Actuarial Science Programme Director: Prof. dr H. Wolthuis

Actuarial Science - Wolthuis - Quantitative Economics
Actuarial Science
Programme Director: Prof. dr H. Wolthuis
Department: Quantitative Economics (KE)
Ozis-code: uva/fee/ake/act
Members of the research group and research in FTEs
Name Title Function Total
ABCDE
1999
Programme Design
ABCDE
2000
ABC
2000
The Programme concerns both fundamental and applied research in the field of financial
institutions, mainly directed at insurance, social insurance included, but also at banks and
other financial institutions. The research is mainly directed at the mathematical modelling,
estimation, appraisal, and control of financial risks of financial institutions (for insurers in the
field of life, non-life and pension insurance) under complete and incomplete information. For
long term insurance contracts, especially pensions, saving by insurance is significant, which
leads to accompanying investment problems. This for instance concerns the "tuning" of the
insurance and investment portfolios. Another practical aspect is the influence of the "risk of
longevity" on the policies of life insurance, social insurance and care insurance. This remains
a permanent subject of investigation. Present-day problems of insurance companies concern
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Comp
dean
2000
Total
2000
Total
2000
rect.
ABCDE
2001
ABC
2001
Comp
Dean
2001
Total
2001
Total
2001
rect
Dept Funding
Alting von Geusau, B.J.J. prof drs hgl 0.10 - - - - - KE 1
Bogers, J. drs ud 0.20 - - - - - - KE 1
Dhaene, J. prof dr ud 0.00 0.00 0.00 - 0.00 0.00 0.00 0.00 KE 3
Goovaerts, M.J. (Bijz hgl) prof dr hgl 0.18 0.21 0.21 - 0.21 0.21 0.21 0.21 KE 3
Heerwaarden, A.E. van dr uhd 0.11 0.42 0.42 - 0.42 0.25 0.30 0.30 KE 1
Kaas, R. dr uhd 0.45 0.50 0.50 - 0.50 0.35 0.35 0.35 KE 1
Spreeuw, J. drs aio 0.20 - - - - - - KE 1
Spreeuw, J. drs d 0.20 - - - - - - KE 1
Spreeuw, J. dr postdoc 0.20 0.55 0.55 - 0.55 - - KE 1
Schrager, D.F. drs aio 0.20 0.20 0.20 KE 1
Vermaat, A.J. prof dr hgl - 0.00 0.00 - 0.00 0.03 0.06 0.06 KE 3
Vylder, F.E.C. de prof dr hgl 0.00 0.00 0.00 - 0.00 0.00 0.00 0.00 KE 3
Wolthuis, H. prof dr hgl 0.05 0.10 0.13 - 0.13 0.10 0.00 0.10 0.10 KE 1
Total 1st flow of funds 1.51 1.57 1.60 0.00 1.60 0.00 0.90 0.85 0.10 0.95 0.00
Total 2nd flow of funds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Total 3rd flow of funds 0.18 0.21 0.21 0.00 0.21 0.00 0.24 0.27 0.00 0.27 0.00
Total 1st-3rd flow of funds 1.69 1.78 1.81 0.00 1.81 0.00 1.14 1.12 0.10 1.22 0.00
Ph.D. students 0.20 0.00 0.00 0.00 0.00 0.00 0.20 0.20 0.00 0.20 0.00
Publications 2001
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Actuarial Science - Wolthuis - Quantitative Economics
decreasing profit margins, increasing competition and selective behaviour of the insured and
of insurance companies. Up to now limited attention has been given to problems that emerge
from the privatisation of social insurance. The research partly deals with problems related to
the supervision of insurance companies.
An important subject of investigation is the further development of actuarial risk theory, in
particular the development of new mathematical and economic models in the fields of
mathematical reserves, equalisation reserves and solvency margins for insurance portfolios.
Other significant fields of research are the interaction between credibility theory, models for
the estimation of unreported claims (IBNR) and actuarial ordering of risks, and the
consequences for the determination of insurance and tariff premiums. In the premium
calculation and tarification of insurance, the determination of the factors that are relevant for
the risk (risk classification) is a significant aspect. Other aspects for the premium calculation
are the homogeneity and heterogeneity of the insurance portfolios, the solidarity between the
insured, the voluntary or compulsory character of the insurance, and the auto selection and
anti-selection of those insured. Another theoretical research subject concerns the unification
of several distinct actuarial theories in the field of non-life, life and pension insurance, partly
in connection with stochastic financial mathematics. A new research project deals with the
valuation of interest rate guarantees in insurance and financial products.
