Units

Actuarial sciences

Person in charge of the Unit : Oui

Actuarial Sciences.

European Centre for Advanced Research in Economics and Statistics

Inaugurated on November 30, 1991, ECARES (European Center for Advanced Research in Economics and Statistics) is a joint initiative of the Institut d'Etudes Européennes (IEE) at the Université Libre de Bruxelles (ULB), and of the Centre for Economic Policy Research (CEPR), a network of around 500 researchers in Europe. In the Fall of 1997, ECARE then merged with the Centre d'Economie Mathématique et d'Econométrie, CEME, which had been founded at ULB in the 1970's, with as purpose to foster international quantitative research in economics at ULB. And in the Fall of 1999, the collaboration with statisticians from ULB's Institut de Statistique et de Recherche Opérationnelle (ISRO) was officialized by the transformation of ECARE into ECARES, the 'European Centre for Advanced Research in Economics and Statistics'. These two institutional developments of the last years have thus gone in the same direction: strengthening the connection between research in economics, econometrics and statistics while keeping our commitment to excellence and internationalization. One mission of ECARES is to encourage high-quality research in economics with special emphasis on policy issues relevant to Western and Eastern Europe, and to provide a meeting place for academics, professional economists, and civil servants from the EC Commission. On the academic side, ECARES keeps serving as a force of attraction to recruit at ULB a number of non-Belgian researchers of international reputation, who have taught in the best universities in the world. Combined with the extensive international experience of the Belgian researchers at ECARES, this feature gives our research centre a diversity which is among the highest in Europe. In 2006, ECARES and the Center for Operation Research and Econometrics (CORE) of the Université Catholique de Louvain signed an agreement that associates both institutions in a center of excellence called ECORE.  ECORE integrates the research activities and the doctoral programs of both institutions.  It promotes their position on the international scene in the fields of economics, finance, operations research, econometrics and statistics.

Projetcs

Option pricing in the framework of Markov Modulated Lévy processes

In this project, we price options when the risky assets involved are general Markov Modulated Lévy processes, modulated by a Markov Chain with an arbitrary number of states.

Matrix-valued affine processes, in particular Wishart Processes: theoretical and applied aspects

We will first concentrate on some theoretical issues of matrix valeud affine processes. Afterwards we will study stochastic volatility models and term structure models by using matrix-valued affine processes.

Multiple curve interest rate modelling

The aim of this project is to develop a multiple curve interest rate model that combines tractable model dynamics and semi-analytic pricing formulas with positive interest rates, based on positive multiplicative spreads.

Risk management, in particular in insurance and mathematical finance

Risk measures in finance and insurance, Stochastic orders and measures between risks, Construction of dominating risks, Comparisons of risks and damage processes, Changeability and general dependence between risks, Poisson approximations for portfolios, Interaction between ALM and risk theory, Insurance and risk theory

Pricing multi-assets derivatives

In this project we focus upon the pricing of derivatives depending on a multiple of underlying assets. The pricing models used are multidimensional Lévy type models and some extensions including stochastic volatility effects.

Pricing and hedging of exotic options in finance and insurance

One of the topics of this research project is that we look at a static hedge for a class of exotic options, which leads to an upper bound of the price. In particular, we consider unit-linked insurance contracts and basket options.