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Workshop in Actuarial Science (March 6-7, 2003)

The actuarial research group of the Katholieke Universiteit Leuven is pleased to announce a two-days conference on recent developments in actuarial research. The event will take place on March 6-7 at the Departement of Applied Economics, Naamsestraat 69 (room 02.10).

Academic researchers, practitioners and students in the field of actuarial and financial mathematics are most welcome.

For more information, feel free to contact Marc Decamps.

 

Organizing committee

 

Invited speakers

    Interest Rate Risk Management

 

Programme for Thursday March 6
13.30 – 14.00 Welcome  
14.00 – 14.30 Rob Kaas (UvA, Amsterdam) Some Useful Counterexamples Regarding Comonotonicity
14.30 – 15.00 Qihe Tang (UvA, Amsterdam) Ruin Probability of Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
15.00 – 15.30 Roger Laven (UvA, Amsterdam & Mercer) A two-level Approach to Risk Measurement
15.30 – 16.00 Coffee  
16.00 – 16.30 Jacques Carriθre (University of Alberta) Construction of eventual arbitrages
16.30 – 17.00 Marc Goovaerts (KUL) Incoherent Aspect of Coherence
17.00 – 17.30 Marc Decamps (KUL) Modelling Spot Rate with Positive Linear Diffusions

 

Program for Friday March 7
9.00 – 9.30 Welcome  
9.30 – 10.15 Hans Gerber (HEC Lausanne) Optimal Dividends: Analysis with Brownian Motion
10.15 – 11.00 Elias Shiu (Iowa city, US) Interest Rate Risk Management
11.00– 11.30 Coffee  
11.30 – 12.15 Nikolai Kolev (Sao Paulo, Brazil) Two Correlated Collective Risk Models
12.15 – 14.00 Lunch  
14.00 – 14.30 Michel Denuit (UCL) Stochastic dominance bounds for functions of dependent risks
14.30 – 15.00 Jan Beirlant (KUL) Recent Work on Extremes
15.00 – 15.30 Wim Schoutens (KUL) Stochastic Volatility Levy Models for Financial Assets: Calibration, Pricing and Monte-Carlo Simulations
15.30 – 16.00 Coffee  
16.00 – 16.30 Jan Dhaene (KUL) Risk Measures and Optimal Portfolio Selection
16.30 – 17.00 Grzegorz Darkiewicz (KUL) Distortion Risk Measures, Some Pitfalls

 

Registration and fee
  • 15 Euro for Thursday only
  • 60 Euro for Friday only including the lunch at the Faculty Club
  • 70 Euro for full registration

No fee is charged for undergraduate students. The deadline for registration is February 28, 2003. Please transfer the fee to the account number 432-0000011-57 with reference DCQ-SEMIN1-P3620 before the deadline and confirm your presence by email to Marc Decamps.

 
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