Quartier Chambronne
Lausanne, Vaud CH-1015
Switzerland
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
University of Lausanne
asset-liability management, long-term insurance, valuation, insurance products, investments, models
optimal dividends, risk theory, Levy risk model, scale functions, diffusion
Pension funding gap, Demographic and societal challenges, Valuation of pension liabilities, Economic and regulatory capital models, Role of financial markets
implied liquidity, conic finance, model sensitivity, pre-and post crisis liquidity
optimal reinsurance, randomization, stop-loss treaties, cost of capital, mean-excess function
Insurance, solvency capital requirement, credit risk, bankruptcy, regulation
reserves, shareholder value, risk adjusted performance
