Project-Team:MATHRISK

Project-Team Mathrisk

Personnel

Overall Objectives

Research Program

Dependence modeling
Liquidity risk
Contagion modeling and systemic risk
Stochastic analysis and numerical probability

Application Domains

Financial Mathematics, Insurance

New Software and Platforms

PREMIA
Platforms

New Results

Systemic risk
Optimal stopping for Backward stochastic (partial) differential equations with jumps
Approximation of Martingale Optimal Transport problems
Numerical methods for Asset-Liability Management
American options
Stochastic Analysis and Malliavin calculus

Bilateral Contracts and Grants with Industry

Bilateral Grants with Industry
Bilateral Contracts with Industry

Partnerships and Cooperations

National Initiatives
International Initiatives
International Research Visitors

Dissemination

Promoting Scientific Activities
Teaching - Supervision - Juries

Bibliography

Major publications
Publications of the year
References in notes

Inria | Raweb 2017 | Presentation of the Project-Team MATHRISK | MATHRISK Web Site


	PDF	e-Pub

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Section: New Results

Numerical methods for Asset-Liability Management

With A. Cherchali, A. Alfonsi is working on obtaining a model for the Asset-Liability Management (ALM) of insurance companies. The purpose is to use this model to develop Monte-Carlo methods to approximate the SCR (Solvency Capital Requirement).

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