Thursday, 08 February 2018

08h30 - 08h50 Registration and welcome coffee
08h50 - 09h00 Welcome
Chair: Carole Bernard
09h00 - 09h45 Invited speaker
Edward Frees, Wisconsin School of Business, USA
Joint modeling of customer loyalty and risk in personal insurance
09h45 - 10h15 Contributed talk
Joël Wagner, University of Lausanne, Switzerland
Long-term care models and dependence probability tables by acuity level: New empirical evidence from Switzerland
10h15 - 10h45 Coffee break
Chair: Michel Vellekoop
10h45 - 11h30 Invited speaker
An Chen, Ulm University, Germany
Tonuity: A novel individual-oriented retirement plan
11h30 - 12h00 Contributed talk
Mick Schaefer, Hamburg University, Germany
Optimal stopping at random intervention times
Chair: Ann De Schepper
12h00 - 12h30 Poster storm session
12h30 - 14h00 Sandwich lunch combined with poster session
Chair: Hansjoerg Albrecher
14h00 - 14h45 Invited speaker
Olivier Le Courtois, EMLyon Business School, France
Utility-Consistent Valuation Schemes for the Own Risk and Solvency Assessment of Life Insurance Companies
14h45 - 15h15 Contributed talk
Silvana Manuela Pesenti, Cass Business School, University of London, United Kingdom
Reverse sensitivity testing
15h15 - 15h45 Contributed talk
Philipp Möller, University of Göttingen, Germany
Drawdown measures and return moments
15h45 - 16h15 Coffee break
Chair: Jan Dhaene
16h15 - 16h45 Contributed talk
Markus Michaelsen, Hamburg University, Germany
Information flow dependence in financial markets
16h45 - 17h30 Invited speaker - Practitioners lecture
Katrien Antonio, KU Leuven & University of Amsterdam, Belgium
Data analytics for claims reserving
18h30 - 21h30 Conference Dinner at University Foundation

Friday, 09 February 2018

08h30 - 09h00 Registration and welcome coffee
Chair: Ernst Eberlein
09h00 - 09h45 Invited speaker
Sebastian Jaimungal, University of Toronto, Canada
Mean field games and trading with latent factors
09h45 - 10h15 Contributed talk
Nathan Lassance, Université catholique de Louvain, Belgium
Minimum Rényi entropy portfolios
10h15 - 10h45 Coffee break
Chair: Monique Jeanblanc
10h45 - 11h30 Invited speaker
Christa Cuchiero, University of Vienna, Austria
Rough volatility from an affine point of view
11h30 - 12h00 Contributed talk
Sander Willems, EPFL and Swiss Finance Institute, Switzerland
A term-structure model for dividends and interest rates
12h00 - 13h30 Sandwich lunch combined with poster session
Chair: Ludger Rüschendorf
13h30 - 14h15 Invited speaker - Practitioners lecture
Frédéric Vrins, Université catholique de Louvain, Belgium
CVA wrong-way risk via change of measure: theory, implementation and performance analysis
14h15 - 14h45 Contributed talk
Jiang Ye, Vrije Universiteit Brussel, Belgium
Optimal strategy under omega ratio
14h45 - 15h15 Coffee break
Chair: Steven Vanduffel
15h15 - 16h00 Invited speaker
Łukasz Delong, Warsaw School of Economics, Poland
Time-inconsistent optimization problems in finance and insurance
16h00 - 16h15 Closing