Developments in Pension Design and Investment Modelling
September 12-14, 2024
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The workshop aims to highlight recent developments in the field of pension fund design, with a particular emphasis on related investment strategies from both theoretical and practical perspectives.
While it primarily targets an academic audience, participation from industry professionals—including asset managers, actuaries, and risk professionals—is highly encouraged. To stimulate interaction and discussion, we are limiting attendance to a maximum of thirty participants. This will ensure ample opportunities for engagement beyond the scheduled presentations.
Venue
September 12-13
MUNICIPAL GALLERY OF PIRAEUS
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The Municipal Art Gallery of Piraeus is housed in the restored building of the city’s post office. Its rich collection includes 837 paintings by well-known modern Greek painters as well as many younger artists. It also houses the collection of 80 sculptures by G. Kastriotis, works by the popular artist S. Lazaros, the collection of Panos Aravantinou and the donation of personal items by the great Greek actor Manos Katrakis. The building hosts periodic art exhibitions, lectures and other cultural events.
September 14
UNIVERSITY OF PIRAEUS
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The University of Piraeus was founded in 1938 by the Industrialists and Tradesmen Association under the name “School for Industrial Studies” and its original aim was the advanced training of managerial executives. In 1945, it was renamed to the “Higher School for Industrial Studies”, while in 1958 it was renamed again as the “Graduate School for Industrial Studies” and its seat was established in Piraeus. Since then the university has evolved from its original sole focus on business management and added additional academic fields, such as economics, finance, maritime studies, informatics, and statistics. In 1966, it became a public university, and in 1989, it received its present name
Invited Speakers
Jennifer Alonso
Université libre de Bruxelles
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Jennifer Alonso García joined the Department of Mathematics as a (tenured) Professor of Actuarial Science in October 2019. Besides, she is an Associate Investigator at CEPAR, Netspar Fellow and member of the PBSS board.
Previously she was a (tenure-track) Assistant Professor at the Department of Economics, Econometrics and Finance (EEF) at the University of Groningen and Senior Research Associate at CEPAR. She completed her studies in mathematics in Spain and Germany, and received her PhD in Actuarial Science from the Université Catholique de Louvain in Belgium in 2015. She is a IA|BE Qualified Actuary of the Belgian Institute of Actuaries. She has also worked in the industry as a Risk advisor in the area or Solvency II and MCEV.
Renata Alcoforado
Universidade Federal de Pernambuco
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Renata Alcoforado is a Presidential Advisor at INSS and a Professor in the Department of Accounting and Actuarial Sciences at UFPE. She is an active member of the Portuguese Actuarial Institute and a researcher at CEMAPRE – Center for Applied Mathematics to Economic Forecasting and Decision. She was a member of the Technical Group on Social Security of the Governmental Transition Office during the federal government transition from 2022 to 2023 and is a member of the Advisory/Editorial Board of (In)justice International – A Global Collective. Her research interests encompass risk and ruin theory, social security, pension funds, and insurance.
Carole Bernard
Grenoble Ecole de Management
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Professor of Finance.
Carole Bernard was with the Statistics and Actuarial Science department at the University of Waterloo from September 2006 to December 2014.
Carole graduated from Ecole Normale Supérieure de Cachan ( France). She obtained her Ph.D. in Finance from ISFA (Institute of Financial and Actuarial Sciences) in Lyon (France) in 2005 on the subject of “Valuation of Guarantees in Insurance and in Finance using the Option Theory”.
Ales Cerny
Bayes Business School
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Prof. Černý received his MSc in Mathematical Engineering from the Czech Technical University in 1994 and PhD in Economics from the University of Warwick in 1998. Before joining Bayes Business School (formerly Cass) in 2005, he worked at Imperial College London. His main research agenda recognizes that financial markets are inherently incomplete.
Aleš has given a number of invited talks in Europe and U.S. on the subject of incomplete markets and published a textbook on the topic, now in its 2nd edition, with Princeton University Press. His research has appeared, among others, in The Annals of Probability, Bernoulli, The Economic Journal, European Journal of Operational Research, Journal of Derivatives, Mathematical Finance, Mathematics of Operations Research, Quantitative Finance, and SIAM Journal on Control and Optimization. He is an associate editor for the Review of Derivatives Research.
Aleš has consulted for government organizations in the UK and Japan in the area of optimal lifecycle asset allocation with particular focus on pension and real estate investment.
Ioannis Chatzivasiloglou
Bank of Greece
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Ioannis Chatzivasiloglou is Deputy Director of the Department of Insurance Supervision at the Bank of Greece and the Alternate Member of the Bank of Greece to the Board of Supervisors of EIOPA. Prior to his current role, he served the Greek insurance supervisory authority in several positions of responsibility, related to the financial and actuarial supervision of insurance undertakings. He has an actuarial background, designated as a Fellow of the Society of Actuaries of U.S.A. (FSA), a Chartered Enterprise Risk Analyst (CERA) and a Fellow of the Greek Actuarial Society (FHAS).
Griselda Deelstra
Université libre de Bruxelles
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Griselda Deelstra is Professor of Stochastic Finance and Actuarial Science at the Université libre de Bruxelles since 2003. Prior to this position, she has worked as an Assistant professor in Paris at the Ecole Nationale de la Statistique et de l’Administration Economique (ENSAE) and the Centre de Recherche en Economie et Statistique (CREST).
