Program for stream Modern Decision Making in Finance and Insurance

MA-57: Modelling commodity markets dynamics
Stream: Modern Decision Making in Finance and Insurance
Room: S06 (building: 101)
Chair(s): Lorenz Schneider

• Assessing the Profitability of Large-Scale Batteries in the UK Electricity Market
  Nina Lange, Stefan Ropke
• Commodity Forward Curves with Stochastic Time Change
  Maren Diane Schmeck
• Calendar Spread Options and the Term Structure of Volatility
  Malthe Rauh Johansen, Nina Lange
• Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models
  Lorenz Schneider, Bertrand Tavin

MB-57: Decision making in Insurance and Pensions
Stream: Modern Decision Making in Finance and Insurance
Room: S06 (building: 101)
Chair(s): Peter Hieber

• Optimal consumption, investment, and insurance under state-dependent risk aversion
  Mogens Steffensen
• Value-at-Risk estimation in nested simulations
  Alexander Strack
• Catastrophe Risk Management
  Tadashi Uratani
• The Value of Lender-Initiated Loan Credit Insurance in Supplier Financing
  Hechen Zhong, Nina Yan, Jizhou Lu, Kin Keung Lai

MC-57: Dynamic portfolio selection: stochastic optimization, filtering, and learning techniques
Stream: Modern Decision Making in Finance and Insurance
Room: S06 (building: 101)
Chair(s): Sebastien Lleo

• Reinforcement Learning Methods in Risk-Sensitive Investment Management
  Wolfgang Runggaldier, Sebastien Lleo
• Robust Utility Maximization in Continuous Time: Filtering for Shaping the Uncertainty Sets
  Jörn Sass
• Expert Opinions and Power Utility Maximization in a Market with Partially Observable Gaussian Drift
  Ralf Wunderlich
• Portfolio optimization based on multiperiod continuous stochastic dominance principles
  Giorgio Consigli

MD-57: Methodology in asset allocation and banking
Stream: Modern Decision Making in Finance and Insurance
Room: S06 (building: 101)
Chair(s): Rita Pimentel

• Accelerated Static Hedging Method for Pricing American Options
  Lung-fu Chang
• Portfolio selection based on the Herd Behavior Index
  Churui Li, Daniel Linders, Wing Fung Chong
• You Shall Not Pass - Minimizing false-positive ensemble classification through threshold optimization
  Richard Oberdieck, Ruben Menke, Christian Møller Karsten

TA-57: Robust decisions in finance and investments
Stream: Modern Decision Making in Finance and Insurance
Room: S06 (building: 101)
Chair(s): Bertrand Tavin

• Real options under ambiguity with rare events
  Benoit Chevalier-Roignant, Andrianos Tsekrekos, Athanasios Yannacopoulos
• On the separation of estimation and control in risk-sensitive investment problems under incomplete observation
  Sebastien Lleo, Wolfgang Runggaldier
• Decision criteria under ambiguity for robust portfolio choice given a sample of assets’ returns
  Eric André
• Management of adverse events: risk mitigation or exiting?
  Carlos Oliveira, Rita Pimentel

TB-57: Risk management and valuation of financial contracts
Stream: Modern Decision Making in Finance and Insurance
Room: S06 (building: 101)
Chair(s): Eric André, Bertrand Tavin

• Insurer's management discretion: Self-hedging participating life insurance
  Peter Hieber
• Merged LSTM-MLP for option pricing
  Rita Pimentel, Morten Risstad, Erlend Stegavik Rygg, Jacob Vinje, Sjur Westgaard, Cassandra Wu
• A constrained simulation approach to robust risk management of derivative products.
  Bertrand Tavin

TC-57: Market dynamics and implications for portfolio decisions
Stream: Modern Decision Making in Finance and Insurance
Room: S06 (building: 101)
Chair(s): Jörn Sass

• Investor activity in EFSF/ESM secondary bond markets
  Peter Schwendner
• A Novel Approach to Thematic Portfolio Construction: Patent-based Investment Decision Making
  David Jaggi, Alexander Posth, Carsten C. Guderian
• Stochastic dynamic optimization in strategic financial management
  Antti Korhonen
• Utilizing realized covariance estimators in finding safe haven evidence
  Josip Arneric, Tea Šestanović