Programme Evaluation
The main focus of the research of the Actuarial Science group presently is on the subject of
ordering of risks and dependence of risks, as can be seen from the lists of refereed and nonrefereed
publications. In the future, research in this field will continue, but there will be also
be a shift to the field of financial modelling: In co-operation with the professors of financial
economics and financial econometrics of our faculty a new Ph.D. research project has started
this year, called “Valuation of Interest Guarantees in Insurance Projects”, which
demonstrates the integration of actuarial and financial modelling. A second Ph.D. project will
start in May 2002, called “Reinsurance and Insurance Linked Derivatives”, hence, also a
project that combines insurance and financial market elements. Also in May 2002 a Postdoc,
financed by NWO will start working on a project called “The Theory of Dependencies of
risks applied to asset-liability models”. Altogether this means that the annual research input
of the actuarial research group will more than double in the near future. Finally we intend to
work together more closely with our Belgian colleagues in Leuven, who have started a large
GOA Project (to be compared with NWO) called: Actuarial, financial and statistical aspects
of dependencies in insurance and financial mathematics.
Key publications
Dhaene, J. & Sundt, B. (1998). On approximating distributions by approximating their De
Pril transforms. Scandinavian Actuarial Journal, 1-23.
Vylder, F. de, Goovaerts, M.J. & Marceau, E. (1997). The Bi-atomic uniform extremal
solution of Schmitters's problem. Insurance: Mathematics & Economics, 20, 59-78.
Goovaerts, M.J. & Schepper, A. de (1997). IBNR reserves under stochastic interest rates.
Insurance: Mathematics & Economics, 21, 225-244.
Kaas, R., Dhaene, J. & Goovaerts, M.J. (2000). Upper and lower bounds or sums of random
variables. Insurance: Mathematics & Economics, 27, 151-168.
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Actuarial Science - Wolthuis - Quantitative Economics
Kaas, R., Goovaerts, M.J., Dhaene, J. & Denuit, M. (2001). Modern actuarial risk theory.
Kluwer Academic Publishers. 328 pages.
Academic publications (excluding publications in/of books) – refereed
Cossette, H., Denuit, M., Dhaene, J. & Marceau, E. (2001). Stochastic approximations of present
value functions. Mitteilungen der Schweiz. Actuarvereinigung, 15-28. [C].
Denuit, M., Dhaene, J. & Ribas, C. (2001). Does positive dependence between individual risks
increase stop-loss premiums? Insurance: Mathematics & Economics, 28, 305-308. [A].
Denuit, M., Dhaene, J., Le Bailly De Tilleghem, C. & Teghem, S. (2001). Measuring the impact of a
dependence among insured life lengths. Belgian Actuarial Bulletin, 18-39. [C].
Dhaene, J., Wang, S., Young, V. & Goovaerts, M.J. (2000). Comonotonicity and maximal stop-loss
premiums. Mitteilungen der Schweiz. Actuarvereinigung, 99-113. [C].
Goovaerts, M.J., Dhaene, J., Borre, E. van den & Redant, R. (2001). Some remarks on IBNR
evaluation techniques. Belgian Actuarial Bulletin, 58-60. [C].
Vyncke, D., Goovaerts, M.J. & Dhaene, J. (2001). Convex upper and lower bounds for present value
functions. Applied Stochastic Models in Business and Industry, 17, 149-164. [B].
Academic publications (in/of books) - refereed
Kaas, R., Goovaerts, M.J., Dhaene, J. & Denuit, M. (2001). Modern actuarial risk theory. Kluwer
Academic Publishers. pp. 328. [B].
Academic publications (excluding publications in/of books) - non-refereed
DeSchepper, A., Goovaerts, M.J., Dhaene, J., Vyncke, D. & Kaas, R. (2001). The valuation of cash
flows for dividend paying securities. In Proceedings Astin Colloquium. Washington.
DeSchepper, A., Goovaerts, M.J., Dhaene, J., Kaas, R. & Vyncke, D. (2001). Bounds for present
value functions with stochastic interest rates and stochastic volatility. In Proceedings of the
fifth International Congress on Insurance: Mathematics and Economics, State College.
Denuit, M. & Dhaene, J. (2001). Bonus-malus scales using exponential loss functions. Blätter der
Deutsche Gesellschaft für Versicherungsmathematik, 25, 13-27.
Dhaene, J., Denuit, M., Goovaerts, M.J., Kaas, R. & Vyncke, D. (2001). The concept of
comonotonicity in Actuarial Science and Finance: Theory. In Proceedings of the fifth
International Congress on Insurance: Mathematics and Economics, State College.
