Special Aspects of Insurance Mathematics (Winter)


Prof. Dr. Mitja Stadje


2/0 SWS

Seminar date

This seminar takes place as a block seminar. The attendance at all seminar dates is required. The date will be decided at the beginning of the winter semester.

First meeting

The first meeting will take place on August 1st, 2018, 11-12 a.m. in HeHo 18 room 1.20. We will discuss the topics and distribute them amoung the participants.


In this seminar, we focus on the application of Levy processes in insurance and finance. We will enter this new topic using a text book, which we apply to scientific papers.


It is possible to work on self-proposed topics.

Target Group

The seminar is suitable for Master students in Wirtschaftsmathematik, Wirtschaftswissenschaften or Finance. This seminar uses advanced stochastic processes in continuous time and in particular requires firm knowledge of the use of Brownian motion and Ito calculus.


If you are interested, simply contact Christian Dehm (christian.dehm(at)uni-ulm.de) by (at the latest) July 31st, 2018 with the following information:

  • name
  • subject of study, number of semesters
  • current overview of grades (transcript of records)
  • Which lectures have you already heard in Actuarial Science, Financial Mathematics and Finance (including the current semester)? Did you attend Stochastics 2, Financial Mathematics 1 & 2 or Stochastic analysis?

Possible discussion objects

The participants of the seminar will receive parts of the text book or application papers which will then be presented in the seminar

  • Rama Cont and Peter Tankov (2004): Financial Modelling with Jump Processes, Chapman & Hall/ CRC Financial Mathematics Series. (available in the University Library) 
  • Chengguo Weng (2013): Constant Proportion Portfolio Insurance under a regime switching exponential Levy process, Insurance: Mathematics and Economics 52, 508-521.
  • Calisto Guambe and Rodwell Kufakunesu (2015): A note on optimal investment – consumption – insurance in a Levy market, Insurance: Mathematics and Economics 65, 30-36.
  • Elisa Luciano and Elena Vigna (2008): Mortality risk via affine stochastic intensitites calibration and empirical relevance, Belgian actuarial journal 8(1), 5-16.
  • Yinglu Deng, Patrick L. Brockett and Richard D. MacMinn (2012): Longevity/ Mortality Risk Modelling and Securities Pricing, Journal of Risk and Insurance 79, 697-721.
  • Jorge Bravo (2008): Pricing longevity bonds using affine-jump diffusion models, Proceedings of the 2nd Annual Meeting of the Portuguese Economic Journal.

Seminar Performance

The seminar performance consists of three parts:

  • A seminar presentation about a selected topic with a presentation of the results and some application examples and the moderation of the following discussion. Duration of the presentation: 90 minutes (including discussion). The topics of the presentations are generally assigned to groups of participants.
    The presentation is a performance of the whole group.
  • A written formulation of the presentation documents as a support for the participants of a maximum length of three pages.
    Delivery of the presentation documents: at least one week before the presentation via e-mail to christian.dehm(at)uni-ulm.de. The creation of the presentation documents is a performance of the whole group.
  • Active participation in this seminar.