Sounding board

The Sounding Board members:

Albert Mentink, AEGON Andre van Vliet, ORTEC Ger Kock, ASR Verzekeringen Jeroen van Wageningen, ING Jos van Ophem, Eureko-Achmea Marc Propper, DNB Marco Combe, AEGON

Marlies van Boom, AEGON Niels Kortleve, PGGM Oscar Dries, ASR Paolo Covelli, Social Insurance Bank Roderick Molenaar, ABP Twan van Erp, Eureko-Achmea

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Sounding Board Group Meeting II
(December 10, 2008)

The four PhD students that are active within the theme presented their research results on riskmodels. In order of appearance:

1. Jing Cao, UvA and Cardano
2. Michiel Janssen, UvA and Euroko - Achmea
3. Richard Plat, UvA and Eureko - Achmea
4. Alexander van Haastrecht, Uva and Delta Lloyd

Presentations will become available on short notice.

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Sounding Board Group Meeting I
(November 20, 2007)

The first meeting of the sounding board group of the theme involved participants from insurance companies, pension funds, Dutch Central Bank and the Ministry of Economic Affairs. Pelsser and Driessen explained the research topics we are currently working on in our theme, and we received very good feedback from the sounding board group on new research questions that we wish to explore further. The feedback from the sounding board group involved:

• the pricing of long-dated guarantees, and possible ways to incorporate information from credit spreads into the pricing of long-dated guarantees;
• how to deal with the short-term constraints that risk managers and regulators impose versus the long-term nature of life-insurance and pension business;
• how to calculate diversification of different risk-drivers, and how to incorporate tail-correlation in a practical manner; a related question is how to recognise restrictions in the fungibility of capital.
  Update December 11, 2008