Workshop on Actuarial and Financial Mathematics
26 – 27 October, 2005
Västerås – Stockholm  

Organisers:
Department of Mathematics and Physics, Mälardalen University
Department of Mathematics, Stockholm University .
 
Organising Committee:
Professor Dmitrii Silvestrov, Mälardalen University ,
Professor Anders Marti-Löf, Stockholm University
Dr. Evelina Silvestrova (secretary)
 
E-mail: evelina.silvestrova@mdh.se
Phone: 021-101517
 
 
26 October 2005 
Västerås, Mälardalen University ,
Department of Mathematics and Physics
U-building, Room : Ypsilon
 
Chairman: Dmitrii Silvestrov
 
10.00 – 10.40 Nadiya Zinchenko ( Kiev University ), Yuliya Mishura ( Kiev University )
Topics of Research Studies on Actuarial and Financial Mathematics at Mathematical
Faculty (Department of Probability Theory and Mathematical Statistics and
Department of Mathematical Analysis)
 
10.50 – 11.20 Vladimir Korolyuk ( Institute of Mathematics , Kiev )
Stochastic Systems with an Average in Diffusion Approximation Scheme
 
11.40 – 12.10 Henrik Jönsson (Mälardalen University), Dmitrii Silvestrov (Mälardalen
University), Alexander Kukush ( Kiev University )
Optimal Stopping Strategies for Discrete Time American Type Options
 
12.20 – 12.50 Jan Röman ( Swedish Financial Supervisory Authority)
The Trafic Light: A New Method to Supervise Insurance Companies
 
12.50 – 14.00 Lunch
 
14.00 – 14.40 Dmitrii Silvestrov ( Mälardalen University ), Jozef Teugels (Katholieke
Universiteit Leuven), Viktoriya Masol ( Mälardalen University ), Anatoliy Malyarenko
( Mälardalen University )
Reinsurance Analyser
 
14.50 – 15.20 Dimitrios Konstantinides (Universityt of Aegean )
Ruin Probabilities for Solution to Stochastic Recurrence Equation with Heavy Tailed
Innovations
 
 
 
15.40 – 16.10 Dmitrii Silvestrov (Mälardalen University), Miroslav Drozdenko (Mälardalen
University)
Necessary and Sufficient Conditions for Weak Convergence of First-Rare-Event
Times for Semi-Markov processes with Applications to Risk Theory
 
16.20 – 16.50 Fredrik Stenberg (Mälardalen University), Dmitrii Silvestrov (Mälardalen
University), Raimondo Manca ( University of Rome )
Discrete Time Backward Semi-Markov Reward Processes and an Application to
Disability Insurance Problems
 
27 October 2005 
Stockholm , Stockholm University
Department of Mathematics
House 5 , Room 14
 
Chairman: Anders Martin-Löf
 
11.00 – 12.50 Meeting with the Chairman of Swedish Actuarial Society Erik Hevreng
on Problems of Actuarial Education in Sweden
 
12.50 – 14.00 Lunch
 
14.00 – 14.30 Panel discussion on Problems of Actuarial Education
 
14.40 – 15.10 Hanspeter Schmidli ( University of Cologne )
On Optimal Dividends in the Classical Risk Model
 
15.20 – 15.50 Wim Schoutens (Katholieke Universiteit Leuven ),
A Multivariate Jump-Driven Financial Asset Model
 
16.00 – 16.30 Anders Martin-Löf ( Stockholm University )
Risk Theory with a Variable Premium
 
16.40 – 17.10 Dmitrii Silvestrov ( Mälardalen University ), Anatoliy Malyarenko (Mälardalen
University), Evelina Silvestrova ( Mälardalen University )
Stochastic Modelling of Insurance Business with Dynamic Control of Investments