Workgroup Financial Mathematics

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Research Projects

The research activities at quantLab involve mathematical modeling with data-driven implementation. The projects address current problems in the field, and are often driven by actual questions consulted by our industry partners.

Modern Interest Rate Modelling and Beyond

The Interplay Between Insurance and Capital Markets

    One of the most recent developments in the financial services sector is the convergence of (re)insurance and capital markets. More concretely, (re)insurance companies have started to exploit the possibilities of alternative securitization of actuarial risks on the financial market. Simultaneously, new sophisticated products have been invented which intertwine features of traditional insurance and financial investment. The newly developed hybrid market originates a vast new field of research, including topics such as valuation and risk mitigation for hybrid products. Furthermore, new regulatory frameworks for the insurance industry such as Solvency II create the need for enhanced enterprise risk management and reliable quantitative methods for the assessment of solvency capital requirement, especially for the new hybrid products.
  • Stochastischer Profit Test von dynamischen 2-Topf-Hybriden mit anschließender Betrachtung unter Solvency II