## Actuarial sciences

### ► Risk management, in particular in insurance and mathematical finance

### ► Pricing and hedging of exotic options in finance and insurance

### ► Option pricing in the framework of Markov Modulated Lévy
processes

### ► Pricing multi-assets derivatives

### ► Multiple curve interest rate modelling

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

### ► Models for epidemies in insurance

### ► Recursive computational methods for compound distributions

### ► Ruin probability, over finite or infinite horizon

### ► Boundary-crossing problems

ULB Research ⤶ |
Description of the Unit | Projects of the Unit | Composition |

Collaborations of the Unit | Protected technologies | Publications | Skills |

Faculty of Sciences | Mathematics

(Code: ULB454)

Financement de base institutionnel.

Risk measures in finance and insurance, Stochastic orders and measures between risks, Construction of dominating risks, Comparisons of risks and damage ...

Financement de base institutionnel.

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. ...

F.R.S.-FNRS et Fonds associés (hors FRIA).

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

F.R.S.-FNRS et Fonds associés (hors FRIA).

In this project we focus upon the pricing of derivatives depending on a multiple of underlying assets. The pricing models used are multidimensional Lé ...

Financement de base institutionnel.

The aim of this project is to develop a multiple curve interest rate model that combines tractable model dynamics and semi-analytic pricing formulas wi ...

FRIA.

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

No funding agency referenced.

Study of epidemic risk (like influenza) and estimation of their cover in insurance

No funding agency referenced.

Generalized algorithms of Panjer's type

No funding agency referenced.

Evaluation of ruin probability, exact or asymptotic, with or without interest rate

No funding agency referenced.

Characterisation of the exit law of Markov processes above curves