Fair valuation of insurance liabilities: interplay between actuarial judgement and market-consistency.

In his PhD work, the candidate will study dependency concepts between random variables, representing financial, actuarial or combined contingent claims. These claims might be traded (bought and sold) in a financial (arbitrage-free) market, they might be part of an insurance portfolio, or, in the more general case, they might consist of a combination of traded and insured claims. This research builds further on the expertise on dependency modeling in the actuarial research group of KU Leuven. Topics that will be investigated include 'measuring herd behavior in stock market', 'market-consistent valuation of combined financial-actuarial risks' and 'pricing and hedging claims with dependent mortality and equity risks".

Jaar van publicatie:2019

Toegankelijkheid:Open