Today is the last day of the Journées de Statistique, in Brussels, http://jds2012.ulb.ac.be/. Alfred gave a survey on “Multivariate comonotonicity, stochastic orders and risk measures” in plenary session, this morning (as invited speaker). I have uploaded the slides.
Marc will give a talk today at the European Center for Advanced Research in Economics and Statistics (ECARES) today, at ULB in Brussels, based on some joint work with also Alfred (the paper can be found online on http://papers.ssrn.com/).
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.
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.