European Actuarial Journal Conference

112 Pages·2017·4.11 MB·English

Program
th
4
European Actuarial Journal
Conference
KU Leuven. Inspiring the outstanding.
Copyright©2018LRisk,KULeuven
v.u.: KatrienAntonio,Naamsestraat69,3000Leuven
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Leuven,September2018
Welcome to EAJ 2018
Dearvisitor,dearcolleague,
It is our pleasure to host the 4th edition of the European Actuarial Journal (EAJ) Conference in
Leuven. With 104 contributed talks and three academic keynote lectures the conference covers
thewidefieldofactuarialscience,pensionfunds,(re)insurance,mathematicalfinance,insurance
analytics, risk management, asset liability management and solvency. To (further) bridge the gap
between industry and academia, Monday afternoon’s CEO event gives the floor to two Belgian
captainsofindustrywhowillshedlightoncurrenttopicsintheinsuranceindustry(andbeyond).
After successful editions in Lausanne, Vienna and Lyon, the venue of this year’s edition is the
Faculty of Economics and Business at KU Leuven. Situated in the heart of Western Europe and
beingacenteroflearningforalmostsixcenturiesnow(foundedin1425),KULeuvenhasgrown
substantiallyandhasbecomeamulti-campusuniversityhostingmorethan57286students,9722
ofwhichare“international”studentsrepresenting163differentnationalities. Moreover,KULeuven
hasalongestablishedtraditioninactuarialresearchandeducation. Withthefirststudentsstarting
actuarialstudiesin1941,thegroupproudlycelebratedthe75thanniversaryofactuarialeducation
atKULeuveninSeptember2016.
MembersofLRisk,theLeuvenresearchcenterininsuranceandfinancialriskanalysis,willtake
careofthelocalorganization,incollaborationwithourdedicatedalumnichapterAlumni&Friends
ActuariaatLeuvenandKULeuven’sConferenceandEventOffice.
WewholeheartedlywelcomeyouinLeuven,abustlingcitywithmanymuseums,monumentsand
historicbuildings(includingUNESCOWorldHeritage)aswellasarichgastronomy,claimingto
be“Theplacetobeer!”.
Katrien Antonio Dominique Beckers Jan Dhaene Tom Reynkens
ConferencechairsEAJ2018
Table of contents
Welcome to EAJ 2018 ............................................. 1
Table of contents .................................................. 2
Local organizing committee ..................................... 4
Program committee .............................................. 5
European Actuarial Journal ...................................... 7
Tribute to Marc Goovaerts ........................................ 8
Academic keynotes ............................................. 11
CEO event ........................................................ 13
Sponsors .......................................................... 16
Research chairs .................................................. 27
Conference map ................................................ 32
Practical .......................................................... 33
About STUK ....................................................... 34
About Leuven .................................................... 35
Conference program ............................................ 36
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1 Monday 10 September: conference
Keynote: An Chen 41
Parallel session 1 42
Parallel session 2 54
Parallel session 3 63
1 Tuesday 11 September: conference
Keynote: Ruodu Wang 75
Parallel session 4 76
Keynote: Valérie Chavez-Demoulin 89
Parallel session 5 90
Author index ..................................................... 101
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Local organizing committee
KatrienAntonio Chair;ResearchCenterInsurance,FacultyofEconomicsandBusiness
KarimBarigou ResearchCenterInsurance
DominiqueBeckers Alumni&FriendsActuariaatLeuven
ResearchCenterInsurance
JanBeirlant SectionofStatistics,DepartmentofMathematics,FacultyofScience
JonasCrevecoeur ResearchCenterInsurance
DominiqueDeBrabanter KULeuvenConferenceandEventOffice
SanderDevriendt ResearchCenterInsurance
JanDhaene ResearchCenterInsurance
Alumni&FriendsActuariaatLeuven
HamzaHanbali ResearchCenterInsurance
RoelHenckaerts ResearchCenterInsurance
TomReynkens Co-chair;ResearchCenterInsurance
TimVerdonck SectionofStatistics
All researchers involved in the local organizing committee are members of LRisk, the Leuven
Research Center for insurance and financial risk analysis. Bringing together researchers from
variousschoolswithinKULeuven,thisResearchCenterboostsresearchandeducationoninsurance
studies, actuarial science, analytics, risk management and financial engineering. Visit ❤tt♣✿
✴✴✇✇✇✳❧r✐s❦✳❜❡tolearnmoreaboutthismulti-disciplinaryteamandtheMScprograminActuarial
andFinancialEngineeringinwhichtheLRiskstaffmembersteach.
