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 Takis Konstantopoulos, University of Liverpool and Andrew Cairns, Heriot-Watt University.

To register as a participant please complete this registration form.


Workshop on Stochastic Processes in Finance and Beyond
On the afternoon of Thursday 23 May, there will be a workshop on ‘Stochastic processes in finance and beyond’, organized by the Applied Probability section of the Royal Statistical Society in conjunction with Prof Asmussen’s lecture course.
You may also be interested in attending the meeting ‘Modern Applied Probability’, which will be held at ICMS on 15-17 May 2019 in celebration of Sergey Foss’ 65th birthday. 

Provisional programme

Monday 20 May

11.00-11.25

Registration  

11.25-11.30

Welcome remarks

11.30 -12.30

Takis Konstantopoulos (University of Liverpool)

12.30-14.00

Lunch - provided by ICMS

14.00-15.00

Søren Asmussen (Aarhus University) Lecture I

15.00-15.30

Tea/Coffee break  

15.30-16.30

Søren Asmussen (Aarhus University) Lecture II

16.30-17.30

 Welcome reception

Tuesday 21 May

09.30-10.30

Søren Asmussen (Aarhus University) Lecture III

10.30-11.00

Tea/Coffee break

11.00-12.00

Søren Asmussen (Aarhus University) Lecture IV

12.00-14.00

Lunch - provided by ICMS

14.00-15.00

Tutorial

15.00-15.30

Tea/Coffee break

16.00-17.30 Participant talks
16.00-16.30 Abdul-Lateef Haji-Ali (Heriot-Watt University)
Multilevel Monte Carlo for efficient risk estimation
16.30-17.00

Lewis Ramsden (University of Hertfordshire)
On the time to ruin for a dependent delayed capital injection risk model

17.00-17.30

Jason Anquandah (University of Leeds)
Optimal stopping in a simple model of unemployment insurance

Wednesday 22 May

09.30-10.30

Søren Asmussen (Aarhus University) Lecture V

10.30-11.00

Tea/Coffee break  

11.00-12.00

Søren Asmussen (Aarhus University) Lecture VI

12.00 -

 Free afternoon

Thursday 23 May
THERE WILL BE A FIRE ALARM TEST AT 11:30 TODAY. THIS WILL ONLY LAST FOR A FEW SECONDS. PLEASE REMAIN SEATED. THERE IS NO NEED TO EVACUATE THE BUILDING.

09.30-10.30

Søren Asmussen (Aarhus University) Lecture VII

10.30-11.00

Tea/Coffee break

11.00-12.00

Søren Asmussen (Aarhus University) Lecture VIII

12.00-12.30

Tutorial

12.30-14.00

Lunch (not provided)

14.00-17.30

Workshop on “Stochastic processes in finance and beyond”

 

Friday 24 May

09.00-10.00

Soren Asmussen (Aarhus University) Lecture IX

10:00-10.30

Tea/Coffee break  

10:30-11.30

Andrew Cairns (Heriot-Watt University)

11.30

 Closing remarks