Workshop on Financial Engineering Methods for Insurance Mathematics

在过去的十年里，金融数学在保险中的应用已经成为一个新兴的研究课题。金融工程模型的使用为保险定价、理解死亡风险、设计再保险合同和对冲商业保险组合提供了新的见解。与此同时，保险业现在提供了种类繁多的新产品，具有许多金融选择。鉴于这些发展，许多悬而未决的问题浮出水面，需要新的数学分析框架。研讨会的目的是解决金融数学和保险之间的这种接口，并鼓励这两个学科之间进一步的知识转移。研讨会将特别强调保险和精算风险管理中的随机模型。该项目需要将大量研究人员聚集在一起，以促进新的研究方向和加强思想交流。为此，组委会邀请精算和金融数学领域的几位顶尖专家担任主旨演讲人。此外，还有相当数量的研究生和年轻研究人员，他们将有很好的机会与资深同事密切互动。赠款的很大一部分将用于向代表性不足群体的成员、研究生和博士后提供旅行支助。研讨会的重点很紧，参与者名单不多，只有40人，这将鼓励合作的气氛和密切的联系。该研讨会是美国第一个此类研讨会，其更广泛的目的是鼓励美国大学进一步研究保险数学，并促进解决美国独特的保险环境和法规的项目。这是理解美国消费者面临的风险的关键一步，因为各种保单激增，并继续转向固定缴款养老金计划。

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.