Proceedings - Actuarial and Financial Mathematics Conference PDF
Preview Proceedings - Actuarial and Financial Mathematics Conference
KONINKLIJKE VLAAMSE ACADEMIE VAN BELGIE VOOR WETENSCHAPPEN EN KUNSTEN TH 5 ACTUARIAL AND FINANCIAL MATHEMATICS DAY February 9, 2007 Michèle Vanmaele, Griselda Deelstra, Ann De Schepper, Jan Dhaene, Huguette Reynaerts, Wim Schoutens & Paul Van Goethem (Eds.) CONTACTFORUM KONINKLIJKE VLAAMSE ACADEMIE VAN BELGIE VOOR WETENSCHAPPEN EN KUNSTEN TH 5 ACTUARIAL AND FINANCIAL MATHEMATICS DAY February 9, 2007 Michèle Vanmaele, Griselda Deelstra, Ann De Schepper, Jan Dhaene, Huguette Reynaerts, Wim Schoutens & Paul Van Goethem (Eds.) CONTACTFORUM Handelingen van het contactforum "5th Actuarial and Financial Mathematics Day" (9 februari 2007, hoofdaanvrager: Prof. M. Vanmaele, UGent) gesteund door de Koninklijke Vlaamse Academie van België voor Wetenschappen en Kunsten. Afgezien van het afstemmen van het lettertype en de alinea’s op de richtlijnen voor de publicatie van de handelingen heeft de Academie geen andere wijzigingen in de tekst aangebracht. De inhoud, de volgorde en de opbouw van de teksten zijn de verantwoordelijkheid van de hoofdaanvrager (of editors) van het contactforum. KONINKLIJKE VLAAMSE ACADEMIE VAN BELGIE VOOR WETENSCHAPPEN EN KUNSTEN Paleis der Academiën Hertogsstraat 1 1000 Brussel Niets uit deze uitgave mag worden verveelvoudigd en/of openbaar gemaakt door middel van druk, fotokopie, microfilm of op welke andere wijze ook zonder voorafgaande schriftelijke toestemming van de uitgever. No part of this book may be reproduced in any form, by print, photo print, microfilm or any other means without written permission from the publisher. © Copyright 2007 KVAB D/2007/0455/00 Printed by Universa Press, 9230 Wetteren, Belgium KONINKLIJKE VLAAMSE ACADEMIE VAN BELGIE VOOR WETENSCHAPPEN EN KUNSTEN th 5 Actuarial and Financial Mathematics Day PREFACE The fifth edition of the Contactforum “Actuarial and Financial Mathematics Day” attracted many participants, both researchers and practitioners. We welcomed this year several participants from abroad, indicating that this event is becoming to be known internationally. This contactforum aims to bring together young researchers, in particular Ph.D. students and Postdocs, working in the field of Financial and Actuarial Mathematics to discuss recent developments in the theory of mathematical finance and insurance and its application to current issues faced by the industry and to identify the substantive problems confronting academic researchers and finance professionals. We provide a forum for the discussion of advances within this field. In particular, we want to promote the exchange of ideas between practitioners and academics. Renowned practitioners were programmed as main speakers in order to give them a forum to talk about the needs, the problems, the hot topics in their fields. The invited paper about risk measures is included in these transactions. We thank all our speakers and discussants (Jasper Anderluh, Katrien Antonio, Griselda Deelstra, Henrik Jönsson, Nele Vandaele, Maarten Van Wieren, David Vyncke), for their enthusiasm and their interesting contributions which made this day a great success. We are also extremely grateful to our sponsors: the Royal Flemish Academy of Belgium for Science and Arts, and Scientific Research Network “Fundamental Methods and Techniques in Mathematics” of the Fund for Scientific Research - Flanders. They made it possible to spend the day in a very agreeable and inspiring environment. We plan a two day international event for the next meeting in 2008 with the focus on the interplay between finance and insurance. Griselda Deelstra Ann De Schepper Jan Dhaene Huguette Reynaerts Wim Schoutens Paul Van Goethem Michèle Vanmaele KONINKLIJKE VLAAMSE ACADEMIE VAN BELGIE VOOR WETENSCHAPPEN EN KUNSTEN th 5 Actuarial and Financial Mathematics Day CONTENTS Invited talk Capital allocation with risk measures...………………………………………………………. 3 A. Tsanakas Contributed talks Control variates for callable LIBOR exotics. A preliminary study……...……………...….. 21 J. Buitelaar, R. Lord Hedging under incomplete information. Applications to emmissions markets...…………… 33 U. Cetin, M. Verschuere Hedging guarantees under interest rate and mortality risk….....................................……… 43 A. Chen, A.B. Mahayni Dealing with the volatility smile of Himalayan options...…………………………………... 55 J. Meaney An actuarial approach to short-run monetary equilibrium…… ..…………………….…….. 67 F. Mierzejewski Averaged bond prices in generalized Cox-Ingersoll-Ross model of interest rates..…..……. 77 B. Stehlíková INVITED TALK
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