Welcome

It is our pleasure to host at ISEG (Lisbon School of Economics and Business) the 6th edition of the European Actuarial Journal Conference (EAJC) in beautiful Lisbon, Portugal, from September 9 to 11, 2024.

We welcome presentations with original actuarial research, either theoretical or applied, with innovative applications, as well as case studies on the evaluation and implementation of new mathematical methods in insurance and actuarial finance.

Invited Speakers

Merce Claramunt
Universitat de Barcelona

Talk: Reverse Mortgages: Impact on Household Financial Sustainability
Reverse mortgage is one of the products (perhaps the main one) that is good to obtain additional income by using the habitual residence as collateral. This paper analyzes the effects that contracting a reverse mortgage has on the finances of families of a country or group whose members who aged 65 or older are the sole owners of the 100% of the property, regardless of the receipt of a retirement pension. For this purpose, an economic-financial model based on the life cycle model is defined, which considers a double source of randomness: mortality and dependence of family members. Long-term effects are measured using probabilistic, temporal and monetary indicators. For each country, the model must be adapted according to the legal framework for retirement and long-term care benefits and for the actuarial mortality and long-term care tables. We also studied the importance of the socioeconomic group to which the family belongs in quantifying these effects. As an illustration, this model was applied on Spanish families using data from the Spanish Survey of Household Finances 2017. The results obtained indicate that a family in Spain that meets the conditions for contracting a reverse mortgage sees, on average, an increase in its initial income and a decrease in both its probability of having liquidity problems in the future and the value of this lack of liquidity. It is also concluded that family composition influences the magnitude of these positive effects. We also conclude that the effects are very different depending on the group: regarding only the effects of hiring a reverse mortgage on the income of the family, widowed women aged between 81 and 85 years, with low income and expenses as well as little net wealth, and a habitual residence that represents half of her net wealth (Cluster 1) are the most benefited; considering that the highest impact indicators are on the probability of illiquidity and on the value of lack of liquidity, the use of reverse mortgages benefits more the families in Cluster 3 (high income and expenses and really high net wealth, head of household aged between 76 and 80 years) and less the families in Cluster 2 (medium income, net wealth and expenses, head of household aged between 65 and 75 years).


M. Mercè Claramunt has a PhD in Economics and Actuarial Science. She is she is accredited as a professor in the Department of Economic, Financial and Actuarial Mathematics of the UB. She is lead investigator of the Actuarial and Financial Modelling Research Group and President of the Scientific Committee of the Observatory of European Complementary Social Pension Plans.

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Marie Kratz
ESSEC Business School

Talk: Confronting emerging risks with flexible general models; a focus on cyber risk
Addressing emerging risks such as aging, climate change, and cyber threats poses significant challenges for societal actors. (Re)insurance companies play a crucial role in mitigating these risks by enhancing resilience through prevention, response, and recovery measures. Simultaneously, these challenges present business opportunities. Consequently, extensive research has been undertaken to better understand these risks and develop appropriate models using tools from probability, (computational) statistics, time series analysis, and machine learning. Focusing on cyber risk, we propose a general yet straightforward model that automatically fits both the body and tail behaviors of the empirical loss distribution. This risk model can be applied to risk management, enabling the quantification of a (re)insurance company’s liabilities through mathematical expectation (essential for calculating the risk premium) and capital through risk measures. Additionally, our method addresses the practical issue of evaluating the tail distribution by automatically detecting the threshold for extreme observations, without resorting to computationally intensive methods. This improves upon standard Extreme Value Theory (EVT) methods that necessitate separate treatment for the tail, or other dynamic EVT approaches that rely on arbitrarily high thresholds. Particularly, it enhances efficiency in Extreme Value Regression, revealing the factors influencing the likelihood of extreme events.


Marie Kratz, Dr. & HDR in Applied Mathematics (Univ. Pierre et Marie Curie Paris, France & Center for Stochastic Processes, UNC Chapel Hill – Postdoc at Cornell Univ., USA) is Professor at ESSEC Business School (IDS department), Director of its risk research center, CREAR, and of the ESSEC-ISUP Risk & Actuarial Track. She was also a part-time visiting professor at Lund University, Sweden (2017-2020). Marie is a Fellow (Actuaire Agrégée) of ‘Institut des Actuaires’, and elected member and president of the Group ‘Risques Assuranciels, Economiques et Financiers’ of the French Statistical Society (SFdS). Her research addresses a broad range of topics in probability, statistics and actuarial mathematics, with a focus on extreme value theory, the study of random excursion sets, and risk analysis & management. These fields find natural applications in Finance and Actuarial Science that she is developing at ESSEC, with academic and professional partners (on aging, climate, cyber risk, procyclicality of risk measurement, etc). She has organized for now more than 10 years the Working Group on Risk, a series of fortnightly seminars by eminent researchers, at Paris La Défense and online, with the support of Ceressec, Labex MME-DII, SFdS, Institut des actuaires, and the ERM group of the Singapore Actuarial Society. Marie is invited to present her research in numerous international conferences, seminars, and expert forums, and invited for research stays in various academic institutions all over the world.

