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Professor of Mathematics and Actuarial Mathematics
PhD in Actuarial Sciences - K.U.Leuven - 1995
Stochastic interest rates and the probabilistic behaviour of actuarial functions
Research interest
- Distribution of actuarial quantities under stochastic interest rates
- Approximations of distribution functions under stochastic interest rates
- Dependency of risks
Courses taught
- Mathematics with applications in business and economics (Bachelor in Applied Economics)
- Mathematical methods in decision making (Bachelor in Applied Economics)
- Insurance (Master of Applied Economics, Master of Business Engineering, Master in Business Administration)
- Mathematical models in economics (Bachelor in Mathematics)
- Actuarial models (Master of Financial Mathematics)
Degrees & awards
- Price AGF/ASSUBEL 1996 awarded in cooperation with the Fund of Scientific Research – Flanders
- Appointment as “Fellow of the Hogenheuvelcollege”, 2003, Department of Applied Economics, K.U. Leuven
Key publications
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Stochastic Upper Bounds for Present Value Functions, Journal of Risk and Insurance, 2000, 67(1), p.1-14 (with M. Goovaerts and J. Dhaene)
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Closed form approximations for diffusion densities: a path integral approach, Journal of Computational and Applied Mathematics, 2004, 164-165, p.337-364 (with M. Goovaerts and M. Decamps)
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A path integral approach to Asset-Liability Management, Physica A: Statistical Mechanics and its Applications, 2004, 363(2), p.404-416 (with M. Decamps and M. Goovaerts).
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An application of comonotonicity and convex ordering to present values with truncate stochastic interest rates, Insurance : Mathematics and Economics, 2007, 40(3), p.386-402 (with I. Koch)
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Distribution-free option pricing, Insurance : Mathematics and Economics, 2007, 40(2), p.179-199 (with B. Heijnen)
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A new method for the construction of bivariate Archimedean copulas based on the lambda-function, Communications in Statistics - Theory and methods, 2011, 40(15), p.2670-2679 (with F. Michiels and I. Koch)
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Measuring comonotonicity in m-dimensional vectors, Astin Bulletin, 2011, 41(1), p.191-213 (with I. Koch)
Functions
- Vice-president of the Education Committee of the Faculty of Applied Economic Sciences
- Member of the Management Committee and Faculty Board of the Faculty of Applied Economics Sciences
- Quality Assurance Coordinator Faculty of Applied Economic Sciences (CIKO)
Links
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