Keynote Speakers
Keynote speakers
Chief Executive Officer Paolo De Martin, SCOR Global Life, Italy
Professor An Chen, University of Ulm, Germany
Managing director Idar Kreutzer, Finance Norway, Norway
Professor Antoon Pelsser, University of Maastricht, The Netherlands
Professor Mogens Steffensen, University of Copenhagen, Denmark
Paolo De Martin
Short biography: Paolo De Martin (45), an Italian citizen, graduated from Ca’ Foscari University, Italy, with a degree in Business Economics. He subsequently spent two years in the optical business as founder and managing partner of an eyewear manufacturer. He joined General Electric Company (GE) in 1995 as a finance trainee in London. In 1997, he joined GE’s internal auditing & consulting Group, charged with assignments in multiple GE businesses in the Americas, Europe and Asia-Pacific. In 2001, Paolo De Martin was promoted to Executive Manager for GE Capital Europe, before joining GE Insurance Solutions as Financial Planning and Analysis Manager for Global Property and Casualty Reinsurance. In 2003, he was appointed Chief Financial Officer of GE Frankona Group before becoming Chief Financial Officer of Converium Holding AG in July 2006. In September 2007, Paolo De Martin was appointed Group Chief Financial Officer of SCOR SE. In January 2014, after a 6 month sabbatical leave, Paolo De martin is appointed Chief Executive Officer of SCOR Global Life and re-joins the Group Executive Committee.
AN CHEN
Short biography: An Chen, born in 1979, is currently a full professor of insurance economics at the University of Ulm (since 2012). Before this she was a postdoctoral researcher at the University of Amsterdam (2007-2008) and an assistant professor of economics at the University of Bonn (2009-2012). She holds a doctoral degree (Dr. rer. pol) from Bonn Graduate School of Economics. Her research interests range widely, from valuation of life and pension insurance, to optimal insurance and regulation, to optimal asset allocation and to exotic options. Her research emphasis has been particularly laid on the interplay between mathematical finance and insurance.
Personal homepage: http://www.uni-ulm.de/mawi/ivw/team
Title of talk: Pension security mechanisms and optimal supervisory rules
Abstract: Developed countries apply different security mechanisms in regulation to protect pension benefits: support provided by either a pension guarantee fund, a plan sponsor or by both. We model and compare these mechanisms for a generalized form of hybrid pension schemes. We particularly analyze optimal supervisory rules for pension funds taking account of diverse pension security mechanisms. Assuming that the regulatory rule is either to control the shortfall probability or expected shortfall, we show that both the security mechanisms and risk measures used by the regulators have a substantial impact on the optimal regulation and hence need to be considered adequately when setting regulatory rules.
IDAR KREUTZER
Short biography: Idar Kreutzer is CEO of Finance Norway. From 2000 to 2012 he was the CEO of Storebrand ASA. Kreutzer chairs the Board of Norway Post and the Norwegian Refugee Council, and he holds appointed positions in Statoil ASA, Norsk Hydro ASA, The University of Oslo and the Advisory Board of the NHH Norwegian School of Economics. In January 2013 he was appointed member of the Strategy Council for the Norwegian Government Pension Fund Global. He has been a member of the World Business Council for Sustainable Development (WBCSD) and has co-chaired their Vision 2050. He is a member of the Board of the University of Oslo and a member of the Advisory Board of NHH Norwegian School of Economics. Kreutzer holds a Master's degree in Economics and Business Administration from the NHH Norwegian School of Economics.
Finans Norge: Finance Norway is the trade and employers federation for all banks and insurers operating in Norway. Finance Norway represents more than 230 financial institutions operating within different sectors in the Norwegian market. The organization fulfills both the business policies and employer-related cooperation in the financial sector, and strives for a strengthened Norwegian financial industry.
Homepage: https://www.fno.no/en/Home/
ANTOON PELSSER
Short biography: Antoon Pelsser is working at Kleynen Consultants and is also a Full Professor of Finance and Actuarial Science at Maastricht University and a research fellow at Netspar. His academic research interests focus on pricing models for interest rate derivatives, the pricing of insurance contracts and Asset-Liability Management (ALM) for insurance companies. He has published in leading academic journals including Journal of Economic Theory, Mathematical Finance, Finance and Stochastics, Journal of Derivatives, Insurance: Mathematics and Economics. He is an Honorary Fellow of the Institute of Actuaries. From 2004 until 2007 he worked at ING Group’s staff department Corporate Insurance Risk Management. There he was involved in implementing a new internal model for measuring Economic Capital for ING-Insurance. From 2000 until 2004 he worked as Head of ALM for Nationale-Nederlanden. Before that, he worked 7 years in the dealing-room of ABN-Amro Bank in Amsterdam, where he was responsible for the development of pricing models for derivatives.
Personal homepages: https://sites.google.com/site/apelsseraca/ and http://www.maastrichtuniversity.nl/web/Profile/a.pelsser.htm
Title of talk (tentative): Pricing and hedging in incomplete markets with model ambiguity
Abstract: We search for pricing methods of assets in incomplete markets. Our set-up is that we postulate an agent who wants to maximise the expected surplus (the difference between the assets and the hedging portfolio) by choosing an optimal hedging strategy. Furthermore, we assume that the agent is concerned about model misspecification. We solve this robust optimisation problem and we define the pricing operator by indifference valuation. Based on only the assumptions of robustness and hedging, our most important results are: model uncertainty in a complete market results in the action of replication and thus market-consistent pricing; model uncertainty in combination with pure unhedgeable risk results in adjusting the drift from the risk driver in the conservative direction, known as "actuarial" or "prudential" pricing; if the agent faces both hedgeable as unhedgeable risk we prove that our method leads to a non-linear expectation.
MOGENS STEFFENSEN
Short biography: Mogens Steffensen, born 1970, is Professor of Insurance Mathematics at the University of Copenhagen (since 2008). During earlier appointments at the University of Copenhagen, he visited universities in UK, US, and Germany in longer periods. His research covers aspects of valuation and decision making in life insurance mathematics and financial mathematics. Recently, main focus has been on the integration of insurance and saving decisions made by individuals in classical consumption-investment problems in personal finance.
Personal homepage: http://www.math.ku.dk/~mogens/
Title of talk: Aspects of Controlling Life Event Risk
Abstract: Life insurance and pension savings serve to compensate individuals for economic consequences of life events like dying early or living long. Financial decisions are made with the uncertain lifetime as time horizon, possibly involving preferences of heirs or, perhaps, even future generations. We discuss different aspects of preferences that formalize the quality of decisions. They include risk aversion but also the elasticity of substituting consumption between different points in time and different life events. Interesting questions concern the individual's decision power and preferences with respect to time and money spent on education, work, health improvement etc. We present some modern formalizations of these questions and discuss their impact on the design of insurance and saving products.
