Tag Archives: Brussels

Short (but Buzy) Trip in Europe

I will flight tomorrow evening to go to Belgium. I will attend a PhD defense this Monday, at Louvain-la-Neuve. On Tuesday, I will give a crash course on risk measures, for PhD Students, in Louvain-la-Neuve. Then, Wednesday morning, I have a meeting with some friends in an insurance company, in Brussels, and I will be around noon in Paris, to give a talk on Big Data, for the Big Data Task Force of the (French) Institute of Actuaries. I will then have some meetings in the afternoon. I should flight back on Thursday, and give my lecture on Predictive Modeling in the evening…

I guess that Saturday will be a mix between two very different activities, enjoying some time with the kids (and watch the game), and trying to finalize my slides…

Pricing catastrophe options in incomplete markets

Exposé sur Pricing catastrophe options in incomplete markets, à la conférence Actuarial and Financial Mathematics Conference (interplay between Finance and Insurance), à Bruxelles.

Cet exposé présentait la problématique de la valorisation d’options sur indices catastrophes (en marché incomplets). Une version détaillée apparaîtra dans les Proceedings.