Séminaire Périodique LAMSIN-MIMS
Saïd HAMADENE (Institut du Risque et de l'Assurance, Le Mans Université)
Title: Mean-Field Reflected BSDEs and applications in pricing life insurance contracts with surrender options
Abstract: In this talk, we study a class of reflected backward stochastic differential equations (BSDEs) of mean-field type, where the mean-field interaction in terms of the expected value of the Y-component of the solution enters both the driver and the lower obstacle. This class of models is motivated by applications in pricing life insurance contracts with surrender options. This talk is based on joint work with Boualem Djehiche (KTH, Stockholm) et Romuald Elie (UMLV).
Le séminaire se fera a distance, sur la plateforme ZOOM. Le lien est disponible ci-dessous.
Time: Jan 27, 2021 11:30 PM Tunis
Join Zoom Meeting
https://us02web.zoom.us/j/2616756988
Meeting ID: 261 675 6988
Organizing Commitee:
Mohamed Mnif, Sadok Kallel
Scientific Commitee:
Mohamed Mnif, Anis Matoussi
Sponsors:
MIMS, LAMSIN
Saïd HAMADENE (Institut du Risque et de l'Assurance, Le Mans Université)
Title: Mean-Field Reflected BSDEs and applications in pricing life insurance contracts with surrender options
Abstract: In this talk, we study a class of reflected backward stochastic differential equations (BSDEs) of mean-field type, where the mean-field interaction in terms of the expected value of the Y-component of the solution enters both the driver and the lower obstacle. This class of models is motivated by applications in pricing life insurance contracts with surrender options. This talk is based on joint work with Boualem Djehiche (KTH, Stockholm) et Romuald Elie (UMLV).
Le séminaire se fera a distance, sur la plateforme ZOOM. Le lien est disponible ci-dessous.
Time: Jan 27, 2021 11:30 PM Tunis
Join Zoom Meeting
https://us02web.zoom.us/j/2616756988
Meeting ID: 261 675 6988