dhr. prof. dr. ir. M.H. (Michel) Vellekoop
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Faculteit Economie en Bedrijfskunde
Sectie Actuarial Science
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Valckenierstraat
65
1018 XE Amsterdam
Kamernummer: JK 2.21
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m.h.vellekoop@uva.nl
T: 0205254210
"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
Market Consistent Pricing and Embedded Value
Seminar Market Consistent Pricing
Leven Actuariaat II
Asset Pricing II (Tinbergen Insitute)
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)
- refereed(10)
- wetenschappelijk(2)
- vakpublicatie(5)
- populair wetenschappelijk(1)
- working papers / preprints(7)
2015
- J. Dhaene, B. Stassen, P. Devolder & M. Vellekoop (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
- F. van Berkum, K. Antonio & M.H. Vellekoop (in press). The impact of multiple structural changes on mortality predictions. Scandinavian Actuarial Journal. doi: 10.1080/03461238.2014.987807
2013
- J. Cui, B. Oldenkamp & M. Vellekoop (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
2011
- M.H. Vellekoop & J.W. Nieuwenhuis (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
- B. Jourdain & M.H. Vellekoop (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[go to publisher's site]
- A. Chen, A. Pelsser & M. Vellekoop (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
- O.E. Goettsche & M.H. Vellekoop (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
2010
- V. Minina & M. Vellekoop (2010). A risk reserve model for hedging in incomplete markets. Journal of Economic Dynamics & Control, 34 (7), 1233-1247. doi: 10.1016/j.jedc.2010.02.005
- M. Vellekoop (2010). Forwards and futures. In R. Cont (Ed.), Encyclopedia of quantitative finance (Vol. 2 E-J) (pp. 773-778). New York: John Wiley & Sons.
2009
- M. Vellekoop & H. Nieuwenhuis (2009). A tree-based method to price American options in the Heston model. Journal of Computational Finance, 13 (1), 1-21.
2009
- M. Vellekoop & M. Davis (2009). An optimal investment problem with randomly terminating income. In Proceedings of the 48th CDC Conference (pp. 3650-3655). Shanghai.
- M. Vellekoop & G. Vlaming (2009). Pricing American options with the SABR model. In Proceedings of the 2009 IEEE International Symposium on Parallel and Distributed Processing. Rome.
2014
- W. de Boer, H.W.M. van Broekhoven, E.B.B. Kromme, T.J.W. Schulteis, M.H. Vellekoop, R.W.J. de Vries, B.J.M. Werker & M.R. van der Winden (2014). Prognosetafel AG2014. (extern rapport). Utrecht: Koninklijk Actuarieel Genootschap.
2013
- R.J.A. Laeven, L. Spierdijk, A.A.J. Pelsser & M.H. Vellekoop (2013). Wetenschap bloeit door vragen uit de praktijk. In 125 jaar Actuarieel Genootschap (pp. 31-35). Actuarieel Genootschap.
- S. de Crom, R. Dijk, A. Kock-De Kreuk, M. Vellekoop & N. Vermeijden (2013). Externe mitigatie van langlevenrisico: ook nu relevant. Actuaris, 20 (6), 34-35.
2012
- M.H. Vellekoop (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.
2011
- S. de Crom, A. de Kreuk, R. van Dijk, M. Vellekoop & N. Vermeijden (2011). Marktoplossingen voor langlevenrisico. (extern rapport, Netspar Economische Adviezen (NEA Paper), no 42). Tilburg: Netspar.
2009
- M.H. Vellekoop (2009). De Financieel Wiskundige. Pythagoras, 49 (2), 6-9.
2013
- F. van Berkum, K. Antonio & M. Vellekoop (2013). Structural changes in mortality rates: with an application to Dutch and Belgian data. (Preprints, AFI Research Report, no AFI_1379). Leuven: KU Leuven.
2009
- M. Vellekoop & M. Davis (2009). An optimal investment problem with randomly terminating income. (intern rapport). Amsterdam: Universiteit van Amsterdam.[go to publisher's site]
- B. Jourdain & M. Vellekoop (2009). Regularity of the exercise boundary for American put options on assets with discrete dividends. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.
- M. Vellekoop & J.W. Nieuwenhuis (2009). The early exercise premium for American put options on stocks with dividends. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.
2008
- A. Chen, A. Pelsser & M. Vellekoop (2008). Approximate solutions for indifference pricing under general utility functions. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.
- A. Chen, A. Pelsser & M. Vellekoop (2008). Optimal investment and indifference pricing when risk aversion is not monotone: SAHARA utility functions. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.
- A. Chen, A.A.J. Pelsser & M.H. Vellekoop (2008). Approximate solutions for indifference pricing with general utility functions. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.
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