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Stéphane Loisel
Conservatoire National des Arts et Métiers (Cnam), Paris

Talk: Climate change, sustainability and prevention
In this talk, we discuss some uncertain climate change impacts on the insurance industry. After discussing claim worsening models and long term scenario generation best practices, we present some research challenges associated to sustainability as well as results on optimal prevention strategies.


Stéphane Loisel holds a PhD in applied mathematics from University of Lyon, a MSc in actuarial science and finance, and is a fellow and former member of the board of the Institut des Actuaires. He is now professor at Cnam in Paris, chairholder of the Actuarial Science and Science of Risk Chair, and a member of Lirsa and Efab. He was previously full professor and head of LSAF research lab at ISFA, Université Lyon 1. He was visiting professor at ORIE, Cornell University in 2014 and has been lecturing for several years in ENSAE and U. of Lausanne. Associate Editor of IME, MCAP, Risks and co-editor of EAJ, Stéphane’s main research interests include climate change, sustainability and insurance, ruin theory with dependent risks, Solvency II, regulation and ERM, as well as longevity risk and customer behaviour in insurance. He is the PI of an AXA Joint Research Initiative on longevity risk and of the research chair Sustainable actuarial science and climate risks sponsored by Milliman Paris. He is a member of research chair Actions funded by BNP Paribas Cardif and of ANR Project Dreames. He received the SCOR PhD award in 2005, the Lloyd’s Science of Risk runner-up prize in 2011, the Hachemeister prize in 2013 and the Bob Alting von Gesau Award in 2022. A Certified Enterprise Risk Analyst (CERA), Stéphane is also the scientific director of the French CERA program and board member of Insurem.

Important dates

  • Abstract submission: 10/05/2024 31/05/2024

  • Abstract acceptance: 03/06/2024 10/06/2024

  • Early bird registration fee: 28/06/2024

Registration

Type of registration Early bird (till 28/06/2024) Late (from 29/06/2024)
Students (BSc,MSc,PhD) EUR 225 EUR 340
Academic EUR 350 EUR 550
Practitioner EUR 600 EUR 900

Cost of accompanying person’s programme: EUR 150. Accompanying person fee includes: conference bag, welcome reception, walking tour and gala dinner.

To register and pay for the conference, please fill in the registration form.

Additional information

  • Description: EAJC2024 and your name

  • Receiver Name: CEMAPRE

  • Receiver Address: Rua do Quelhas 6, 1200-781 Lisboa, Portugal

  • Bank: Caixa Geral de Depósitos

  • Bank Address: SANTOS – Avenida Dom Carlos I, 60-A 1200 - 649 LISBOA, Portugal

  • IBAN: PT50 0035 0371 00001000530 68

  • SWIFT: CGDIPTPL

About ISEG

The EAJC venues are at ISEG, Lisbon School of Economics and Business, of the Universidade de Lisboa, the oldest economics school in Portugal and pioneer in the study of actuarial science in the country. The conference covers the wide field of actuarial science, pension funds, insurance risk theory, mathematical finance, insurance analytics, risk management, asset liability management and solvency.

After very successful editions in Lausanne, Vienna, Lyon, Leuven and Tartu, this year’s edition will be at the ISEG in Lisbon, Portugal, in the South West corner of Europe, where the river Tagus meets the Atlantic. ISEG is situated next to the Portuguese Parliament Building, in an old neighbourhood of the Portugal’s capital, not far from old downtown area.

Members of the group of Statistics and Actuarial Science of CEMAPRE, research centre in Applied Mathematics to Economic Forecast and Decision, of ISEG, participate in the Organizing and Scientific Committees.

About us

Actuarial science and actuarial finance deal with the study, modeling and managing of insurance and related financial risks for which stochastic models and statistical methods are available. The European Actuarial Journal (EAJ) is the journal of the EAJ Association, an European platform with the goal to increase collaboration among European national actuarial associations in order to promote actuarial science.

