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FRIAS Fellowship for Ernst Eberlein and Thorsten Schmidt


For the third time since 2013, FRIAS and the Strasbourg Institute for Advanced Studies (USIAS) have selected three joint research groups. This year one research group will take place in the field of insurance and finance. The topic of the group is

Linking Finance and Insurance: Theory and Applications

This FRIAS-USIAS research group will explore problems that lie at the intersection of banking/finance and insurance. From Strasbourg Prof. Dr. Jean Berard, the director of the Mathematical Institute, and Prof. Dr. Karl-Theodor Eisele, Professor of Insurance Mathematics, will collaborate with Prof. Dr. Thorsten Schmidt, Professor of Financial Mathematics at the University of Freiburg, and his predecessor and FRIAS alumnus Prof. Dr. Ernst Eberlein.

The proposed field is of particular interest under the current market situation, as the present low interest rate environment is both a big challenge for insurance companies and a key driving factor of stock markets. This shows the high topicality of this endeavor on one side and the enormous potential for future developments on the other side.

The group will focus on hybrid derivatives. This type of derivatives appears naturally in equity-linked insurance products, variable annuities and other financial products from the area of pensions and life-insurance. By investigating the valuation and risk-management methodologies of these derivatives, the group aims to study specific problems relevant to companies and to develop tailor-made solutions.


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