Modeling Risk in Insurance and Energy market

Speakers: Silvia Lavagnini and Gregorio Pellegrini

Date: May 12, 2021 at 9:00 PM CEST on Zoom. Click for more info.

Recording: Link

Energy market

In recent years, the production of renewable power has grown to reduce the environmental impact of traditional sources like oil and coal. However, this shift comes at a cost: renewable sources are highly dependent on weather factors such as temperature, wind and precipitation, all of which are hard to predict. As a consequence, these energy sources are less reliable and power prices appear extremely volatile, introducing challenges in terms of financial risk management. For this reason, the accurate modelling of energy markets is a key component and one of the big concerns of mathematical finance. In this talk I will discuss two of the main tasks within the modelling of energy markets, namely spot price modelling and derivation of forward prices. I will then present the problem of models calibration and discuss my recent work on calibration of an infinite dimensional model for forward curves with neural networks.

Insurance

At least once, everyone has got in touch with insurance products: for one’s car (motor insurance), to invest savings (life products) or thinking about future retirements (pension funds). But how does the Insurer use the policyholder’s capital? How does he handle risk trying to pursue revenue? Let us investigate how it is relevant to consider and manage risk and where mathematics provides a reliable framework, metrics and measurements.

Silvia is a Ph.D. candidate at the Mathematics Department of the University of Oslo, Norway. Her Ph.D. project in mathematical finance and energy markets aims at studying innovative and accurate tools to be applied in quantification of risk, and, ultimately, for option pricing and hedging strategies. She obtained a master degree in Mathematics from the University of Verona in 2017.

Gregorio holds his B.Sc. and M.Sc. in mathematics at the University of Verona. After his graduation he joined the Financial and Credit Risk Office within the Risk Management Department at Generali Italia S.p.A, developing tools, web apps and dashboards to assess the risk profile of Generali’s Italian insurance business units. Moreover he is currently enrolled at EMIF Master (Executive Master in Insurance and Finance) at MIB Trieste School of Management.