Si segnala il seguente seminario a tutti gli interessati.
Giovedì 13 Marzo 2025, ore 11:45.
Aula Seminari VI Piano, Dipartimento di Matematica, Politecnico di Milano.
Speaker: Matteo Brachetta, Università di Genova.
Title: Risk measures and optimal reinsurance: finding a connection via BSDEs.
Abstract: The aim of this talk is to connect utiility maximization problems and the optimization of dynamic risk measures, which are usually considered as two different branches or approaches to financial problems. A reinsurance contract allows an insurance company to transfer part of the risk to another company, namely the reinsurer, in order to reduce the future losses, which are usually modeled as a marked point process. Finding the optimal reinsurance agreement translates into a stochastic control problem for the insurer. Recently, some authors showed that the optimal value process for the utility maximization problem can be characterized as the solution of a BSDE with jumps. In other works, it is proved that some BSDEs induce dynamic risk measures, which can be financially interpreted as a default time and an associated mark. In this talk we aim to explore the properties of the risk measure induced by the optimal reinsurance policy under dierent risk models with jumps. The talk is based on a work in progress with Fulvia Confortola (Politecnico of Milan).
Link Zoom: https://polimi-it.zoom.us/j/95837122103?pwd=hXtbnj0t8rpSbybIkhGUYwEjZ1dgxN.1 Join our Cloud HD Video Meetinghttps://polimi-it.zoom.us/j/95837122103?pwd=hXtbnj0t8rpSbybIkhGUYwEjZ1dgxN.1 polimi-it.zoom.ushttps://polimi-it.zoom.us/j/95837122103?pwd=hXtbnj0t8rpSbybIkhGUYwEjZ1dgxN.1 [zoom.ico]https://polimi-it.zoom.us/j/95837122103?pwd=hXtbnj0t8rpSbybIkhGUYwEjZ1dgxN.1
Link Seminario Polimi: https://www.mate.polimi.it/Eventi/?id=2550&sezione_di_ricerca=&stringa=&submit=Submit#single Eventi Dipartimento di Matematica - Politecnico di Milanohttps://www.mate.polimi.it/Eventi/?id=2550&sezione_di_ricerca=&stringa=&submit=Submit#single mate.polimi.ithttps://www.mate.polimi.it/Eventi/?id=2550&sezione_di_ricerca=&stringa=&submit=Submit#single [apple-touch-icon.png]https://www.mate.polimi.it/Eventi/?id=2550&sezione_di_ricerca=&stringa=&submit=Submit#single
----- Prof. Luca Scarpa, PhD Associate Professor in Probability Department of Mathematics Politecnico di Milano Via E. Bonardi 9 20133 Milano, Italy e.mail: luca.scarpa@polimi.itmailto:luca.scarpa@polimi.it url: https://sites.google.com/view/lucascarpa
