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Actuarial Sciences and Quantitative Finance

ICASQF2016, Cartagena, Colombia, June 2016

  • Conference proceedings
  • © 2017

Overview

Editors:
  1. Jaime A. Londoño

    1. Departamento de Matemáticas y Estadí-stica, Universidad Nacional de Colombia, Manizales, Caldas, Colombia

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  2. José Garrido

    1. Department of Mathematics and Statistics, Concordia University, Montréal, Canada

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  3. Monique Jeanblanc

    1. LaMME, Batiment IBGBI, Université d’Evry Val D’Essone, Evry Cedex, France

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  • Showcases recent theoretical development on topics in Actuarial Science and Quantitative Finance
  • Spotlights research originating in the Andean and Caribbean regions
  • Features selected contributes presented by the invited speakers at ICASQF2016
  • Includes supplementary material: sn.pub/extras

Part of the book series: Springer Proceedings in Mathematics & Statistics (PROMS, volume 214)

Included in the following conference series:

Conference proceedings info: ICASQF 2016.

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Table of contents (8 papers)

  1. Front Matter

    Pages i-ix
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  2. Actuarial Sciences

    1. Front Matter

      Pages 1-1
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    2. Robust Paradigm Applied to Parameter Reduction in Actuarial Triangle Models

      • Gary Venter
      Pages 3-23

    3. Unlocking Reserve Assumptions Using Retrospective Analysis

      • Jeyaraj Vadiveloo, Gao Niu, Emiliano A. Valdez, Guojun Gan
      Pages 25-48

    4. Spatial Statistical Tools to Assess Mortality Differences in Europe

      • Patricia Carracedo, Ana Debón
      Pages 49-74

    5. Stochastic Control for Insurance: Models, Strategies, and Numerics

      • Christian Hipp
      Pages 75-113

    6. Stochastic Control for Insurance: New Problems and Methods

      • Christian Hipp
      Pages 115-124

  3. Quantitative Finance

    1. Front Matter

      Pages 125-125
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    2. Bermudan Option Valuation Under State-Dependent Models

      • Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee
      Pages 127-138

    3. Option-Implied Objective Measures of Market Risk with Leverage

      • Matthias Leiss, Heinrich H. Nax
      Pages 139-153

    4. The Sustainable Black-Scholes Equations

      • Yannick Armenti, Stéphane Crépey, Chao Zhou
      Pages 155-167

  4. Back Matter

    Pages 169-174
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Other volumes

  1. Actuarial Sciences and Quantitative Finance

Keywords

About this book

Developed from the Second International Congress on Actuarial Science and Quantitative Finance, this volume showcases the latest progress in all theoretical and empirical aspects of actuarial science and quantitative finance. Held at the Universidad de Cartagena in Cartegena, Colombia in June 2016, the conference emphasized relations between industry and academia and provided a platform for practitioners to discuss problems arising from the financial and insurance industries in the Andean and Caribbean regions. Based on invited lectures as well as carefully selected papers, these proceedings address topics such as statistical techniques in finance and actuarial science, portfolio management, risk theory, derivative valuation and economics of insurance.

Editors and Affiliations

  • Departamento de Matemáticas y Estadí-stica, Universidad Nacional de Colombia, Manizales, Caldas, Colombia

    Jaime A. Londoño

  • Department of Mathematics and Statistics, Concordia University, Montréal, Canada

    José Garrido

  • LaMME, Batiment IBGBI, Université d’Evry Val D’Essone, Evry Cedex, France

    Monique Jeanblanc

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