Photographer: FEB

prof. dr. ir. M.H. (Michel) Vellekoop


  • Faculty of Economics and Business
    Section Quantitative Economics
  • Visiting address
    REC E
    Roetersstraat 11  Room number: 4.24
  • Postal address:
    Postbus  15867
    1001 NJ  Amsterdam
  • m.h.vellekoop@uva.nl
    T: +31205254210

"The gap between theory and practice usually turns out to be larger in practice than in theory"

Positions

Professor, Actuarial Sciences & Mathematical Finance

Research programme

Actuarial Science

Research interests

Life Insurance, Derivatives, Stochastic Processes

Dissertation title

Rapid Detection and Estimation of Abrupt Changes by Nonlinear Filtering (1998) 

Prizes and honours

Awarded a 500.000 euro grant from Netspar for the period 2009-2014. 
SIGEST award of SIAM, the Society for Industrial and Applied Mathematics (2006)

Corporate ties

Director of Research, the Derivatives Technology Foundation

Curriculum Vitae

Teaching activities

Current year

Financial Mathematics for Insurance
Empirical Project
Seminar Actuariaat
 

Participation in academic networks

Coordinator of Netspar Theme "Reconciling Short Term Risks and Long Term Goals for Retirement Provisions"

Director of the Actuarial Science research programme within RESAM

Member of AMaMeF, the European Science Foundation's research programme on Advanced Mathematical Methods in Finance 

Various activities

Member of the Senate of the University of Amsterdam

Director of Research, the Derivatives Technology Foundation 

Affiliated member of the Dutch Actuarial Association 

Member of the Dutch Mathematical Society (Board member 2001-2005) 

2017

  • Antonio, K., Devriendt, S., de Boer, W., de Vries, R., De Waegenaere, A., Kan, H. K., ... Vellekoop, M. (2017). Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard. European Actuarial Journal, 7(2), 297-336. DOI: 10.1007/s13385-017-0159-x  [details] 
  • van Berkum, F., Antonio, K., & Vellekoop, M. (2017). A Bayesian joint model for population and portfolio-specific mortality. ASTIN Bulletin, 47(3), 681-713. DOI: 10.1017/asb.2017.17  [details] 
  • Chen, A., & Vellekoop, M. (2017). Optimal investment and consumption when allowing terminal debt. European Journal of Operational Research, 258(1), 385-397. DOI: 10.1016/j.ejor.2016.09.012  [details] 

2016

  • van Berkum, F., Antonio, K., & Vellekoop, M. (2016). The impact of multiple structural changes on mortality predictions. Scandinavian Actuarial Journal, 2016(7), 581-603. DOI: 10.1080/03461238.2014.987807  [details] 

2015

  • de Kort, J., & Vellekoop, M. H. (2015). Term structure extrapolation and asymptotic forward rates. Insurance: Mathematics & Economics, 67, 107-119. DOI: 10.1016/j.insmatheco.2015.11.001  [details] 
  • Dhaene, J., Stassen, B., Devolder, P., & Vellekoop, M. (2015). The minimal entropy martingale measure in a market of traded financial and actuarial risks. Journal of Computational and Applied Mathematics, 282, 111-133. DOI: 10.1016/j.cam.2014.12.004  [details] 

2013

  • Cui, J., Oldenkamp, B., & Vellekoop, M. (2013). When do derivatives add value in asset allocation problems for pension funds? Rotman International Journal of Pension Management, 6(1), 46-57. DOI: 10.3138/ripjm.6.1.46  [details] 

2011

  • Chen, A., Pelsser, A., & Vellekoop, M. (2011). Modeling non-monotone risk aversion using SAHARA utility functions. Journal of Economic Theory, 146(5), 2075-2092. DOI: 10.1016/j.jet.2011.06.011  [details] 
  • Vellekoop, M. H., & Nieuwenhuis, J. W. (2011). An integral equation for American put options on assets with general dividend processes. Stochastics An International Journal of Probability and Stochastic Processes, 83(4-6), 555-567. DOI: 10.1080/17442508.2010.533179  [details] 
  • Goettsche, O. E., & Vellekoop, M. H. (2011). The early exercise premium for the American put under discrete dividends. Mathematical Finance, 21(2), 335-354. DOI: 10.1111/j.1467-9965.2010.00427.x  [details] 
  • Jourdain, B., & Vellekoop, M. H. (2011). Regularity of the exercise boundary for American put options on assets with discrete dividends. SIAM Journal Financial Mathematics, 2(1), 538-561. DOI: 10.1137/100800889  [details] 

2010

2009

  • Vellekoop, M., & Nieuwenhuis, H. (2009). A tree-based method to price American options in the Heston model. Journal of Computational Finance, 13(1), 1-21. [details] 