Alumni & Friends Actuariaat Leuven is the dedicated alumni chapter connecting alumni from
the actuarial science program at KU Leuven. They support the organization of the CEO event.
Visit❤tt♣✿✴✴✇✇✇✳❢r✐❡♥❞s❛❝t✉❛r✐❛❛t❧❡✉✈❡♥✳❜❡ togetintouchwiththislivelycommunityof
actuaries.
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Program committee
JanDhaene Chair;KULeuven,Belgium
HansjörgAlbrecher UniversityofLausanne,Switzerland
KatrienAntonio KULeuven,Belgium&UniversityofAmsterdam,TheNetherlands
DominiqueBeckers KULeuven,Belgium
JanBeirlant KULeuven,Belgium&UniversityoftheFreeState,SouthAfrica
GriseldaDeelstra UniversitélibredeBruxelles,Belgium
BoualemDjehiche KTHRoyalInstituteofTechnology,Sweden
AlfredoEgidíodosReis UniversityofLisbon,Portugal
JoseGarrido ConcordiaUniversity,Canada
ChristianHipp KarlsruheInstituteofTechnology,Germany
RalfKorn UniversityofKaiserslautern,Germany
StéphaneLoisel Lyon1University,France
ThomasMikosch UniversityofCopenhagen,Denmark
ErmannoPitacco UniversityofTrieste,Italy
TomReynkens KULeuven,Belgium
TimVerdonck KULeuven,Belgium
RuoduWang UniversityofWaterloo,Canada
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European Actuarial Journal
The European Actuarial Journal (EAJ) publishes research articles and survey articles as well as
papersengagingthemutualtransferbetweenresearchandpracticalapplications.
Coverage includes such topics in classical actuarial mathematics as life and non-life insurance,
pension funds and reinsurance, along with more recent areas of interest such as risk manage-
ment,asset-and-liabilitymanagement,solvency,catastrophemodeling,systematicchangesinrisk
parameters,longevity,andmore.
Thesuccessortosixnationalactuarialjournals,EAJfocusesontheoryandmethodsforapplications
ininsuranceandfinance.
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Springer is a leading global scientific, technical and medical publisher, providing researchers in
academia, scientific institutions and corporate R&D departments with quality content through
innovative information, products and services. Springer has one of the strongest STM and HSS
eBook collections and archives, as well as a comprehensive range of hybrid and open access
journals.
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Tribute to
We started the academic year 2016–2017 with a memorable
celebrationof75yearsofactuarialeducationinLeuven,includ-
ing the recognition and celebration of our esteemed colleague,
Prof. dr. Marc Goovaerts, as Distinguished KU Leuven Actu-
ary. However,withgreatsadnessourresearch groupandalumni
chapter had to announce the passing of our dear colleague and
friend Marc on February 18, 2018, at age 71. Marc obtained
his PhD in Mathematics in 1971, with greatest distinction, at
GhentUniversity(Belgium). HisimpressiveCVlistsover400
academicpublications. Heco-authoredmorethan20scientific
booksandproceedings. Heistheacademicfatherofmorethan
20PhDstudents. In2008,MarcwasawardedthetitleofDoctor
HonorisCausaatAnkaraUniversity.
Untilretiringin2011,MarcwasaProfessoratKULeuven(Belgium)andpart-timeProfessoratthe
UniversityofAmsterdam(TheNetherlands).
Marcwasoneof thefoundersoftheJournalofComputationaland AppliedMathematicsin1975,
together with Robert Piessens and Luc Wuytack. Together with Jean Haezendonck, Etienne De
Vijlder and Hans Gerber, Marc was also one of the founders of Insurance: Mathematics and
Economics,wherehewastheleadingeditorfromthefirstissuein1982untillastyear.
He was a giant in the field, his academic mindset and achievements as a scholar are exemplary.
Moreover,Marctraveledtheworldtopresenthiswork,toeducateandtofacilitatediscussionsand
interactionsnotonlywithinacademia,butalsobetweenscholarsandpractitioners. Thatisexactly
themindsetwewishtostimulatebyorganizingthisconference.
Thelocalorganizingcommittee
Virtual Issue of the Journal of Computational and Applied Mathematics: “In Memoriam: Marc
Goovaerts”: ❤tt♣s✿✴✴t✐♥②✉r❧✳❝♦♠✴❏❈❆▼✲▼❛r❝
InmemoriamMarcGoovaerts,Alumni&FriendsActuariaatLeuven(inDutch):
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