FWF - Modelle für Versicherung - Mathematical Models for Insurance Risk

In this project stochastic models for the development over time of the free reserve of insurance portfolios is studied. In particular, economic factors and dependencies among the involved risks are taken into account. Both the development of analytical methods for the study of these models and the refinement and analysis of efficient variance reduction techniques for simulation of the corresponding stochastic processes are undertaken. Moreover, the investigation of optimality criteria for the choice of reinsurance contracts and the derivation of static hedging strategies for certain types of exotic financial derivatives is pursued.