Goovaerts, M.J., DeSchepper, A., Vyncke, D., Dhaene, J. & Kaas, R. (2001). Stable laws and the
distribution of cash-flows. In Proceedings AFIR colloquium. Toronto.
Kaas, R., Dhaene, J., Vyncke, D., Goovaerts, M.J. & Denuit, M. (2001). A simple geometric proof
that comonotonic risks have a convex largest sum. In Proceedings of the fifth International
Congress on Insurance: Mathematics and Economics. State College.
Schrager, D.F. (2001). Market based valuation of interest rate guarantees in Unit linked life
insurance with stochastic volatility. Universiteit van Amsterdam: Masters thesis.
Schrager, D.F. (2001). Properties of stock returns, time varying volatility. AENORM, 33, 4-6.
Schrager, D.F. (2001). Waardering van rendementsgaranties binnen beleggingsverzekeringen. De
Actuaris, May, 24-27.
Vyncke, D., Goovaerts, M.J., DeSchepper, A., Kaas, R. & Dhaene, J. (2001). On the distribution of
cash-flows using Esscher transforms. In Proceedings of the Fifth International Congress on
Insurance: Mathematics and Economics. State college.
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Actuarial Science - Wolthuis - Quantitative Economics
Academic publications (in/of books) - non-refereed
Smid, C.L. & Wolthuis, H. (2001). Bedrijfsanalyse en embedded value. Amsterdam: IAE. pp. 291.
Professional publications
Bauwelinckx, T. & Goovaerts, M.J. (eds) (2001). Aanvullende Bedrijfspensioenen. Kluwer. 1-782.
Heerwaarden, A.E. van (ed.) (2001). Column `Nieuws van de Universiteit van Amsterdam'. De
Actuaris. (Bi-monthly).
Heerwaarden, A.E. van (2001). Toepassing van kennistechnologie in het actuariaat. Report on
Symposium Practis. De Actuaris, juli, 9-10.
Heerwaarden, A.E. van (2001). Computational intelligence: mortality models for the actuary. De
Actuaris, July, 11-12. (Bookreview).
Other activities
Contributions (lectures) to conferences, workshops and seminars
Dhaene, J. (2001, 1 February). Modelling Dependencies: Theory. Colloquium The Insurancial
Approach – Linking Insurance and Financial Concepts, K.U. Leuven.
Dhaene, J. (2001, 14 February). Risk and Savings Contracts in Life Insurance, Workshop Selective
Actuarial Topics in the World of Insurance, Finance and Risk, University of the Free State,
Department of Mathematical Statistics and Statistics, Bloemfontein, South Africa.
Dhaene, J. (2001, 15 February). Insurancial Mathematics. Workshop Selective Actuarial Topics in the
World of Insurance, Finance and Risk. University of the Free State, Department of
Mathematical Statistics and Statistics, Bloemfontein, South Africa.
Dhaene, J. (2001, 1 August). Comonotonicity in Actuarial Sciences. Evening Seminar, University of
Warsaw, Faculty of Economics.
Dhaene, J. (2001, 4 October). Comonotonic Risks. The University of Hong Kong, Department of
Statistics and Actuarial Science, Faculty of Social Science.
Dhaene, J. (2001, 4-8 October). The Education Project of ARAB-KVBA, International Actuarial
Association Meeting, Hong Kong.
Goovaerts, M.J. (2001, 25 January). The distribution of annuities with random interest rates, Lausanne
3L-seminar.
Goovaerts, M.J. (2001, 1 February). Academische session on the occasion of 60 years of Actuarial
Education. Actuarieel Onderzoek, K.U. Leuven, Leuven.
Goovaerts, M.J. (2001, 1 February). Insurancial Mathematics, The distribution of present values of a
cash-flow. K.U. Leuven, Leuven.
Goovaerts, M.J. (2001, 2 February). Laudatio prof. dr. H.U. Gerber, eredoctor K.U. Leuven, K.U.
Leuven.
Goovaerts, M.J. (2001, 13-14 February). Dependencies in Insurance: Financial Applications,
Bloemfontein, South Africa.
Goovaerts, M.J. (2001, 9 July). The valuation of cash flows for divident paying Securities. Astin
Colloquium, Washington.
Goovaerts, M.J. (2001, 23 July). Applications of comonotonic risks: Theory. Fifth IME-conference,
State College, USA. Invited lecture.
Goovaerts, M.J. (2001, 5 September). Applications of comonotone risks in financial cash flows.
Schulich School of Business, Finance Seminar Series, USA.
Goovaerts, M.J. (2001, 6-7 September). Stable Laws and the distribution of cash flows, AFIRcolloquium
Toronto.
