She is professor emeritus of applied mathematics at sorbonne university, and held professorship positions at. Microsimulation and population dynamics 2mm in longevity. She is considered one of the pioneers on the french school of mathematical finance and trained many engineers and scientists in this field. Generally, the existence of labor income complicates the agents decisions.
Population dynamics and microsimulation 2mm lesson ii. Risk is measured in terms of consequences on your business and in terms of likelihood often defined as the standard deviation of the return of. The idea is to minimize the risk of the issuer under the constraint. Pdf backward stochastic differential equations and. Consider an option on a stock whose volatility is unknown and stochastic. Robustness of the black and scholes formula karoui. 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. Karoui, monique jeanblanc, bernard lapeyre, damien lamberton, steven. Optimization of consumption with labor income springerlink.
She teaches skills required to create and price derivatives, the complex financial instruments based on stocks, bonds or loans. Pdf couverture des risques dans les marches financiers. Selfexciting processes in finance and insurance 2mm for. 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. If you have additional information or corrections regarding this mathematician, please use the update form. Pdf format or mathsci net link for mathscinet subscribers.
On the concentration properties of interacting particle. Universite paris vi, france editors backward stochastic. Editors backward stochastic differential equations longman. She is currently emeritus professor at the pierre and marie curie university, after ten years as a professor at the ecole polytechnique. She is professor emeritus of applied mathematics at sorbonne university, and held professorship positions at the ecole. Finance quantitative, risque et regulation fondation sciences. Access full article top access to full text full pdf. See all articles by valdo durrleman valdo durrleman. To submit students of this mathematician, please use the new data form, noting this mathematicians mgp id of 57381.
Mathematics and economics contains 16 contributions to the academic literature all dealing with longevity risk and capital markets. The 24yearold french students resume begins with the phrase. The remainder of the paper is organized as follows. Portfolio optimization with insiders initial information and counterparty risk. Counterpartyrisk under regulatory constraints on credit. 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. Promenade aleatoire dans les marches financiers fg.
Death process fondamental asymmetry i since the newborn is from outside, i then the death remove an individual in the population. Moreover, in the real world the economic agents are restricted in their ability to borrow against their future labor. Presented at the ams smf special session on mathematical methods in financial modeling, lyon, july 2002. He was the lpmas director from 1980 until 1989 when jean jacod became the director. 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. 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. 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. Economic agents assess their risk using monetary risk measure.
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