Michel Vellekoop

University of Amsterdam - Faculty of Economics and Business (FEB)

Roetersstraat 11

Amsterdam, 1018 WB

Netherlands

  • University of Amsterdam - Faculty of Economics and Business (FEB)

SCHOLARLY PAPERS

6

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613

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34

Scholarly Papers (6)

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1.

Optimal Investment and Consumption When Allowing Terminal Debt

Number of pages: 30 Posted: 11 Jul 2013
An Chen and Michel Vellekoop
Ulm University - Institute of Insurance Science and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 157 (401,459)
Citation 6

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SAHARA utility, optimal consumption and investment, dual approach

2.

The Impact of Multiple Structural Changes on Mortality Predictions

Scandinavian Actuarial Journal, 2016, 7, 581-603.
Number of pages: 24 Posted: 05 Mar 2014 Last Revised: 17 May 2017
Frank Van Berkum, Katrien Antonio, Katrien Antonio and Michel Vellekoop
KU Leuven - Faculty of Business and Economics (FBE), KU LeuvenUniversity of Amsterdam and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 143 (435,865)
Citation 10

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stochastic mortality; structural changes; mortality forecasting; backtesting

3.

The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks

Number of pages: 34 Posted: 31 Aug 2014
Jan Dhaene, Ben Stassen, Pierre Devolder and Michel Vellekoop
Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB), Catholic University of Louvain and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 94 (593,870)
Citation 1

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Minimal entropy martingale measure, relative entropy, financial risks, actuarial risks, independence, incomplete markets.

4.

Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data

Journal of Econometrics, Forthcoming
Number of pages: 43 Posted: 29 Oct 2019
Z. Merrick Li, Roger J. A. Laeven and Michel Vellekoop
The Chinese University of Hong Kong (CUHK), University of Amsterdam - Department of Quantitative Economics (KE) and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 88 (618,536)
Citation 15

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dependent microstructure noise, realized volatility, bias correction, integrated volatility, pre-averaging method

5.

A Bayesian Joint Model for Population and Portfolio-Specific Mortality

Netspar Discussion Paper No. 11/2015-034
Number of pages: 31 Posted: 20 Nov 2015 Last Revised: 17 May 2017
Frank van Berkum, Katrien Antonio, Katrien Antonio and Michel Vellekoop
University of Amsterdam - Department of Quantitative Economics (KE), KU LeuvenUniversity of Amsterdam and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 79 (659,513)
Citation 1

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Bayesian analysis, portfolio-specific mortality, mortality experience, random effects, smoothing prior, simultaneous modelling

6.

Existence of Optimal Consumption Strategies in Markets with Longevity Risk

Netspar Discussion Paper No. 09/2016-032
Number of pages: 34 Posted: 14 Sep 2016
Jan De Kort and Michel Vellekoop
University of Amsterdam and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 52 (819,825)
Citation 1

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Optimal consumption, portfolio selection, longevity risk, CIR process, Laplace transform