In this seminar, we are going to focus on some topics in actuarial science including corporate social responsibility (CSR), machine learning methods in reserving and management compensation. We are specifically dealing with how data analytics is used to design a better insurance contract. In addition, we also discuss about topics related to CSR, such as how it impacts the firm's value and when the firm invests in it. The seminar is based on scientific papers that summarize recent results in this area.

 

If you are interested,  contact An Chen (an.chen(at)uni-ulm.de) as soon as possible with the following information:

• name
• subject of study, number of semesters
• current overview of grades
• Which lectures have you already heard in Actuarial Science, Financial Mathematics and Finance (including the current semester)?

The seminar is suitable for Master students in Wirtschaftsmathematik, Wirtschaftswissenschaften or Finance. Previous knowledge in Personenversicherungsmathematik, and Derivatives can be helpful.

 

Typically, seminar papers are distributed to a group of 2 students.
The seminar performance consists of three parts:

•  A seminar presentation about a selected topic. The presentation typically includes some
  theoretical derivations / model introduction and some numerical part that applies the
  results in a realistic setup.
  Duration of the presentation: 90 minutes (including discussion).
• 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 email
  to an.chen(at)uni-ulm.de. The presentation documents are created jointly.
• Active participation in this seminar.

Based on the performance, every participant will be credited with an (internal) grade.

1. Berrada, T., Engelhardt, L., Gibson, R., & Krueger, P. (2022). The Economics of Sustainability Linked Bonds. Swiss Finance Institute Research Paper, (22-26).
2. Cassimon, D., Engelen, P. J., & Van Liedekerke, L. (2016). When do firms invest in corporate social responsibility? A real option framework. Journal of Business Ethics, 137(1), 15-29.
3. Fatemi, A., Fooladi, I., & Tehranian, H. (2015). Valuation effects of corporate social responsibility. Journal of Banking & Finance, 59, 182-192.
4. Kuo, K. (2019). DeepTriangle: A deep learning approach to loss reserving. Risks, 7(3), 97.
5. Wüthrich, M. V. (2018). Neural networks applied to chain–ladder reserving. European Actuarial Journal, 8(2), 407-436.
6. Wüthrich, M. V. (2018). Machine learning in individual claims reserving. Scandinavian Actuarial Journal, 2018(6), 465-480.
7. Carpenter, J. N. (200). Does option compensation incease managerial risk appentite? The journal of finance, 55(5), 2311-2331.
8. Dittmann, I., Maug, E., Spalt, O. (2010). Sticks or Carrots? Optimal CEO Compensation when Managers Are Loss Averse. The journal of Finance 65.6 (2010): 2015-2050.