Site en français

Actuarial sciences

Faculty of Sciences | Mathematics

(Code: ULB454)

Risk management, in particular in insurance and mathematical finance

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 ...

Pricing and hedging of exotic options in finance and insurance

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. ...

Option pricing in the framework of Markov Modulated Lévy processes

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 ...

Pricing multi-assets derivatives

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 ...

Multiple curve interest rate modelling

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 ...

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  ...

Models for epidemies in insurance

No funding agency referenced.

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

Recursive computational methods for compound distributions

No funding agency referenced.

Generalized algorithms of Panjer's type

Ruin probability, over finite or infinite horizon

No funding agency referenced.

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

Boundary-crossing problems

No funding agency referenced.

Characterisation of the exit law of Markov processes above curves