
Workshop Stochastic Analysis Finance Insurance

项目摘要

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/

该奖项支持2011年5月17日至20日在密歇根大学安阿伯举行的金融和保险随机分析研讨会与会者的旅行。该研讨会汇集了随机分析和金融与保险数学的研究人员，以调查金融和保险中随机分析的最新技术，交流思想，并建立新的研究方向。会议主题包括最优随机控制、随机投资组合理论、市场微观结构和利率建模、倒向随机微分方程、随机死亡率风险、股票挂钩保险产品的定价/对冲、最优风险分担、合同设计、年金投资和保险公司的风险管理。研讨会包括12个由高级研究人员主持的全体演讲和8个由初级研究人员主持的特邀演讲。会议包括一个小组讨论，重点是金融和保险数学的当前需求，以及学术研究和实际应用之间的关系。小组成员将确定该领域的开放问题，并领导该领域的开放问题和新方向的讨论。研讨会将加强初级和高级研究人员在金融和保险随机分析方面的交流。会议鼓励和支持研究生，初级研究人员和代表性不足的群体成员的参与。会议网址：http://sites.google.com/site/safimichigan/