Portfolio Optimization for a Large Investor under Partial Information and Price Impact

Zehra Eksi  and Hyejin Ku

Place: IAM-S208

Date / Time: 26.12.2016 / 12.00

Abstract. This paper studies portfolio optimization problems in a market with partial information and price impact. We consider a large investor with an objective of expected utility maximization from terminal wealth. The drift of the underlying price process is modeled as a diffusion affected by a continuous-time Markov chain and the actions of the large investor. Using the stochastic filtering theory, we reduce the optimal control problem under partial information to the one with complete observation.For logarithmic and power utility cases we solve the utility maximization problem explicitly and we obtain optimal investment strategies in the feedback form. We compare the value functions to those for the case without price impact in Bauerle and Rieder (2004) and Bauerle and Rieder (2005). It turns out that the investor would be better off due to the presence of a price impact both in complete-information and partial-information settings.

On inverse formulation of elliptic bioelectric field problems  

Constantin Popa

Ovidius University, Constanta, Romania

Place: IAM - S209

Date / Time:  07.04.2016 / 13:40

Abstract: Our talk is motivated by the electrocardiographic (ECG) inverse problem, of which main goal is to relate ECG signals on the body surface with their underlying bioelectric sources, i.e. to deduce from the effect the cause behind it. We describe the main ideas to construct a finite differences discretization, together with a verification procedure that connects the direct and the inverse problem.  We also propose an efficient gradient type solver, and an appropriate preconditioning technique. The numerical experiments on a simplified model problem illustrate the efficiency of this approach. 


Single projection iterative solvers: selection procedures and extensions to inconsistent problems

Rank Metric Codes

Wolfgang Willems

University of Madgeburg, Germany

Place: IAM - S209

Date / Time:  14.01.2016 / 15:30

Abstract: Rank metric codes, which are subspaces of the full vector space of matrices over a finite field, provide a method to construct good subspace codes, the central objects in network coding. Codes which reach the Singleton bound are called MRD codes. Up to now essentially only one general construction method is known which leads to the class of Gabidulin codes or slight variations. We prove that in particular situations other classes exist which are related to finite semi-fields.

A review on Bonus Malus Sytems in Motor Liability Insurance

Tuba Durak

Hazine Müsteşarlığı, Sigorta Denetleme Kurulu, Aktüerya
Place: IAM - S208-II

Date / Time:  16.12.2015 / 13 : 15

Abstract: When pricing motor third party liability insurance products, an actuary can use many variables like gender, age, occupation  etc. in order to classify the policyholders  in homogeneous risk classes. But due to the some factors  which can not be measured, some heterogeneity will remain in these tariff classes .Recent studies have shown that the inadequacy of this priori rating system can be corrected with experience rating systems. In this seminar Bonus-Malus System , one of the experience rating methods,  will be explained .


Erasmus and Exchange Programs

Ummuhan Çataloğlu

International Cooperations Office-METU

Place: IAM - S208-II

Date / Time:  15.12.2015 / 14 :45

Abstract: A special presentation on Erasmus and Exchange programs will be given to our students by International Coorporations Office.

The Actuarial Practices of the Risk Management Departments in Non-Life Insurance Market


Statutory Actuary, Anadolu Sigorta

Place: IAM - LAB

Date / Time:  02.12.2015 / 13 :30

Abstract:The key benchmark of an insurance business is its solvency or its financial strength. In this seminar, the Solvency II (SII) system which makes it possible for insurance companies to measure their solvency with a risk basis method will be explained. The main aim of this presentation is to handle “The Best Estimate Method” which is one of the major actuarial calculations of SII. Moreover, a new rating system for credit and operational risks from an actuarial perspective will be mentioned.