LMS Invited Lectures 2019

20-24 May 2019

ICMS, The Bayes Centre, 47 Potterrow, Edinburgh EH8 9BT

In May 2019 Søren Asmussen will deliver the LMS Invited Lectures 2019, giving a ten-hour condensed course on advanced topics in life insurance mathematics.

Søren Asmussen is Emeritus Professor at Aarhus University, Denmark since 2017. Before being appointed as a Professor at Aarhus University in 2003, he held longer employments at the University of Copenhagen, Aalborg University (Denmark) and Lund University (Sweden). His work is in applied probability, in particular branching processes, queueing theory, insurance risk, Monte Carlo simulation and matrix-analytic methods. He is the author of about 150 peer-reviewed papers and four books. He holds several awards, including the John von Neumann Theory Prize, honorary doctorates from Heriot-Watt University and Wroclaw University, and a gold medal from the Sobolev Institute of Mathematics.

The course will be based on parts of Prof Asmussen's forthcoming book ‘Risk and Insurance: A Graduate Text’, co-authored with Mogens Steffensen, University of Copenhagen. The course is based on inhomogeneous Markov models, and special emphasis will be given to connections to financial mathematics and stochastic control. Particular topics to be treated include unit-linked products, dividends and bonus, surrender options and other aspects of policy holder behaviour, and investment-consumption problems for pension funds. The required background is essentially masters-level probability, including a basic knowledge of martingales and stochastic calculus. Some familiarity with elementary differential equation theory will also be useful.

The main course will be complemented by two additional lectures, one to be given by Corina Constantinescu, University of Liverpool. The name of the other guest speaker will be announced shortly.

Further details will be available shortly.