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