2009

  • Vellekoop, M., & Davis, M. (2009). An optimal investment problem with randomly terminating income. In Proceedings of the 48th CDC Conference (pp. 3650-3655). Shanghai. [details] 
  • Vellekoop, M., & Vlaming, G. (2009). Pricing American options with the SABR model. In Proceedings of the 2009 IEEE International Symposium on Parallel and Distributed Processing Rome. [details] 

2017

2016

  • de Boer, B. . L., de Boer, W., van Iersel, C. A. M., de Mik, J., Plat, H. J., Schulteis, T. J. W., ... van der Winden, M. R. (2016). Prognosetafel AG2016. Utrecht: Koninklijk Actuarieel Genootschap. [details] 
  • Vellekoop, M., & Pelsser, A. (2016). Kansloos en geschokt. Actuaris, 23(6), 50-51. [details] 

2014

  • de Boer, W., van Broekhoven, H. W. M., Kromme, E. B. B., Schulteis, T. J. W., Vellekoop, M. H., de Vries, R. W. J., ... van der Winden, M. R. (2014). Prognosetafel AG2014. Utrecht: Koninklijk Actuarieel Genootschap. [details] 

2013

  • de Crom, S., Dijk, R., Kock-De Kreuk, A., Vellekoop, M., & Vermeijden, N. (2013). Externe mitigatie van langlevenrisico: ook nu relevant. Actuaris, 20(6), 34-35. [details] 

2012

  • Vellekoop, M. H. (2012). Langlevenrisico bij verzekeraars. In In de wetenschap dat ...: bijdragen uit de wetenschap over de bedrijfseconomische toekomst van de verzekeringssector (pp. 8-9). Amsterdam: Amsterdam Centre for Insurance Studies. [details] 

2011

  • de Crom, S., de Kreuk, A., van Dijk, R., Vellekoop, M., & Vermeijden, N. (2011). Marktoplossingen voor langlevenrisico. (Netspar Economische Adviezen (NEA Paper); No. 42). Tilburg: Netspar. [details] 

Media appearance

  • Laeven, R., Vellekoop, M., Pelsser, A. A. J. & Spierdijk, L. (01-01-2013). Wetenschap bloeit door vragen uit de praktijk: interview door Paul Jurriëns [Print] 125 jaar Actuarieel Genootschap : 1888-2013, Actuarieel Genootschap. Wetenschap bloeit door vragen uit de praktijk: interview door Paul Jurriëns.

2018

2017

  • de Kort, J. P. (2017). Essays on long-term mortality and interest rate risk [details] 

2015

  • van Berkum, F., Antonio, K., & Vellekoop, M. (2015). A Bayesian joint model for population and portfolio-specific mortality. (Netspar Discussion Paper Series; No. DP 11/2015-034). Tilburg: Netspar. [details] 

2013

  • van Berkum, F., Antonio, K., & Vellekoop, M. (2013). Structural changes in mortality rates: with an application to Dutch and Belgian data. (AFI Research Report; No. AFI_1379). Leuven: KU Leuven. [details] 

2009

  • Vellekoop, M., & Davis, M. (2009). An optimal investment problem with randomly terminating income. Amsterdam: Universiteit van Amsterdam. [details] 
  • Vellekoop, M., & Nieuwenhuis, J. W. (2009). The early exercise premium for American put options on stocks with dividends. Amsterdam: Faculteit Economie en Bedrijfskunde. [details] 
  • Jourdain, B., & Vellekoop, M. (2009). Regularity of the exercise boundary for American put options on assets with discrete dividends. Amsterdam: Faculteit Economie en Bedrijfskunde. [details] 

2008

  • Chen, A., Pelsser, A. A. J., & Vellekoop, M. H. (2008). Approximate solutions for indifference pricing with general utility functions. Amsterdam: Faculteit Economie en Bedrijfskunde.
  • Chen, A., Pelsser, A., & Vellekoop, M. (2008). Approximate solutions for indifference pricing under general utility functions. Amsterdam: Faculteit Economie en Bedrijfskunde. [details] 
  • Chen, A., Pelsser, A., & Vellekoop, M. (2008). Optimal investment and indifference pricing when risk aversion is not monotone: SAHARA utility functions. Amsterdam: Faculteit Economie en Bedrijfskunde. [details] 
This list of publications is extracted from the UvA-Current Research Information System. Questions? Ask the library  or the Pure staff  of your faculty / institute. Log in to Pure  to edit your publications. Log in to Personal Page Publication Selection tool  to manage the visibility of your publications on this list.
  • All Options
    Geven van cursus
  • Michel Vellekoop Consultancy
    Consultant

edit contact information edit tabs