Double STAR seminar: Carlo Sgarra and Sven Karbach

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The webinars will take place on Zoom and a link to the virtual room will be sent out to all those who registered at the registration page.

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Speaker at 10:00: Carlo Sgarra (Politecnico di Milano)

Title: Optimal Reinsurance Strategies in a Partially Observable Contagion Model

Abstract: We investigate the optimal reinsurance problem when the loss process exhibits jump clustering features and the insurance company has restricted information about the loss process. We maximize expected exponential utility and show that an optimal solution exists. We provide the equation governing the dynamics of the (infinite-dimensional) filter and characterize the solution of the stochastic optimization problem as the solution of a BSDE.

Speaker at 11:00: Sven Karbach (University of Amsterdam)

Title: Positive multivariate CARMA processe

Abstract: In this talk we discuss positivity of multivariate continuous-time autoregressive moving-average (MCARMA) processes. In particular, we introduce matrix valued MCARMA processes and derive sufficient and necessary conditions such that the processes leave the cone of positive semi-definite matrices invariant. MCARMA processes on the cone of positive semi-definite matrices can be used to model e.g. the instantaneous covariance process in multivariate stochastic volatility models.

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This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORM, SCROLLER, and SPATUS

Published Dec. 3, 2021 3:48 PM - Last modified Dec. 6, 2021 12:41 PM