Proceedings - Actuarial and Financial Mathematics Conference

97 Pages·2007·2.02 MB·English

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

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© 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