Session Time & Room : 2D (Aug.22, 15:30-17:10) @D502
Type : Proposal of Minisymposium
Abstract : Financial activities are principally based on a variety of models, which have been modified over times according to the change of financial situation as well as the change of financial regulation. The corresponding stochastic mathematical models are also adjusted. In recent years, disaster risk financing and insurance strategy are of importance. In this minisymposium, we present researches of various aspects of financial modeling, from basic theory to real world problems.
[05403] Insurance design for the loss of epidemic outbreaks involving the Cramer -Lundberg model
Format : Talk at Waseda University
Author(s) :
Naoyuki Ishimura (Chuo University)
Chenwei Sun (Chuo University)
Koichiro Takaoka (Chuo University)
Abstract : We consider the insurance design for the loss of epidemic outbreaks such as COVID-19. The new point of our model is to involve the Cramer-Lundberg process in the risk theory. Utilizing the standard time-discrete SIR model, we propose how to compute the insurance coverage due to the damage of epidemic bursts. The comparison between our theory and the empirical study employing the daily data of Tokyo area will be also discussed.
[02749] Micro-foundations of some financial models with bubbles
Format : Talk at Waseda University
Author(s) :
Naohiro Yoshida (Keiai University)
Abstract : This presentation will discuss the micro-foundation of some financial models with bubbles.
The micro-foundation discussed is the excess demand model. In other words, the amount of demand for and supply of a security by each investor in the market are formulated, and the price of the security is determined so that they satisfy the market-clearing condition.
The main objective of this presentation is to propose some excess demand models of financial models with bubbles. We will discuss what characteristics of investor's demand and supply cause bubbles.
[02787] An Ito-Wentzell Formula for SDE Conditional Measure Flows
Format : Talk at Waseda University
Author(s) :
Nizar Touzi (CMAP, Ecole Polytechnique)
Assil Fadle (CMAP, Ecole Polytechnique)
Abstract : We provide general Ito and Ito-Wentzell formulas for functions of conditional measure flows of continuous semimartingales, using functional linear derivatives and standard stochastic analysis results. We provide applications for mean field optimal control and mean field optimal stopping with common noise.
[04500] A Generalized Cram{¥'e}r-Lundberg Model Driven by Mixed Poisson Processes
Format : Talk at Waseda University
Author(s) :
Masashi Tomita (Meiji Yasuda Life Insurance Company)
Koichiro Takaoka (Chuo University)
Motokazu Ishizaka (Chuo University)
Abstract : We propose a generalized Cram{\'e}r-Lundberg model of the risk theory of non-life insurance and discuss several mathematical properties including the ruin probability. Our model is an extension of that of Dubey (1977) to the case of multiple insureds, where the counting process is a mixed Poisson process and the continuously varying premium rate is determined by a Bayesian rule on the number of claims.
