Talks in Financial and Insurance Mathematics

This is the regular weekly research seminar on Insurance Mathematics and Stochastic Finance.

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Spring Semester 2026

Date / Time

Speaker

Title

Location

19 February 2026
17:15-18:15

Prof. Dr. Matthias Scherer
Technical University Munich

Details

Talks in Financial and Insurance Mathematics

Title	Pricing Insurance Contracts with an Existing Portfolio as Background Risk
Speaker, Affiliation	Prof. Dr. Matthias Scherer, Technical University Munich
Date, Time	19 February 2026, 17:15-18:15
Location	HG G 43
Abstract	How should an insurer price a new contract when it wants to account for the dependence between the new risk and its existing portfolio? This talk introduces a new premium principle—the conditional indifference premium—which explicitly incorporates the insurer’s current portfolio as background risk. Unlike classical law-invariant pricing rules, this approach captures the dependence between the new risk and existing exposures, yielding prices that better reflect diversification and accumulation effects. The talk will present the theoretical foundations of the conditional indifference premium, explore its axiomatic and stochastic dominance properties, and highlight its connection to risk measures and regulatory capital. Through examples with exchangeable portfolios, we illustrate how portfolio size and dependence structure influence the marginal price of additional risks, shedding new light on the limits of diversification in insurance pricing.

Pricing Insurance Contracts with an Existing Portfolio as Background Riskread_more

HG G 43

26 February 2026
17:15-18:15

Lucas Morisset
École Normale Supérieur de Lyon

Details

Talks in Financial and Insurance Mathematics

Title	Non-Asymptotic Analysis of Data Augmentation for Precision Matrix Estimation
Speaker, Affiliation	Lucas Morisset, École Normale Supérieur de Lyon
Date, Time	26 February 2026, 17:15-18:15
Location	HG G 43
Abstract	This paper addresses the problem of inverse covariance (also known as precision matrix) estimation in high-dimensional settings. Specifically, we focus on two classes of estimators: linear shrinkage estimators with a target proportional to the identity matrix, and estimators derived from data augmentation (DA). Here, DA refers to the common practice of enriching a dataset with artificial samples--typically generated via a generative model or through random transformations of the original data--prior to model fitting. For both classes of estimators, we derive estimators and provide concentration bounds for their quadratic error. This allows for both method comparison and hyperparameter tuning, such as selecting the optimal proportion of artificial samples. On the technical side, our analysis relies on tools from random matrix theory. We introduce a novel deterministic equivalent for generalized resolvent matrices, accommodating dependent samples with specific structure. We support our theoretical results with numerical experiments.

Non-Asymptotic Analysis of Data Augmentation for Precision Matrix Estimationread_more

HG G 43

5 March 2026
17:15-18:15

Prof. Dr. Luciano Campi
University of Milan

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation	Prof. Dr. Luciano Campi, University of Milan
Date, Time	5 March 2026, 17:15-18:15
Location	HG G 43

Title T.B.A.

HG G 43

12 March 2026
17:15-18:15

Prof. Dr. Pierre-Olivier Goffard
Université de Strasbourg

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation	Prof. Dr. Pierre-Olivier Goffard, Université de Strasbourg
Date, Time	12 March 2026, 17:15-18:15
Location	HG G 43

Title T.B.A.

HG G 43

19 March 2026
17:15-18:15

Prof. Dr. Walter Schachermayer
University of Vienna

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation	Prof. Dr. Walter Schachermayer, University of Vienna
Date, Time	19 March 2026, 17:15-18:15
Location	HG G 43

Title T.B.A.

HG G 43

26 March 2026
17:15-18:15

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	26 March 2026, 17:15-18:15
Location	HG G 43

Title T.B.A.

HG G 43

2 April 2026
17:15-18:15

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	2 April 2026, 17:15-18:15
Location	HG G 43

Title T.B.A.

HG G 43

16 April 2026
17:15-18:15

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	16 April 2026, 17:15-18:15
Location	HG G 43

Title T.B.A.

HG G 43

23 April 2026
17:15-18:15

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	23 April 2026, 17:15-18:15
Location	HG G 43

Title T.B.A.

HG G 43

30 April 2026
17:15-18:15

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	30 April 2026, 17:15-18:15
Location	HG G 43

Title T.B.A.

HG G 43

7 May 2026
17:15-18:15

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	7 May 2026, 17:15-18:15
Location	HG G 43

Title T.B.A.

HG G 43

21 May 2026
17:15-18:15

Dr. Jorge Yslas

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation	Dr. Jorge Yslas,
Date, Time	21 May 2026, 17:15-18:15
Location	HG G 43

Title T.B.A.

HG G 43

28 May 2026
17:15-18:15

Prof. Dr. Nina Gantert
Technical University of Munich

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation	Prof. Dr. Nina Gantert, Technical University of Munich
Date, Time	28 May 2026, 17:15-18:15
Location	HG G 43

Title T.B.A.

HG G 43

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