The EAJ publishes research articles as well as papers engaging the mutual transfer between research and practical applications in actuarial science. Topics include classical actuarial mathematics such as life and non-life insurance, pension funds, reinsurance, and also more recent areas of interest such as risk management, asset liability management, solvency, catastrophe modeling, systematic changes in risk parameters, longevity, etc.

The EAJ Conference takes place every two years. The association provides the opportunity for academics and practitioners to discuss and present their work. Young researchers are particularly encouraged to introduce their findings.

The EAJ particularly focuses on links between actuarial theory and practice. In order to serve as a platform for this exchange, discussions on published papers that highlight the application aspects of the discussed paper, are welcome. Such discussions can also suggest modifications of the studied problem which are of particular interest to actuarial practice. Thus, they can serve as motivation for further studies.

Finally, EAJ now also publishes ‘Letters’, which are short papers (up to 5 pages) that have academic and/or practical relevance and consist of e.g. an interesting idea, insight, clarification or observation of a cross-connection that deserves publication, but is shorter than a usual research article. A detailed description or proposition of a new relevant research question, short but curious mathematical results that deserve the attention of the actuarial community as well as novel applications of mathematical and actuarial concepts are equally welcome. Letter submissions will be reviewed within 6 weeks, so that they provide an opportunity to get good and pertinent ideas published quickly, while the same refereeing standards as for other submissions apply. Both academics and practitioners are encouraged to contribute to this new format.

Venue

ISEG

The conference takes place at the ISEG – Lisbon School of Economics and Management. The main address is Rua do Quelhas, 6, 1200-781 Lisbon (see maps below). All rooms are located in the Quelhas 6 building, also known as the Convento das Inglesinhas, a 17th century building overlooking the rest of the campus [lat. N38o42’35.734”, long. W9o09’27.184”].

Participants without mobility problems are advised to use the main entrance at Rua das Francesinhas [lat. N38o42’37.588”, long. W9o09’17.129”], by the Francesinhas 2 building, and climb the outdoor stairs, on the left-hand side, to Quelhas 6. Participants with mobility problems may use either the car-park entrance at Rua Miguel Lupi [lat. N38o42’39.229”, long. W9o09’21.672”] or the one at Rua do Quelhas [lat. N38o42’34.607”, long. W9o09’20.671”].

Founded in 1911, ISEG is a research-oriented institution, whose mission is to instruct capable business and economics students and to train the most skilled managers and mathematicians, providing each with cutting edge knowledge in the corresponding areas of interest. ISEG is one of the top prestigious and experienced business and economics schools based in Portugal, one of the three top-ranked providers in these fields of education at undergraduate, graduate and executive training levels.

ISEG distinguishes itself from its competition through a clear focus on top quality research and teaching, and through an intense relationship with the most important public and private Portuguese Institutions and Corporations as well as with the development of long-term relationships between ISEG and its alumni. Its facilities were totally renovated recently providing a top-quality and stimulating academic environment to the personal and professional development of future managers and economists.

ISEG is located in the city centre just next to the Portuguese Parliament and facing the Tejo river. It is also in walking distance of The National Museum of Ancient Art, the bearer of the most important collection of arts in Portugal.

Lisbon


How to get from the Airport to the City

Lisbon’s main airport is 10 km (6 mi) from the conference venue at ISEG - Lisbon School of Economics & Management, Universidade de Lisboa.

Taxis are the easiest way to get into the city center and are available outside the airport. The journey to city center takes about 20 minutes. All of the taxis have digital meters and must run them. The cost of getting from the airport to the (city center) is about 15 euros daytime. Most taxis do not accept credit cards. It is not necessary to tip taxi drivers. You can queue for taxis outside the arrivals exit. Transportation with Uber, Bolt and Free Now are also available in the city.

You may alternatively take the Metro (subway). It may be quicker and will certainly be cheaper. The Airport station is on the red line, taking you to Saldanha station in just 15 minutes and to the city center Baixa-Chiado station (a change of line is needed) in about 25 minutes. You can buy the one-way ticket for 1.50 euros or the daily pass for 6 euros, allowing you to use the Metro, buses, trams, funiculars, elevator and trains). Both types of ticket are issued on rechargeable cards so do not throw them away.

The Metro stations closest to ISEG are either Rato (yellow line) or Cais do Sodré (green line). Then, you may prefer a nice 20 minute walk or to catch a bus. At Rato you have either 706 (heading towards Cais do Sodré) or 727 and at Cais do Sodré you have 706 (heading towards Est. Sta. Apolónia). In any case, you should leave the bus at the Assembleia da República (the Parliament) stop.

