为了加强国内金融与保险精算青年学者之间的学术交流，培养科研兴趣，夯实科研基础，提升科研能力，中央财经大学中国精算研究院拟于2016年11月4日-7日举办主题为'On the Interplay between Financial and Actuarial risks'的短期课程学术活动。活动安排为11月4日下午注册，11月5-6日为短期课程，11月7日为学术报告。

中央财经大学邀请国际精算领域的著名学者、比利时鲁汶大学Jan Dhaene教授作为主讲嘉宾。课程内容介绍见附件。

为了保证短期课程的质量，我们收取每人600元的注册费（报名当天现场刷卡），包含课程资料、活动期间的餐饮、会务等费用。交通住宿费用自理。该活动面向全国金融与保险精算青年学者和博士研究生开放。由于场地所限，限额50人，欢迎大家踊跃参加。有意参加者，请将回执信息于10月28日之前发送至会务联系人邮箱。

会务联系人：薛丽娜 手机号：13381412909

电话：010-62288158 Email：xueln@cias-cufe.org

中央财经大学中国精算研究院

2016年10月10日

参加'On the Interplay between Financial and Actuarial risks' 短期课程的回执 （下载）

主讲人：Jan Dhaene教授 （比利时鲁汶大学）

附件：课程内容介绍

Short course: 'On the Interplay between Financial and Actuarial risks'

This 12 hours short course consists of 6 modules of 2 hours each, each of which is to a large extent self-contained.

# Module 1: Combining financial and actuarial risks.

References:

On the (in-)dependence between financial and actuarial risks.

J. Dhaene, A. Kukush, E. Luciano, W. Schoutens & B. Stassen (2013). Insurance: Mathematics and Economics, 52(3), 522-531.

The Minimal Entropy Martingale Measure in a market of traded financial and actuarial risks.

J. Dhaene, B. Stassen, P. Devolder & M. Vellekoop (2015). Journal of Computational and Applied Mathematics, 282, 111-133.

# Module 2: Systematic risk in long term insurance.

References:

Indexing lifelong medical insurance premiums, with an application to the Belgian system.

M.Denuit, J. Dhaene, A., H. Hanbali, N. Lucas, J. Trufin (2016). Research Report AFI-xxxx, FEB, KU Leuven.

Systematic risk in long term life insurance business. The need for appropriate indexing mechanisms.

M. Denuit, J. Dhaene, H. Hanbali. Work in progress.

# Module 3: A model-free approach in financial mathematics.

References:

Index options: a model-free approach.

D. Linders, J. Dhaene, H. Hounnon, M. Vanmaele (2012). Research report AFI-1265, FEB, KU Leuven.

The Herd Behavior Index: a new measure for the implied degree of co-movement in financial markets.

J. Dhaene, D. Linders, W. Schoutens, D. Vyncke (2012). Insurance: Mathematics and Economics, 50(3), 357-370.

Option prices and model-free measurement of implied herd behavior in stock markets. [pdf]

D. Linders, J. Dhaene, W. & W. Schoutens (2015). International Journal of Financial Engineering, 2(2), art.nr. 1550012.

# Module 4: Market-consistent valuation - part I.

References:

Market-consistent valuation of financial, actuarial and hybrid claims.

J. Dhaene, Ben Stassen, M. Vellekoop, K. Barigou, D. Linders (2016). Work in progress.

# Module 5: Market-consistent valuation - part II.

References:

A new approach to market-consistency via mean-variance hedging.

K. Barigou, Pierre Devolder, J. Dhaene. Work in progress.

# Module 6: Physical vs. risk-neutral measures.

References:

How option-implied indices might mislead you..

J. Dhaene, D. Linders, J. Yao. Work in progress.

From the risk-neutral to the physical measure and vice versa.

J. Dhaene, Q. Tang, J. Yao. Work in progress.

(责任编辑：xue)