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ESSEC working Group on risk

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L'Institut des actuaires  s'associe au Working Group on Risk de l'ESSEC-CREAR pour sa prochaine conférence sur le thème : "Epiphanies in Pension Investments and Valuation" 

par Prof. Mogens Steffensen,  Department of Mathematical Sciences University of Copenhagen, DK.

Vous trouverez plus d'informations ici

Pour assister à la conférence cliquez ici (mot de passe WG Risk)

Participer à cette conférence vous permettra d'ajouter 6 points à votre score de Perfectionnement Professionnel Continu (PPC).

Abstract :

We discuss, on a principle rather than a technical ground, three instances where things are perhaps not the way you thought they were - with potential impact, theoretically or practically.
a) In life-cycle portfolio choice, does one really need to take realized capital gains into account, or are age-based investment rules doing the job?
b) In time-consistent mean-variance portfolio optimization, is normalization of the variance by current wealth really the 'right' thing to do, or is there a 'better' normalization?
c) In multi-state models frequently used in life insurance and credit risk, does there exist such a thing as a set of forward transition rates?

 

Mogens Steffensen is professor of life insurance mathematics at the University of Copenhagen. He has contributed to the development of market-based valuation methods in insurance. His research also covers various decision making problems within insurance and finance. Mogens is recently mainly interested in integrating insurance and pension decisions into classical consumption-investment problems. He participates actively in industrial discussions about accounting, solvency, and risk management and he has taken part in several research projects together with partners in the Danish pension industry. He is member of the Solvency and Accounting Committee under the Danish Actuarial Association.

 

Jeudi 10 décembre 2020
12h30 - 13h30 (GMT +1)

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Jeudi 10 décembre 2020
12h30 - 13h30 (GMT +1)
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