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Dr M.H. Vellekoop (1971) has been named Professor of Life Insurance in the Faculty of Economics and Business at the University of Amsterdam (UvA) as of 1 September 2009.

Foto: Jeroen Oerlemans

Dr M.H. Vellekoop (1971) has been named Professor of Life Insurance in the Faculty of Economics and Business at the University of Amsterdam (UvA) as of 1 September 2009.

Michel Vellekoop is specialised in the field of financial mathematics, with work focusing on the theory behind the stochastic processes used to model financial markets. As a researcher at the UvA he will concentrate on adapting this theory for use in the pension and insurance sector, with a particular focus on identifying better methods for managing risk in insurance products.

Many of the products currently being marketed by life insurance companies and pension funds contain components that could be described as option contracts. Examples include guarantees issued on investment returns, forms of profit sharing and the option to terminate agreements prematurely or to amend them. Apart from classic insurance risks, such as the rapid rise in life expectancy and other demographic shifts, recent price fluctuations and changes in the liquidity and creditworthiness of other financial products are now playing a far greater role in insurance and pension policies. Only by integrating existing actuarial methods with general mathematical theory will it be possible to cover the current risks affecting financial markets. Aside from the continuing demand for ever-better models that take account of an array of uncertainties, it is also necessary for such models themselves to contribute to the development of practice-oriented risk management strategies. These two aspects will form a key focus of Vellekoop's research.

After earning his PhD at the Imperial College of Science, Technology and Medicine in London, Vellekoop worked as University Lecturer and Senior University Lecturer in the Department of Applied Mathematics at the University of Twente from 1998 until 2009. From 2004 he has also been Director of Research of The Derivatives Technology Foundation (TDTF), an organisation engaged in derivatives research. From 2001 until 2005 Vellekoop was a member of the Board of the Royal Mathematics Society (Koninklijk Wiskundig Genootschap). His has published in various international journals, including Stochastic Processes and Their Applications, Journal of Computational Finance and Mathematical Finance.