Research Seminar Series in Statistics and Mathematics

Wirtschaftsuniversität Wien , Departments 4 D4.4.008 12:15 - 13:25

Art Vortrag/Diskussion
Vortragende/r Paul Eisenberg (Department of Mathematical Sciences, University of Liverpool)
Veranstalter Institut für Statistik und Mathematik
Kontakt katrin.artner@wu.ac.at

A roller coaster: Energy markets, Suboptimal control and Pensions.

Paul Eisenberg (Department of Mathematical Sciences, University of Liverpool) about "A roller coaster: Energy markets, Suboptimal control and Pensions."

The Institute for Statistics and Mathematics (Department of Finance, Accounting and Statistics) cordially invites everyone interested to attend the talks in our Research Seminar Series, where internationally renowned scholars from leading universities present and discuss their (working) papers.

No registration required.
The list of talks for the summer term 2020 is available via the following link: https://www.wu.ac.at/en/statmath/resseminar

In this talk I will introduce three threads of my active research.
In the first part of the presentation, we will look at energy futures markets.
Electricity companies are forced to trade their energy on different time horizons and often well in advance. For being profitable, it is crucial to anticipate the energy supply and demand as good as possible. Recently, the traders demonstrate an increasing desire to understand price and price risk of energy contracts with delivery in the future (electricity futures). However, having in mind that electricity is a flow commodity which is delivered over time intervals and that delivery periods often overlap, modelling of electricity futures is a non-​trivial task. Prices for intersecting delivery periods do, for obvious reasons, depend on each other which has to be taken into account. We discuss different price models and come up with a relatively simple, (NA)-​consistent and interpretable model.
As a second topic, we discuss a method to find explicit error bounds for non-​optimal controls in financial control problems. When an optimal control cannot be obtained, then one often relies on numerics or an ad-​hoc choice of an control. In both cases one may pose the question how "good" an obtained 'approximate' or 'ad-​hoc' control really is. Applying universal density bounds we measure the error of a given control in relation to the unknown optimal control.
In the last part of the talk we will look at the pension industry.
The increase in longevity, the ultra-​low interest rates and the guarantees associated to pension benefits have put significant strain on the pension industry. Consequently, insurers need to be in a financially sound position while offering satisfactory benefits to participants. In this paper, we propose a pension design that goes beyond the idea of annuity pools and unit-​linked insurance products. The purpose is to replace traditional guarantees with low volatility, mainly achieved by collective smoothing algorithms and an adequate asset management.
A possible pension design allowing insurance companies to offer pension products without classical guarantees will be presented and discussed. This ongoing project is based on joint work with "msg life Austria".

zurück zur Übersicht