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:
10/05/202431/05/2024Abstract acceptance:
03/06/202410/06/2024Early 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.