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Gastprofessur Quantitative Finance and Insurance

The Gastprofessur in Quantitative Finance and Insurance, financed by the LMUexcellent program, is located at the LMU Mathematics Institute within the Faculty for Mathematics, Computer Sciences and Statistics. The program was brought into being by the interdisciplinary cooperation of the Faculty of Mathematics, Computer Science and Statistics, the Faculty of Business Administration and the Faculty of Economics. This fruitful collaboration also led to the founding of the Munich Risk and Insurance Center in 2010.
The aim of the Gastprofessur in Quantitative Finance and Insurance program is to promote high level interdisciplinary academic research in quantitative finance with practical industry applications. Main research areas include mathematical models in risk management, empirical quantification of financial and insurance risks, as well as management and transfer of credit risk. The three visiting professors were each invited for a period of one term, during which they worked on research projects in the areas mentioned above and held lectures and seminars on related topics.

Please find below a short introduction of the visiting professors as well as a summary of their teaching activities and publications that resulted from their stay at the LMU.

Visiting professors

Teaching activities and workshops

Within the scope of the Gastprofessur Quantitative Finance and Insurance the three following workshops were held at the LMU Munich: "Hamburg - Munich Insurance Colloquium" (October 1-2, 2008), "LMUexcellent Symposium: Quantitative Finance and Insurance" (November 13, 2009) and "LMUexcellent Symposium 2010: Workshop on Risk Measures and Attitudes" (December 13-14, 2010).

During their stay at the LMU the visiting professors held the following courses in the areas of quantitative finance and insurance:

  • Advanced insurance economics (Prof. Schlesinger)
  • Optimization problems in finance under full and partial information (Prof. Runggaldier)
  • Monetary valuation of cash-flows under model uncertainty (Prof. Föllmer)


Exploring higher-order risk effects
Deck C., Schlesinger H.
Review of Economic Studies 77, 1403-1420

On optimal investment in a reinsurance context with a point process market model
Edoli E., Runggaldier W. J.
Insurance: Mathematics and Economics 47, 315-326

Changes in risk and the demand for saving
Eeckhoudt L., Schlesinger H.
Journal of Monetary Economics 55, 1329-1336

Higher-order risk attitudes
Eeckhoudt L., Schlesinger H.
Resubmit at the Journal of Economic Literature

The utility premium of Friedman and Savage
Eeckhoudt L., Schlesinger H.
Economic Letters 105, 46-48

Apportioning risks via stochastic dominance
Eeckhoudt L., Schlesinger H., Tsetlin I.
Journal of Economic Theory 144, 994-1003

Uncertain bequest needs and long-term insurance contracts
Fei W., Fluet C., Schlesinger H.
CESifo Working Paper Series, No. 2505

Entropic risk measures: Coherence vs. convexity, model ambiguity, and robust large deviations
Föllmer H., Knispel T.
To appear in: Stochastics and Dynamics (2011)

Monetary valuation of cash flows under Knightian uncertainty
Föllmer H., Penner I.
To appear in: International Journal of Theoretical and Applied Finance (2011)

Credit risk and incomplete information: Filtering and EM parameter estimation
Fontana C., Ruggaldier W. J.
International Journal of Theoretical and Applied Finance 13, 638-715

Asset allocation strategy given nonmarket-wealth and background risks
Franke G., Schlesinger H., Stapleton C. R.
To appear in: Journal of Economic Theory (2011)

Pricing without equivalent martingale measures under complete and incomplete observation
Galesso G., Runggaldier W. J.
Contemporary Quantitative Finance; Essays in Honour of Eckhard Platen, 99-121

Insurance contract design when the insurer has private information on loss size
Lian Q., Schlesinger H.
Preprint 2010

Ruin probabilities in a finite-horizon risk model with investment and reinsurance
Romera R., Runggaldier W. J.
Working Paper 10-37 (21): Statistics and Economics Series