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LMS Invited Lectures 2019

Monday 20 May 2019 11:00 - Friday 24 May 2019 12:00

Spaces available

On May 20-24 2019, Prof Søren Asmussen (Aarhus University) will deliver a course on lectures on advanced topics in life insurance mathematics.  This will be held at the International Centre for Mathematical Sciences, Edinburgh, and will be accompanied by supporting lectures from Prof Corina Constantinescu (University of Liverpool) and Prof Andrew Cairns (Heriot-Watt University). To register, please visit https://www.icms.org.uk/LMSAsmussen.php.

Full synopsis

Professor 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 and Andrew Cairns, Heriot-Watt University.

Provisional programme.

Monday 20 May 

11.00-11.25 - Registration  

11.25-11.30 - Welcome remarks

11.30 -12.30 -  Corina Constantinescu (University of Liverpool)

12.30-14.00 - Lunch

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

14.00-15.00 - Tutorial

15.00-16.00 - Tea/Coffee break with poster session

16.00-17.30 - Participant talks

 

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 onwards -  Free afternoon

 

Thursday 23 May
09.30-10.30 - Søren Asmussen (Aarhus University) Lecture VII

10.30-11.00 - Tea/Coffee break in the catering space

11.00-12.00 - Søren Asmussen (Aarhus University) Lecture VIII

12.00-12.30 - Tutorial

12.30-14.00 - Lunch

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

 

The full and final programme can also be view on the LMS Lectures web page.

Location

Address

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

Nearest Public Transport

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Pricing information

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Book Now

For more information and to register please visit https://www.icms.org.uk/LMSAsmussen.php.