Modeling Risk in Insurance and Energy market - #VTMS

Modeling Risk in Insurance and Energy market - #VTMS
Speaker:  Silvia Lavagnini and Gregorio Pellegrini - Department of the University of Oslo (Norway) and Generali Italia S.p.A.
  Wednesday, May 12, 2021 at 9:00 PM
Series #VeronesiTuttiMathSeminars #SafetyThenEnjoyMath

Energy market

In recent years, the production of renewable power has grown to reduce the environmental impact of traditional sources like oil and coal. However, this shift comes at a cost: renewable sources are highly dependent on weather factors such as temperature, wind and precipitation, all of which are hard to predict. As a consequence, these energy sources are less reliable and power prices appear extremely volatile, introducing challenges in terms of financial risk management. For this reason, the accurate modelling of energy markets is a key component and one of the big concerns of mathematical finance. In this talk I will discuss two of the main tasks within the modelling of energy markets, namely spot price modelling and derivation of forward prices. I will then present the problem of models calibration and discuss my recent work on calibration of an infinite dimensional model for forward curves with neural networks.

Insurance

At least once, everyone has got in touch with insurance products: for one’s car (motor insurance), to invest savings (life products) or thinking about future retirements (pension funds). But how does the Insurer use the policyholder’s capital? How does he handle risk trying to pursue revenue? Let us investigate how it is relevant to consider and manage risk and where mathematics provides a reliable framework, metrics and measurements.

The zoom link for the seminar is https://univr.zoom.us/j/97604696910 and the password is given by the first eight significant digits of arccos(-1). In order to be informed about the next seminars, please join the following mailing-list

http://eepurl.com/gv9u9D

Marco Caliari, Chairman of the Mathematics Teaching Committee
Matteo Frigo, Chairman of Associazione Alumni Matematica Verona

Programme Director
Marco Caliari

Publication date
May 4, 2021

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