Organised in Cooperation with KUL, UCL, ULB & VUB
FourthIA|BE Summer School
2021 September 2012
(9,5 CPD Points)
Organised in cooperation with KUL, UCL, ULB & VUB
Hosted by the AFI department of Accountancy, Finance and Insurance of the K.U.Leuven
Central theme:
‘Valuation of Embedded Options in
Insurance and Pension Contracts’
by
Prof.dr.ir. Michel Vellekoop
(University of Amsterdam)
In this course we give an introduction to valuation principles for embedded options in pensions and insurance contracts. We focus on claims with equity and interest rate risk but we also discuss risk factors which cannot be easily hedged in the financial markets. Indeed, we will show that modern actuarial valuation problems are particularly interesting due to the interplay between risks which can be hedged by replicating portfolios and traditional actuarial risks for which this is not the case.
During the course particular attention will be paid to the similarities and differences between valuation principles from an actuarial point of view (premium principles), an econometric point of view (stochastic
deflators) and a mathematical finance point of view (martingale measures).
Prerequisites:
Basic knowledge of probability theory in discrete and continuous time;
Valuation principles for deterministic cash flows.
PROGRAM Thursday,20September 2012
08:30 - 09:00 / Registration & Coffee09:00 - 09:15 / Welcome by Heidi Delobelle, President IA|BE and a representative from
KULeuven
09:15 - 10:30 / Short course ‘ Valuation of Embedded Options in Insurance and Pension Contracts ‘ (Part I) by Prof.dr.ir. Michel Vellekoop, University of Amsterdam
10:30 – 11:00 / Coffee break
11:00 - 12:00 / Short course ‘ Valuation of Embedded Options in Insurance and Pension Contracts ‘ (Part II) by Prof.dr.ir. Michel Vellekoop, University of Amsterdam
12:00- 13:30 / Lunch (Alma - KUL)
13:30 - 14:30 / Short course ‘ Valuation of Embedded Options in Insurance and Pension Contracts ‘ (Part III) by Prof.dr.ir. Michel Vellekoop, University of Amsterdam
14:30– 15:00 / Coffee break
15:00 – 15:30 / ‘ On the independence between financial and actuarial risks’ by Ben Stassen (KU Leuven)
15:30 – 16:00 / ‘Premium and reserve adjustments for inflation-indexing in health insurance’ by Ward Vercruysse (KU Leuven)
16:00 – 16:30 / ’Using bounds for a faster pricing of Asian style options’ by Gregory Rayée
(ULB)
16:30- 17:00 / Closure of the day
PROGRAM Friday, 21September 2012
09:00- 09:15 / Arrival of the participants & Coffee09:15 - 10:30 / Short course ‘ Valuation of Embedded Options in Insurance and Pension Contracts ‘ (Part IV) by Prof.dr.ir. Michel Vellekoop, University of Amsterdam
10:30 – 11:00 / Coffee break
11:00 - 12:00 / Short course (Part V) by Prof.dr.ir. Michel Vellekoop, University of Amsterdam
12:00 - 13:30 / Lunch (Alma - KUL)
13:30 - 14:30 / Short course (Part VI) by Prof.dr.ir. Michel Vellekoop, University of Amsterdam
14:30– 15:00 / Coffee break
15:00 - 16:00 / ‘Dynamic Management Actions’ by Jeremy Kent, Principal , Consulting Actuary, Milliman Milan.
16:00 - 17.00 / Closure of the 4thSummer School IA|BE
Cocktail offered by IA|BE
Registration form Third IA|BE Summer School
2021September 2012
Building 110-01 - Psychologisch Instituut
Room PSI 91.93Tiensestraat 102, 3000 Leuven
Please complete and return by mail
Deadline: 31 August 2012
Name of the participant:......
Name of the company, university…:......
Participation fee: member IA|BE & academics : € 200.00
(PhD) student Actuarial Sciences: € 50.00
member GC/IAA: € 250.00
other: € 300.00
To be paid on the following bank account: BNP Paribas Fortis
IBAN CODE: BE 9600 1081 666 905
BIC Code: GEBABEBB
With reference: IA|BE Summer School 2012 + Name of the participant
E-Mail address:......