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Market consistent valuation

Modern insurance products are a combination of financial and actuarial risks. We develop techniques to price such products by combining the ideas of actuarial pricing (pooling risks) with the finance paradigm (hedging contingent claims). The research deals with:

  • Dependence between actuarial and financial risks.
  • Hedge-based market consistent valuation techniques.

Meet the experts: J. Dhaene, D. Linders

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Ben Stassen and Jan Dhaene

Risk measurement

In this track we develop techniques for valuation of (sums of non-independent) risks. These techniques are used for the pricing and risk management of complex financial and actuarial products such as basket options and variable annuities. We also consider the question how to determine upper and lower bound for various risk measures. The research deals with:

  • Risk measures for variable annuities.
  • Pricing basket options and multi-asset derivatives in multivariate Lévy models.
  • Upper and lower bounds for risk measures (with dependence information).

Meet the experts: J. Dhaene, D. Linders

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