Insurance and Economics

The section's research is oriented toward insurance mathematics, mathematical finance, econometrics and financial economics, applied probability theory, and operations research.

The members of the section educate actuarial students qualified to perform risk-theoretical and financial analysis in life and non-life insurance and students at the interface of mathematics and economics.

RESEARCH

The members of the section work more specifically within the areas of

life insurance and pensions,
portfolio optimization,
stochastic control theory,
extreme value theory and heavy-tailed distributions,
time series analysis,
risk theory with financial risk,
non-life insurance,
statistics in insurance,
exotic options pricing and hedging,
large deviations theory,
Markov chain theory,
risk management,
optimal stopping,
energy finance,
linear and nonlinear programming,
stochastic programming.

SEMINAR

The section organizes the Seminar in Insurance and Economics.

EDUCATION

The section members are responsible for the Bachelor and Master education in actuarial science and mathematical economics at the University of Copenhagen.

COLLABORATION

The research group maintains close contact with the financial and insurance industry. This is mainly done by collaborating on research projects, including industrial PhDs with academic and industrial partners.

For instance, members of the research group are currently involved in the project frame InterAct, which is a collaboration with a number of the country’s insurance companies and pensions funds.