Heerwaarden, A.E. van (2001, 1 October). The risky thing about dependent mortality. AE lunch
seminar, Amsterdam.
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Actuarial Science - Wolthuis - Quantitative Economics
Heerwaarden, A.E. van & Schrager, D.F. (2001, 10 January). Present values with a lognormal
discount process. Workshop Financial applications of risk ordering, Actuarieel Genootschap,
Zeist.
Heerwaarden, A.E. van & Schrager, D.F. (2001, 10 January). Positive dependence between individual
risks. Workshop Financial applications of risk ordering, Actuarieel Genootschap, Zeist.
Heerwaarden, A.E. van & Willemse, W.J. (2001, 22 November). Werken met continue
sterftemodellen. Workshop “Overleven zonder tafels”, Actuarieel Genootschap, Utrecht.
Heerwaarden, A.E. van & Willemse, W.J. (2001, 22 November). Flexibiliseren van sterftemodellen.
Workshop “Overleven zonder tafels”, Actuarieel Genootschap, Utrecht.
Kaas, R. (2001, 10 January). Introduction to ordering of risks and comonotonicity in financial models.
Workshop Financial applications of risk ordering, Actuarieel Genootschap, Zeist.
Kaas, R. (2001, 29 January). Comonotonic risks and comonotonicity, AE-lunchseminar, Amsterdam.
Kaas, R. (2001, 25 July). A simple geometric proof that comonotonic risks have the convex-largest
sum. Fifth IME conference, Penn State University, State College, USA.
Smid, C.L. (2001, 6 November). Geldstromen en winst in het levensverzekeringbedrijf. Valedictory
UvA, Amsterdam.
Organisational contributions to conferences, workshops and seminars
Kaas, R. & Goovaerts, M.J. (2001, 23-25 July). Fifth Congress on Insurance: Mathematics &
Economics. Involved in the organising.
Kaas, R. (2001, 25 July). Chairman session on ‘Comonotonic risks”. Fifth IME conference, Penn
State University, State College, USA.
Heerwaarden, A.E. van (2001, 10 January). Workshop “Financial applications of risk ordering”,
Actuarieel Genootschap, Zeist.
Heerwaarden, A.E. van (2001, 22 November). Workshop “Overleven zonder tafels”, Actuarieel
Genootschap, Utrecht.
Participation in academic networks
Goovaerts, M.J. (2001). Director ACP-netwerk (Actuarieel Contact Program) of Leuven Research and
Development with various Belgian insurers.
Goovaerts, M.J. (2001). Fellow Tinbergen Instituut (1997, June-date).
Editor or member of editorial board
Dhaene, J. (2001). Associate editor Insurance: Mathematics & Economics (North-Holland) and editor
Belgian Actuarial Bulletin.
Goovaerts, M.J. (2001). Editor Insurance: Mathematics and Economics (North-Holland), editor Journal
of Computational and Applied Mathematics (North-Holland) and associate editor ASTIN
Bulletin.
Kaas, R. (2001). Managing editor Insurance: Mathematics and Economics (North-Holland).
Wolthuis, H. (2001). Associate editor Insurance: Mathematics & Economics (North-Holland).
Membership of academic committees (including Ph.D. committees inside or outside
the UvA)
Dhaene, J. (2001). Member Ph.D. committee C. Ribas, Universitat de Barcelona, Spain.
Goovaerts, M.J. (2001). Member Ph.D. committee C. Ribas, Universitat de Barcelona, Spain.
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Actuarial Science - Wolthuis - Quantitative Economics
Goovaerts, M.J. (2001). Member of the working party in the framework of the IAA Insurance
Regulation Committee.
Wolthuis, H. (2001). Member of committee Dutch survival tables.
Wolthuis, H. (2001). Member of committee on International Actuarial Notation AAI.
Wolthuis, H. (2001). Member of supervising committee Belgian scientific programme “Actuarial,
financial and statistical aspects of dependencies in insurance and financial statistics”,
together with Prof. dr H. Bühlmann & Prof. dr H.U. Gerber.
Heerwaarden, A.E. van (2001). Member of committee for continuous professional development
(Permanente Educatie) of Actuarieel Genootschap.
Various activities
Goovaerts, M.J. (2001). NWO Project. The Theory of Dependencies of risks applied to asset-liability
models, Fl 428.000 (€ 195.000).
Goovaerts, M.J. & Dhaene, J. (2001). Belgian GOA Project. Actuarial, financial and statistical
aspects of dependencies in insurance and financial mathematics, Fl 3.200.000 (€ 1.450.000).
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