The main areas of research:
- modeling of insurance and investment risks
- valuation of insurance companies
- management of the assets and liabilities of insurance companies
- credibility theory and other methods of charging fees
- valuation of insurance reserves
- insolvency risk management
- actuarial statistics
- modeling cycles in financial markets
- portfolio management
- capital adequacy of insurance companies / investment firms
- optimal risk transfer
- ALM for pension plans
prof. dr hab. Lesław Gajek
Michał Boczek, Assistant Professor
Agnieszka Drwalewska, Assistant Professor
Żywilla Fechner, Assistant Professor
Lesław Gajek, Full Professor
Marek Kałuszka, Associate Professor
Lyudmyla Kirichenko, Assistant Professor
Violetta Lipińska, Assistant Professor
Andrzej Okolewski, Associate Professor
Marcin Rudź, Assistant Professor
Filip Turoboś, Assistant Professor
Inter-university Seminar on Insurance Mathematics
Chairman: Lesław Gajek
Modelling of insurer's solvency with regime-switching models, valuation of insurance companies, long-term measures of insolvency risk, ruin probabilities. Risk processes: parameters, estimation. Insurance premium modelling (Bonus-Malus Systems, IBNR, Credibility Premium Rules). Insurance risk management, including interest rate risk. Optimal Risk Transfers. Insurance companies and financial markets. Decentralized insurance.
The seminar takes place on Tuesdays, 11.00 am–12.15 pm.
Seminar on Financial and Insurance Mathematics
Chairman: Marek Kałuszka
The seminar topics include selected methods of financial and insurance mathematics with particular emphasis on risk measures (including order statistics), measures of risk aversion, and issues related to decision-making based on imprecise data.
The seminar takes place at the Institute of Mathematics of the Lodz University of Technology, Campus B, Building B9, room 52, on Tuesdays at 10:00–12:00 (Warsaw time).