Programme

9:00 - 9:30 - Coffee
9:30 - 9:45 - Welcome

9:45 - 10:45 - Session 1: Pension and retirement

9:45 – 10:10 - Emily van Erk, University of Amsterdam: Tailoring the pension contributions and investment strategy to home ownership.
10:10 – 10:35 - Yushuo Liu, Bayes Business School: Optimal Investment Strategy for Collective Defined Contribution Pension Scheme.
10:35 – 11:00 - René Mwizere, Bayes Business School: Long-term Sustainable Investment for Retirement.
11:00 – 11:30 - Break

11:30 – 12:45 - Session 2: Derivatives

11:30 – 11:55 - Raviar Karim, UvA: Compound multivariate Hawkes processes: large deviations and rare event simulation.
11:55 – 12:20 -  Josha Dekker, UvA: Pricing of HOST-Stochastically Constrained Derivatives with Feedback
12:20 – 12:45 - Biwen Ling, KU Leuven: A note on dependence and volatility in P and Q.

12:45 – 14:00 - Lunch

14:00 – 15:15 - Session 3:  Risk Management
14:00 – 14:25 - Bavo Campo, KU Leuven: Insurance fraud network data simulation machine. Generating synthetic fraud network data sets to develop and to evaluate insurance fraud detection strategies
14:25 – 14:50 - Aygün Mücahit, UvA: Elicitability of Return Risk Measures.
14:50 – 15:15 - Zixuan Zhang, Bayes Business School: Optimal Subsidy Design and Capacity Investment under Duopolistic Competition and Uncertainty

15:15 – 15:45 Break

15:45 – 17:00 - Session 4: Machine Learning 

15:45 – 16:10 - Lorenzo Marchi, KU Leuven: Fairness through regularization: an approach to mitigate group disparities for multiple protected features.
16:10 – 16:35 - Luca de Morim, Bayes Business School: Multi-population Mortality Forecasting: a Model Averaging Approach.
16:35 – 17:00 - Eva Verschueren, KU Leuven: On the Pricing of Capped Volatility Swaps using Machine Learning Techniques.
17:00 – 17:15 - Closing remarks

18.00 - Dinner

Location