Tiltrædelsesforelæsninger ved Kristian Buchardt og Matthias Fahrenwaldt

Inaugural lectures by the new adjunct professors, Kristian Buchardt and Matthias Fahrenwaldt. The Department host a reception afterwards - all are welcome.

Programme:

14.15: Kristian Buchardt
15.00: Matthias Fahrenwaldt
15.45-16.30: Light snacks and beer/water/wine

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Kristian Buchardt: 

Development of life and pension insurance modelling from pre-Solvency II and onwards

In this talk, we focus on select developments in the modelling of life and pension insurance liabilities in Denmark, from pre-Solvency II until now, and look a bit to the future. Motivated by requirements in practice, we discuss last decade's developments of the modelling of products in the classic 3-state Markov model. The topics discussed are the introduction of policyholder behaviour, computation of the value of bonus, and handling that transitions are exposed to reporting delays and incomplete event adjudication, leading to changes in both reserving and estimation. We end the talk by discussing current topics prone to further research.

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Matthias Fahrenwaldt:

A Tale of Two Modelling Approaches

In this talk, we start with the traditional modelling approach practised in actuarial and financial mathematics and then consider its evolution towards more data-driven models. Either type entails model risk which we view from the supervisor’s and the mathematician’s perspective. The gap between these pictures should be bridged by new research as the widespread use of machine learning/artificial intelligence exacerbates the potentially grave consequences of model risk.