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

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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

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Talks in Financial and Insurance Mathematics

Title	Optimal coarse correlated equilibria in mean field games
Speaker, Affiliation	Prof. Dr. Luciano Campi, University of Milan
Date, Time	5 March 2026, 17:15-18:15
Location	HG G 43
Abstract	We will consider coarse correlated equilibria (CCE) in continuous time mean field games. CCEs are generalizations of Nash equilibria, where a moderator (aka correlation device) privately recommend strategies to the players that are not convenient to unilaterally reject. We will provide a linear programming approach through the notion of relaxed strategies in the same spirit as the works by Kurtz and Stockbridge, which have been recently extended to mean field games in several papers by Bouveret, Dumitrescu, Leutscher and Tankov. Within such a relaxed setting and under some regularity assumptions, we will show existence of an optimal CCE with respect to a fixed objective for the moderator. Finally, we will propose an equivalent Lagrangian formulation and a primal-dual algorithm to compute an optimal CCE numerically. This talk is based on a joint project with F. Cannerozzi and I. Tzouanas.

Optimal coarse correlated equilibria in mean field gamesread_more

HG G 43

12 March 2026
17:15-18:15

Prof. Dr. Pierre-Olivier Goffard
Université de Strasbourg

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Talks in Financial and Insurance Mathematics

Title	Collaborative and parametric insurance on the Ethereum blockchain
Speaker, Affiliation	Prof. Dr. Pierre-Olivier Goffard, Université de Strasbourg
Date, Time	12 March 2026, 17:15-18:15
Location	HG G 43
Abstract	I will present a blockchain-based insurance scheme that integrates parametric and collaborative elements. A pool of investors, referred to as surplus providers, locks funds in a smart contract, enabling blockchain users to underwrite parametric insurance contracts. These contracts automatically trigger compensation when predefined conditions are met. The collaborative aspect is embodied in the generation of tokens, which are distributed to both surplus providers and policyholders. These tokens represent each participant's share of the surplus and grant voting rights for management decisions. The smart contract is developed in Solidity, a high-level programming language for the Ethereum blockchain, and deployed on the Sepolia testnet, with data processing and analysis conducted using Python. I will discuss both the technical details as well as the actuarial aspects.

Collaborative and parametric insurance on the Ethereum blockchainread_more

HG G 43

19 March 2026
17:15-18:15

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation
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

Prof. Dr. Felix Matthys
ITAM Business School

Details

Talks in Financial and Insurance Mathematics

Title	Beyond Carbon Pricing: Integrating Mitigation, Adaptation, and Carbon Removal
Speaker, Affiliation	Prof. Dr. Felix Matthys, ITAM Business School
Date, Time	26 March 2026, 17:15-18:15
Location	HG G 43
Abstract	Relying solely on carbon pricing to meet Paris Agreement targets imposes prohibitive economic costs. We show that achieving the 2 ˝C stabilization goal through taxation alone requires carbon prices reaching approximately $474/tCO 2 , a level that triggers widespread capital divestment. To resolve this dilemma, we develop a dynamic stochastic integrated assessment model that optimizes a portfolio of carbon taxation, clean-capital subsidies, adaptation investment, and carbon dioxide removal (CDR). Our analysis identifies CDR as a necessary condition for stabilization rather than a supplementary measure. In the optimal portfolio, net carbon removal scales from 0.04 to 3.7 GtCO 2 /year by 2050 to maintain temperature targets at a feasible cost. These instruments act as economic complements: carbon pricing and subsidies target new emissions, CDR reduces the legacy atmospheric stock, and adaptation protects the economic base from immediate damages. Consequently, the welfare gains from the integrated portfolio significantly exceed the sum of individual instrument effects. We conclude that optimal climate policy requires shifting from a price-centric framework to a diversified approach in which carbon removal and adaptation serve as core pillars of decarbonization.

Beyond Carbon Pricing: Integrating Mitigation, Adaptation, and Carbon Removalread_more

HG G 43

2 April 2026
17:15-18:15

Dr. Eyal Neuman
Imperial College London

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Talks in Financial and Insurance Mathematics

Title	Stochastic Games on Large Sparse Graphs
Speaker, Affiliation	Dr. Eyal Neuman, Imperial College London
Date, Time	2 April 2026, 17:15-18:15
Location	HG G 43
Abstract	We introduce a framework for stochastic games on large sparse graphs, covering continuous-time and discrete-time dynamic games as well as static games. Players are indexed by the vertices of simple, locally finite graphs, allowing both finite and countably infinite populations, with asymptotics described through local weak convergence of marked graphs. The framework allows path-dependent utility functionals that may be heterogeneous across players. Under a contraction condition, we prove existence and uniqueness of Nash equilibria and establish exponential decay of correlations with graph distance. We further show that global equilibria can be approximated by truncated local games, and can even be reconstructed exactly on subgraphs given information on their boundary. Finally, we prove convergence of Nash equilibria along locally weakly convergent graph sequences, including sequences sampled from hyperfinite unimodular random graphs. This is a joint work with Sturmius Tuschmann.

Stochastic Games on Large Sparse Graphsread_more

HG G 43

16 April 2026
17:15-18:15

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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

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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

Prof. Dr. Christoph Czichowsky
LSE

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Talks in Financial and Insurance Mathematics

Title	No-Arbitrage, Superreplication and Utility Maximisation in Propagator Price Impact Models
Speaker, Affiliation	Prof. Dr. Christoph Czichowsky, LSE
Date, Time	7 May 2026, 17:15-18:15
Location	HG G 43
Abstract	We develop a comprehensive mathematical finance framework for propagator models with transient linear price impact. These models lead to infinite-dimensional, non-Markovian control problems and fall outside the scope of classical arbitrage and duality theory. We establish a fundamental theorem of asset pricing, a superreplication theorem with liquidity-adjusted risk measures, and a full convex-duality approach to utility maximisation. Despite the non-linearity of preferences and the path-dependent impact structure, we show that optimal strategies can be obtained from an equivalent frictionless optimisation problem under a suitably constructed shadow price.