1-4 September 2015
Angers - France
Europe/Paris timezone

Risk Minimization under Mortality and Its Stochastics.

1 Sep 2015, 11:20
30m
Angers - France

Angers - France

Speaker

Dr Tahir Choulli (UNiversity of Alberta)

Description

In this talk, I will present our contributions in two topics that complement each other. The first topic deals with risk minimization when the mortality is taken into consideration. For this theme, we adopt the popular risk-minimization framework of Follmer and Sonderman. In this line of research, we quantify the impact of the mortality uncertainty, as well as the intrinsic risk of its correlation with the financial market, on the optimal risk-minimizing strategy. These achievements is based essentially on new stochastic developments that sound tailored made for them. In this stochastic part, which represents our second topic of contribution and originality, we obtained two principal results. On the one hand, we introduced and analyzed two new classes of martingales in the enlarged filtration. On the other hand, thanks to our new spaces of martingales, we elaborated a complete, precise and explicit optional decomposition for martingales of the large filtration stopped at the death time. This decomposition is vital in the analysis of the first topic if one wants to address fully the mortality risk without excluding any mortality model and/or market model. This talk is based on joint works with Catherine Daveloose and Michele Vanmaele.

Primary author

Dr Tahir Choulli (UNiversity of Alberta)

Presentation Materials