Monthly seminars "chaire ACPR"
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The ACPR Research Initiative seminar highlights high-quality research addressing issues of regulation and systemic risk for both banks and insurance firms.
The seminar takes place on the first Wednesday of the month from 10.00 to 11.30 in the premises of the ACPR: 4, place de Budapest, Salle Liège (rez-de-jardin) - See access plan.
The seminar is open to everybody. Registration by email at chaireACPR@acpr.banque-france.fr is free but compulsory in order to attend. If you wish to be informed of upcoming events, please send an email to the same address.
The ACPR Studies Department organizes independent seminars as well: the page dedicated to the ACPR research seminars is available here.
Next EVENTWednesday, 2 June 2021, 10.30 am – 12.00 pmLeonie Violetta Brinker (University of Cologne) WILL PRESENT “Optimal drawdown-based decision making for insurance companies” Abstract: A drawdown is the absolute distance of the current surplus to its historical peak and can therefore be considered as a risk measure. Indeed, whilst large and long-lasting drawdowns might manifest existing financial and reputational risks, small and infrequent drawdowns can be considered a sign of economic strength and steadiness. For this reason, minimising drawdowns is desirable for companies -- especially in insurance business, where the trust of policyholders is the basis for success. To control the drawdowns, insurance companies can, for instance, use investments and reinsurance. In this talk, we consider the stochastic optimisation problem of minimising the expected duration time of "large" drawdowns by means of reinsurance or investments. It is assumed that the surplus of the insurer follows an arithmetic Brownian motion, and that drawdowns exceeding a prespecified level d>0 are threatening for the company. We identify the optimal reinsurance and investment strategies minimising the time when the current drawdown exceeds d and discuss results and implications of the model.
Pay attention, this seminar will take place online. To receive the invitation to the web platform, (free) registration is compulsory by mail at chaireACPR@acpr.banque-france.fr |
PREVIOUS EVENTWednesday, May 05th 2021, 10.30 am - noonMonica Billio (University Ca’ Foscari of Venice) will present: « Pandemics, Climate and Public Finance: How to Strengthen Socio-Economics Resilience across Policy Domains »
Pay attention, this seminar will take place online. To receive the invitation to the web platform, (free) registration is compulsory by mail at chaireACPR@acpr.banque-france.fr
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