Buongiorno a tutti, abbiamo il piacere di annunciare il quarto appuntamento del ciclo di seminari online promosso dal Gruppo UMI PRISMA.
May 3,2021
- 16:00-17:00 (CET) Francesca Biagini Reduced-form setting under model uncertainty with non-linear affine Intensities.
- 17:00-18:00 (CET) Katia Colaneri Classical solutions of the Backward PIDE for Markov modulated Marked Point Processes and applications to catastrophic bonds.
Abstract Francesca Biagini: In this talk we present a market model including financial assets and life insurance liabilities within a reduced-form framework under model uncertainty by following [1]. In particular we extend this framework to include mortality intensities following an affine process under parameter uncertainty, as defined in [2].This allows both to introduce the definition of a longevity bond under model uncertainty in a consistent way with the classical case under one prior, as well as to compute it by explicit formulas or by numerical methods. We also study conditions to guarantee the existence of a càdlàg modification for the longevity bond’s value process. Furthermore, we show how the resulting market model extended with the longevity bond is arbitrage-free and study arbitrage-free pricing of contingent claims or life insurance liabilities in this setting. This talk is based on: [1] Francesca Biagini and Yinglin Zhang. Reduced-form framework under model uncertainty. The Annals of Applied Probability, 29(4):2481–2522, 2019. [2] Francesca Biagini and Katharina Oberpriller. Reduced-form framework under model uncertainty. Preprint University of Munich and Gran Sasso Science Institute, 2020. [3] Tolulope Fadina, Ariel Neufeld, and Thorsten Schmidt. Affine processes under parameter uncertainty. Probability, Uncertainty and Quantitative Risk https://link.springer.com/journal/41546 volume 4 (5), 2019.
Abstract Katia Colaneri: We give conditions ensuring that the backward partial integro differential equation (PIDE) associated with a multidimensional jump-diffusion with a pure jump component has a unique classical solution. Our proof uses a probabilistic arguments and extends the results of (Pham 1998) to processes with a pure jump component where the jump intensity is modulated by a diffusion process. This result is particularly useful in some applications to pricing and hedging of financial and actuarial instruments, and we provide an example to pricing of catastrophic (CAT) bonds.
Collegamento Teams: https://teams.microsoft.com/l/meetup-join/19%3ad685b25ed15f4821ac5168e63cf98...
Tutte le informazioni le trovate anche alla pagina http://www.umi-prisma.polito.it/webinars.html
Grazie per l’attenzione, Claudia Ceci e Domenico Marinucci
******************************************** Claudia Ceci Dipartimento di Economia Universita' "G. d'Annunzio" di Chieti-Pescara V.le Pindaro 42 65127, Pescara, ITALY c.ceci@unich.it *******************************************