Her research interests lie in the areas of risk management in finance, insurance and climate risks, with a focus on pricing and hedging. She is a member of the editorial board of the European Actuarial Journal and the Astin Bulletin, and she is a member of the educational committee of the Belgian Institute of Actuaries.
Runhuan Feng
Tsinghua University
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Feng is currently a Chair Professor in the School of Economics and Management in Tsinghua University. Prior to that, he was a Professor of Mathematics, Statistics and Industrial Engineering,State Farm Companies Foundation Endowed Professor, Director of Actuarial Science and the Founding Director of Predictive Analytics and Risk Management in the University of Illinois at Urbana-Champaign in the United States.
Constantinos Kardaras
London School of Economics
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Professor Kostas Kardaras’ research is focused on the field of Stochastic Analysis and, in particular, on its applications in Financial Mathematics. He has worked and published on arbitrage theory, pricing of financial and insurance contracts, financial equilibrium, stochastic optimal control, robust long-term investment, informational asymmetry, game theory, Monte-Carlo simulation, as well as more abstract topics in semimartingale theory and functional analysis.
Prior to his position at the Statistics department of the LSE, Professor Kardaras worked as an Assistant professor in the Mathematics & Statistics department of Boston University.
Arun Muralidhar
Mcube Investment Technologies
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Arun is Co-Founder of Mcube Investment Technologies LLC and Co-Founder and Client CIO of AlphaEngine Global Investment Solutions – firms that provide a range of services and products to the institutional investor community. Arun previously worked at the World Bank, JP Morgan Asset Management and FX Concepts. His primary focus is on dynamic (intelligent) beta and currency management and how clients can get paid to manage risk. Arun has written four books and many articles on a range of topics – on pension reform (with Nobel Laureate Prof. Franco Modigliani), financial innovation (with Nobel Laureate Prof. Robert Merton), asset allocation, and portfolio/currency management. His idea for a retirement and education bond was launched by Brazil in January and August 2023, respectively.
Georgios Pitselis
University of Piraeus
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Georgios Pitselis is Assistant Professor of Actuarial Science at the Department of Statistics and Insurance Science of University of Piraeus. He has also worked at Katholieke Universiteit Leuven, Catholic University of Rio de Janeiro and Concordia University.
His research interests lie (among others) in credibility estimation, Solvency II and modelling mortality and longevity risk. His work has been published in journals like Insurance Mathematics and Economics and European Actuarial Journal.
George Symeonidis
Hellenic Actuarial Authority
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Dr. George Symeonidis is a fully qualified Actuary and a Doctor in Economics of Insurance. He serves as the Vice-Chair & President-Elect of the International Association of Consulting Actuaries (IACA). With nearly two decades of experience in the insurance industry and regulatory authorities, George has honed his expertise at the intersection of technical and managerial skills. He shares his knowledge with future actuaries through university lectures, focusing on risk management, pension economics, and public finance.
Nikolaos Tessaromatis
EDHEC
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Nikolaos Tessaromatis, PhD, is a Professor of Finance at EDHEC Business School. Prior to joining EDHEC Business School Dr Tessaromatis was CEO and CIO of EDEKT Asset Management, the leading fiduciary manager of Greek pension funds. Before EDEKT, he was Director of Investments at ATE Finance, Principal and Head of Research and Product Development at Gartmore Investment Management, Associate Director at Nat-West Investment Management and Senior Quantitative Analyst at Hermes Investment Management. A financial economist with interest and experience in applying modern portfolio theory to the management of institutional assets, his professional experience includes creation and management of quantitatively driven investment products, index fund management, portfolio risk management and advice on strategic asset allocation. His academic experience includes positions as Associate Professor of Finance at ALBA Graduate Business School and Lecturer in Finance at Warwick Business School. He was also Chairman of the Board of Directors, School of Education of Employees at the Greek Ministry of the Economy.
Organizers
Michail Anthropelos
Since June 2023, he has been serving as an Associate Professor in Financial Mathematics at the Department of Banking and Financial Management, University of Piraeus. He has a PhD from the University of Texas at Austin, a Master from Columbia University and a Bachelor from the University of Piraeus. In the past, he had served as visiting scholar at the LSE and a visiting professor at Boston University.
His research interests lie in the field of Mathematical Finance and more precisely, problems related to optimal and sub-optimal risk-sharing, equilibria in non-competitive financial markets and contingent-claim pricing under price impact.
Steven Vanduffel
Steven Vanduffel is a professor in Finance, Insurance and Risk Management at Vrije Universiteit Brussel (VUB) – Solvay Business School. By training he has MSc degrees in mathematics and actuarial sciences from the KULeuven and a PhD from the University of Amsterdam (2005).
His research topics are in the field of insurance and financial mathematics/economics with a current emphasis on designing and implementing real-world pension solutions, risk assessment under uncertainty, estimation of option implied dependence with applications, and the optimal design of insurance portfolios.
Call for Papers
If you are interested in presenting a paper to the workshop, or simply to participate in, please email us at anthropel@unipi.gr or steven.vanduffel@vub.be and express your interest.
Funded by the Hellenic Foundation for Research and Innovation (H.F.R.I.)
under the “2nd Call for H.F.R.I. Research Projects to support Faculty Members & Researchers”
(Project Number: 3444/2022, Project Title: “Valuation and Optimal Investment of Pension Plans”).
Sponsors
