Programme
Thursday, 06 February 2020
| 09h00 - 09h20 | Registration and welcome coffee |
| 09h20 - 09h30 | Welcome |
| Chair: Hansjoerg Albrecher | |
| 09h30 - 10h15 | Invited speaker Arthur Charpentier, Université du Québec à Montréal, Canada Insurance Pricing in a Competitive Market |
| 10h15 - 10h45 | Contributed talk Christian Furrer, University of Copenhagen / PFA Pension, Denmark Tax- and expense-modified risk-minimization for insurance payment processes |
| 10h45 - 11h15 | Coffee break |
| Chair: Michel Denuit | |
| 11h15 - 12h00 | Invited speaker Zinoviy Landsman, University of Haifa and Holon Institute of Technology, Israel A novel multi-elliptical family of distributions: definitions, properties and risk capital decomposition |
| Chair: Ann De Schepper | |
| 12h00 - 12h30 | Poster storm session |
| 12h30 - 14h00 | Sandwich lunch combined with poster session |
| Chair: Donatien Hainaut | |
| 14h00 - 14h45 | Invited speaker Marius Hofert, University of Waterloo, Canada Quasi-Monte Carlo for multivariate distributions via generative neural networks |
| 14h45 - 15h15 | Contributed talk Martin Bladt, University of Lausanne, Switzerland Matrix Mittag–Leffler distributions and modeling heavy-tailed risks |
15h15 - 15h45 | Contributed talk Francesco Ungolo, Technology University of Eindhoven, Netherlands A Hierarchical Model for the Joint Mortality Analysis of Pension Scheme Data With Missing Covariates |
| 15h45 - 16h15 | Coffee break |
| Chair: Michel Vellekoop | |
| 16h15 - 16h45 | Contributed talk Sarah Kaakaï, Le Mans University, France Intergenerational risk sharing in DC pension plan with minimum pension guarantee |
| 16h45 - 17h30 | Invited speaker Gerhard Stahl, Talanx AG, Germany A fresh look on the linkage of model uncertainty and validation |
| 18h30 - 21h30 | Conference Dinner at University Foundation |
Friday, 07 February 2020
| 08h30 - 09h00 | Registration |
| Chair: Monique Jeanblanc | |
| 09h00 - 09h45 | Invited speaker Stéphane Crépey, Université d'Évry-Val-d'Essonne, France Deep XVA analysis |
| 09h45 - 10h15 | Contributed talk Florian Bourgey, Ecole Polytechnique, France Meta-model of a large credit risk portfolio in the Gaussian copula model |
| 10h15 - 10h45 | Coffee break |
| Chair: Karel in ‘t Hout | |
| 10h45 - 11h30 | Invited speaker Christoph Reisinger, University of Oxford, UK Deep neural network approximations to high-dimensional control and games in finance |
| 11h30 - 12h00 | Contributed talk Paolo Gambetti, UCLouvain, Belgium Forecasting recovery rates on non-performing loans with machine learning |
| 12h00 - 13h00 | Sandwich lunch combined with poster session |
| Chair: Carole Bernard | |
| 13h00 - 13h45 | Invited speaker Kathrin Glau, Queen Mary University of London, UK Low-Rank Tensor Approximation for Parametric Option Pricing |
| 13h45 - 14h15 | Contributed talk Nathan Lassance, UCLouvain, Belgium Portfolio selection: A target-distribution approach |
| 14h15 - 14h45 | Coffee break |
| Chair: Steven Vanduffel | |
| 14h45 - 15h30 | Invited speaker Michalis Anthropelos, University of Piraeus, Greece Nash Equilibria in Optimal Reinsurance Bargaining |
| 15h30 - 16h00 | Contributed talk Thijs Kamma, Maastricht University, Netherlands Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints |
| 16h00 - 16h15 | Closing |