Université de Strasbourg

Jean Bérard, Ernst Eberlein, Karl-Théodor Eisele & Thorsten Schmidt

Biography - Jean Bérard

Institute for Advanced Mathematical Research (IRMA), University of Strasbourg

Jean Bérard, FRIAS-USIAS Fellow 2017

Jean Bérard is professor of mathematics at the University of Strasbourg. He is a member of the Institute for Advanced Mathematical Research (IRMA), and is currently responsible for the actuarial programme in Strasbourg.

His research interests include probability theory, Monte Carlo methods, and stochastic modelling applied to life and actuarial sciences.

Biography - Ernst Eberlein

Department of Mathematical Stochastics, University of Freiburg, Germany

Ernst Eberlein, FRIAS-USIAS Fellow 2017

Ernst Eberlein is professor emeritus at the University of Freiburg. He studied mathematics and physics at the universities of Erlangen-Nürnberg and Paris and received the Dr. rer. nat. at the former. As a post-doc he held positions at the University of Bonn, IMPA Rio de Janeiro and ETH Zürich where he was awarded a habilitation in mathematics.

He has published about 80 articles on topics in probability theory and mathematical finance and is editor of a number of conference proceedings. In the early 1990s he was one of the first to apply Lévy processes for more realistic modeling in finance. More than 20 PhD theses were completed under his supervision. He served as Dean and as Dean of Study Affairs for his Faculty and held sabbatical visiting positions at Stanford University, the University of California, San Diego (UCSD) and the University of Technology Sydney (UTS).

Ernst Eberlein is one of the founding members of the Freiburg Center for Data Analysis and Modeling (FDM). He is an elected member of the International Statistical Institute and honorary member of the Bachelier Finance Society. He spent the academic year 2009/10 as a fellow at FRIAS with a project on Information, Liquidity, and Trust in Incomplete Markets and was John-von-Neumann professor at the Technical University of Munich in 2015. He served as co-editor of Mathematical Finance and Applied Mathematical Finance.

He is a frequent speaker at conferences on topics in mathematical finance. His current research interests and consulting activities focus on modeling of financial markets, risk management, as well as the valuation of derivative financial products.


Biography - Karl-Théodor Eisele

Faculty of Mathematics and Informatics, University of Strasbourg

Karl-Théodor Eisele, USIAS Fellow 2017

Karl-Théodor Eisele is professor emeritus of Actuarial and Financial Mathematics at the Faculty of Mathematics and Informatics at University of Strasbourg, and member of the Management and Economics Research Laboratory (LaRGE) and the Institute for Advanced Mathematical Research (IRMA). He joined the University of Strasbourg in 1988. Before, he held several positions at the universities of Heidelberg, Zürich, and New York. From 1996 to 2006 he was responsible for the actuarial program at Strasbourg. He is a Fellow of the German Association for Actuarial and Financial Mathematics and of Swiss Association of Actuaries. 

His research is related to compound claim distributions in non-life insurances, ruin probability, multi-period risk assessment, and mathematics of solvency for insurances and financial institutions.

Biography - Thorsten Schmidt

Department of Mathematical Stochastics, University of Freiburg, Germany

Thorsten Schmidt, FRIAS-USIAS Fellow 2017

Thorsten Schmidt succeeded Ernst Eberlein as professor for mathematical stochastics at the University of Freiburg in the summer 2015.

His research combines financial mathematics with the area of stochastic processes and statistics and he has published papers in the area of credit risk, interest rates, affine processes, estimation of risk measures and further topics. Currently, he has also developed some interest in machine learning. During his career he encountered interesting problems, both from statistics and financial mathematics which, by their surprising complexity, inspire the need for deeper mathematical understanding. In Freiburg he and his young research team are working on tackling these challenges with improved mathematical models and are targeting various applied areas where this can be useful. Besides finance, this includes medicine, roboting and all areas where stochastic modelling is used.

Project - Linking Finance and Insurance: Theory and Applications

October 2017 - September 2019

The goal of this project is to tackle problems which lie at the intersection of finance and insurance. Under the current market situation this is of particular interest, as the present low interest rate environment is both a big challenge for insurance companies and a key driving factor of stock markets. This shows the high topicality of this endeavour on one side and the enormous potential for future developments on the other.

The main topic we will investigate is hybrid derivatives, which have equity and interest rates as underlying instruments. This type of derivative appears naturally in equity-linked insurance products, variable annuities and other financial products from the area of pensions and life-insurance. Our first step is to develop fundamental results on assets of this type and look, in particular, , for valuation and risk-management methodologies. We will also cover the important question of model risk utilising methods from robust finance and Bayesian finance. The second step is to apply these results by studying specific industry-relevant problems and developing tailor-made solutions.

Investissements d'Avenir