CAST Seminar: Mogens Steffensen

Join us at the CANSSI Ontario STatistics Seminars (CAST) with

Mogens Steffensen

Head of Department
Professor of Life Insurance Mathematics
Department of Mathematical Sciences
University of Copenhagen

Free Event | Registration Required

Talk Title

Multi-State Optimization Problems in Personal Finance and Insurance

Abstract

We discuss problem formulations and solutions to optimization problems based on the time-inhomogeneous continuous-time Markov chain, which formalizes insurable risks such as health and lifetime uncertainty. We solve problems with state-independent and state-dependent risk aversion and illustrate the results in a disability model in which risk aversion is preserved, decreases, or increases upon disability. We also discuss the validity of the approach to uncertain risk aversion and consider some alternative ideas leading to issues with time consistency.

Speaker Profile

Mogens Steffensen is a professor of life insurance mathematics and head of the Department for Mathematical Sciences at the University of Copenhagen. His research covers various valuation and decision-making problems in insurance and finance. He has recently been interested in integrating insurance and pension decisions into classical consumption-investment problems. He participates in industrial discussions and research projects about solvency, risk management, and product design. He is a member of the board of directors and chairman of the audit committee of PFA Pension, the largest Danish commercial pension fund.