Tag Archives: Bruxelles

On my way to Bruxelles, Belgium

After Amsterdam, the next stop is Bruxelles, Belgium. Here again, it is always a pleasure to get there… And then, time to get back home, to finalize some posts, prepare the new lectures, and answer all the late emails I got during those past days…

(illustration par l’immense Yves Chaland, français certes, mais qui a su relancer la ligne claire quand j’étais plus jeune, dans l’esprit des grands belges, comme Franquin…  et le Jeune Albert se passe à Bruxelles, alors on va dire que je peux légitimement utiliser un de ses dessins pour illustrer un voyage à Bruxelles).

Pricing catastrophe options in incomplete markets

The paper on the pricing of catastrophe options just appeared in the Proceedings of the Actuarial and Financial Mathematics Conference.

In complete markets, pricing financial products is easy (at least from a theoretical point of view). In incomplete markets (e.g. when the underlying process has jumps with random size, such as an insurance loss process), the price is no longer unique. So on the one hand, it becomes difficult to provide a tractable price of insurance-linked derivatives. On the other hand, when facing catastrophic losses, using the pure premium as a price might not be relevant (e.g. for solvency issues). Both financial market and (re)insurance industry have proposed techniques to price identical hedging products that can be related (e.g. Esscher transform and more generally distorted risk measures in insurance, Gerber-Shiu transform in finance). In this paper, we focus on indifference utility techniques, assuming that stock prices have jumps,related to major catastrophic losses, and thus, partial hedging should then be possible.

La conférence cette année se tiendra les 5 et 6 février (site) a Bruxelles.


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.