She is professor emeritus of applied mathematics at sorbonne university, and held professorship positions at the ecole. Pdf format or mathsci net link for mathscinet subscribers. Optimization of consumption with labor income springerlink. Finance quantitative, risque et regulation fondation sciences. We present the solution of a portfolio optimization problem for an economic agent endowed with a stochastic insurable stream, under a liquidity constraint over the time interval 0,t. Moreover, in the real world the economic agents are restricted in their ability to borrow against their future labor. Death process fondamental asymmetry i since the newborn is from outside, i then the death remove an individual in the population. Optimal design of derivatives in illiquid markets, quantitative finance, vol 2, no 3. The idea is to minimize the risk of the issuer under the constraint. After recalling briefly key features of longevity risk, we explain how to detect as quickly as possible the date where that the actuarial assumptions related to longevity. An agent assumes this volatility to be a specific function of time and the stock price, knowing that this assumption may result in a misspecification of the volatility. She is currently emeritus professor at the pierre and marie curie university, after ten years as a professor at the ecole polytechnique. Optimal derivatives design under dynamic risk measures. The remainder of the paper is organized as follows.
If you have additional information or corrections regarding this mathematician, please use the update form. Robustness of the black and scholes formula karoui. Universite paris vi, france editors backward stochastic. Microsimulation and population dynamics 2mm in longevity. Economic agents assess their risk using monetary risk measure. Risk exists if there is something you dont want to happen having a chance to happen. On the concentration properties of interacting particle. To submit students of this mathematician, please use the new data form, noting this mathematicians mgp id of 57381. She is considered one of the pioneers on the french school of mathematical finance and trained many engineers and scientists in this field. Access full article top access to full text full pdf. Pdf couverture des risques dans les marches financiers. Population dynamics and microsimulation 2mm lesson ii. Portfolio optimization with insiders initial information and counterparty risk. Presented at the ams smf special session on mathematical methods in financial modeling, lyon, july 2002.
Consider an option on a stock whose volatility is unknown and stochastic. He was the lpmas director from 1980 until 1989 when jean jacod became the director. The 24yearold french students resume begins with the phrase. Mathematics and economics contains 16 contributions to the academic literature all dealing with longevity risk and capital markets. Karoui, monique jeanblanc, bernard lapeyre, damien lamberton, steven. Maximizing functionals of the maximum in the skorokhod embedding problem and an application to variance swaps hobson, david and klimmek, martin, the annals of applied probability, 20. Featured lectures from our archives most of the invited and prize lectures, as well as selected minisymposia and the tutorial, from the 2012 conference on financial mathematics and engineering in minneapolis have been captured and are available as slides with synchronized audio. Plan 1 motivation to model global population 2 the demographic transition in a nutshell 3 individual based centered dynamic model 4 random set point of view. Selfexciting processes in finance and insurance 2mm for. In these models one could treat an unobserved factor as a latent variable that can be filtered or otherwise calibrated from observations on the yield curve.
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