The Santos train station, on the Lisbon-Cascais suburban line, is only a 10 minute walking away from ISEG. The 706 bus also stops there on its way from Cais do Sodré to Assembleia da República.

Tips on Travel

Visa: Non EU citizens and citizens from countries without VISA waive must require a VISA to come to Lisbon.

Money: The currency used in Portugal is Euro. Portugal has an extensive network of ATM machines and most restaurants, hotels, shops and museums accept credit cards.

Electricity: The electrical current in Portugal is 220 volts, 50 cycles alternating current (AC); wall outlets take Continental-type plugs round prongs.

Accommodation

Participants are responsible for their travel and accommodation arrangements. The enrollment fee does not cover accommodation. Please make your reservations as soon as possible. A complete list of hotels can be found at Lisbon Official Tourism Website.

Besides a vast array of opportunities on AirBnB, and a large number of hostels, the following is a list of hotels conference participants have used in the past. The closest areas to the conference site are Santos, Estrela, Lapa, Príncipe Real, Chiado, Bairro Alto, and Cais do Sodré.

Lisbon is the capital and largest city of Portugal. It is also the seat of the district of Lisbon and capital of the Lisbon region. Its municipality has a population of 564,477 in 84.8 km2, while the Lisbon Metropolitan Area in total has around 2.8 million inhabitants. Due to its economic output, standard of living, and market size, the Grande Lisboa (Greater Lisbon) subregion is considered the second most important financial and economic center of the Iberian Peninsula. The Lisbon region is the wealthiest region in Portugal and it is well above the European Union’s GDP per capita average – it produces 45% of the Portuguese GDP. It is also the political center of the country, as seat of government and residence of the Head of State.

Lisbon was under Roman rule from 205 BC, when it was already a 1000 year old town. Julius Caesar made it a municipium called Felicitas Julia, adding to the name Olissipo. Ruled by a series of Germanic tribes from the 5th century, it was captured by Moors in the 8th century. In 1147, the Crusaders under Afonso Henriques reconquered the city for the Christians and since then it has been a major political, economic and cultural center of Portugal. Unlike most capital cities, Lisbon’s status as the capital of Portugal has never been granted or confirmed officially – by statute or in written form. Its position as the capital has formed through constitutional convention, making its position as de facto capital a part of the Constitution of Portugal.

Lisbon hosts two agencies of the European Union, namely, the European Monitoring Centre for Drugs and Drug Addiction (EMCDDA) and the European Maritime Safety Agency (EMSA). The Community of Portuguese Language Countries (CPLP), is also headquartered in Lisbon.

The municipal holiday is June 13, St. Anthony’s Day.

Committees

Scientific committee

Members of the Editorial Board of EAJ and members of the organizing committee.

Submissions

We are pleased to invite you to submit an abstract for a presentation at the EAJ 2024 conference. Submitted abstracts should be in line with general aims & scope of the European Actuarial Journal. Some examples of the topics are:

  • climate change in insurance and sustainability
  • cyber security risks
  • data science for insurance and finance
  • economics of insurance
  • extremes
  • financial engineering
  • life and pension insurance mathematics
  • longevity
  • mathematical finance with applications in insurance
  • non-life insurance mathematics
  • reinsurance
  • risk management
  • risk theory
  • solvency
  • valuation principles

Use this file as a template for writing your abstract. Rename the resulting tex+pdf files as myname.pdf and myname.tex. Please send both files to .

Important dates:

\(\cdot\) Abstract submission: 10/05/2024 31/05/2024

\(\cdot\) Abstract acceptance: 03/06/2024 10/06/2024

\(\cdot\) Early bird registration fee 28/06/2024

Programme [Sep 7]

Programme and BoA

Gala dinner [Sep 7]

\(\cdot\) Excursion to Museu do Oriente: September 10\(^{th}\), 6:00pm to 7:30pm. More information and tickets at the registration desk.

\(\cdot\) Welcome drinks at Museu do Oriente: September 10\(^{th}\), 7:30pm to 8:00pm. More information at the registration desk.

\(\cdot\) Gala dinner at Museu do Oriente: September 10\(^{th}\), 8:00pm to 10:30pm. More information at the registration desk.

Welcome drink [Sep 7]

The Welcome drink on Sunday will take place at ISEG’s Rooftop:


Sponsors