About:

Søren Asmussen delivered the LMS Invited Lectures and gave a ten-hour course on advanced topics in life insurance mathematics.

Søren Asmussen is a Emeritus Professor at Aarhus University. Before being appointed as a Professor at Aarhus University in 2003, he worked at the University of Copenhagen, Aalborg University and Lund University. His work is in applied probability, in particular branching processes, queueing theory, insurance risk, Monte Carlo simulation and matrix-analytic methods. He is the author of about 150 peer-reviewed papers and four books. He holds several awards, including the John von Neumann Theory Prize, honorary doctorates from Heriot-Watt University and Wroclaw University, and a gold medal from the Sobolev Institute of Mathematics.

The course was based on parts of his book ‘Risk and Insurance: A Graduate Text’, co-authored with Mogens Steffensen. Moreover, the event focused on inhomogeneous Markov models, connections to financial mathematics, stochastic control, unit-linked products, dividends and bonus, surrender options and other aspects of policy holder behaviour, and investment-consumption problems for pension funds. 

Corina Constantinescu from the University of Liverpool also gave a lecture.