Prof. dr. ir. M.H. (Michel) Vellekoop
Faculty of Economics and Business
Section Quantitative Economics
Visiting address
- Roetersstraat 11
- Room number: 4.24
Postal address
- Postbus 15867
1001 NJ Amsterdam
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Profile
"The gap between theory and practice usually turns out to be larger in practice than in theory"
Positions
Full Professor
Head of the Section Quantitative Economics
Director of Research for the ASMF GroupResearch programme
Actuarial Science & Mathematical Finance
Research interests
Stochastic Processes, Longevity Models, Contingent Claim Pricing
Dissertation title
Rapid Detection and Estimation of Abrupt Changes by Nonlinear Filtering (Imperial College, 1998)
Prizes and honours
Awarded a 500.000 euro grant from Netspar for the period 2009-2012.
Awarded a 500.000 euro grant from Netspar for the period 2013-2016.
SIGEST best paper award of SIAM, the Society for Industrial and Applied Mathematics (2006)Corporate ties
Director of Research, the Derivatives Technology Foundation
Curriculum Vitae
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Teaching
Course materials are available through the UvA Canvas Server
Teaching activities
Current year
Financial Mathematics for Insurance
Research Seminar Actuarial Science and Mathematical Finance
Asset Pricing (M.Phil)
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Other activities
Participation in academic networks
Coordinator of Netspar Themes Reconciling Short Term Risks and Long Term Goals for Retirement Provisions and Risk Management for Funded Pension Systems
Director of the Actuarial Science & Mathematical Finance research programme of the Amsterdam School of Economics
Member of AMaMeF, the European Science Foundation's research programme on Advanced Mathematical Methods in Finance
Organiser of the yearly Winterschool Mathematical Finance (with Peter Spreij, FNWI)Various activities
Former Member of the Senate of the University of Amsterdam
Former Director of Research for the Derivatives Technology Foundation
Scientific Member & Vice-Chairman of the Mortality Research Committee of the Dutch Actuarial Society (CSO)
Member of the Dutch Mathematical Society (Board member 2001-2005)
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Publications
- refereed (29)
- academic (5)
- professional (15)
- popular scientific (1)
- recognitions (1)
- supervised theses (5)
- working papers / preprints (9)
2022
Vellekoop, M., & Gaudenzi, M. (2022). Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices. SIAM Journal on Financial Mathematics, 13(2), 491-520. https://doi.org/10.1137/21M1393303 [details]
2021
- van Berkum, F., Antonio, K., & Vellekoop, M. (2021). Quantifying longevity gaps using micro-level lifetime data. Journal of the Royal Statistical Society. Series A: Statistics in Society, 184(2), 548-570. https://doi.org/10.1111/rssa.12631 [details]
2020
- Li, Z. M., Laeven, R. J. A., & Vellekoop, M. H. (2020). Dependent microstructure noise and integrated volatility estimation from high-frequency data. Journal of Econometrics, 215(2), 536-558. https://doi.org/10.1016/j.jeconom.2019.10.004 [details]
2017
- Antonio, K., Devriendt, S., de Boer, W., de Vries, R., De Waegenaere, A., Kan, H-K., Kromme, E., Ouburg, W., Schulteis, T., Slagter, E., van der Winden, M., van Iersel, C., & Vellekoop, M. (2017). Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard. European Actuarial Journal, 7(2), 297-336. https://doi.org/10.1007/s13385-017-0159-x [details]
- Chen, A., & Vellekoop, M. (2017). Optimal investment and consumption when allowing terminal debt. European Journal of Operational Research, 258(1), 385-397. https://doi.org/10.1016/j.ejor.2016.09.012 [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. https://doi.org/10.1017/asb.2017.17 [details]
2016
- de Kort, J., & Vellekoop, M. H. (2016). Term structure extrapolation and asymptotic forward rates. Insurance: Mathematics & Economics, 67, 107-119. https://doi.org/10.1016/j.insmatheco.2015.11.001 [details]
- van Berkum, F., Antonio, K., & Vellekoop, M. (2016). The impact of multiple structural changes on mortality predictions. Scandinavian Actuarial Journal, 2016(7), 581-603. https://doi.org/10.1080/03461238.2014.987807 [details]
2015
- 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. https://doi.org/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. https://doi.org/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. https://doi.org/10.1016/j.jet.2011.06.011 [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. https://doi.org/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. https://doi.org/10.1137/100800889 [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. https://doi.org/10.1080/17442508.2010.533179 [details]
2010
- Minina, V., & Vellekoop, M. (2010). A risk reserve model for hedging in incomplete markets. Journal of Economic Dynamics & Control, 34(7), 1233-1247. https://doi.org/10.1016/j.jedc.2010.02.005 [details]
- Vellekoop, M. (2010). Forwards and futures. In R. Cont (Ed.), Encyclopedia of quantitative finance (Vol. 2 E-J) (pp. 773-778). New York: John Wiley & Sons. https://doi.org/10.1002/9780470061602.eqf05003 [details]
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]
2007
- Vellekoop, M. H., & Nieuwenhuis, J. W. (2007). Efficient Pricing of Derivatives on Assets with Discrete Dividends. Applied Mathematical Finance, 13(3), 265-284. https://doi.org/10.1080/13504860600563077
- Vellekoop, M. H., & Nieuwenhuis, J. W. (2007). On Option Pricing Models in the Presence of Heavy Tails. Quantitative Finance, 7, 563-573. https://doi.org/10.1080/14697680601077967
2006
- Vellekoop, M. H., & Clark, J. M. C. (2006). A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods. SIAM review, 48(2), 329-356. https://doi.org/10.1137/050647438
- Vellekoop, M. H., Post, B. A., & van de Kamp, A. A. (2006). Pricing and hedging guaranteed returns on mix funds. Insurance: Mathematics & Economics, 38, 585-598. https://doi.org/10.1016/j.insmatheco.2005.12.003
2004
- Vellekoop, M. H., & Nieuwenhuis, J. W. (2004). Weak convergence of tree methods, to price options on defaultable assets. Decisions in Economics and Finance, 27, 87-107. https://doi.org/10.1007/s10203-004-0043-4
2003
- Vellekoop, M. H., & Clark, J. M. C. (2003). A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods. SIAM Journal on Control and Optimization, 42(2), 469-494. https://doi.org/10.1137/S0363012900375950
2002
- Hoogland, J. K., Neumann, C. D., & Vellekoop, M. H. (2002). Symmetries in Jump-Diffusion models with Applications in Option Pricing and Credit Risk. International Journal of Theoretical and Applied Finance, 6(2), 135-172. https://doi.org/10.1142/S0219024903001803
2001
- Vellekoop, M. H., & Clark, J. M. C. (2001). Optimal Speed of Detection in generalized Wiener Disorder Problems. Stochastic Processes and their Applications, 95, 25-54. https://doi.org/10.1016/S0304-4149(01)00098-9
1997
- Vellekoop, M. H., & Bagchi, A. (1997). Adaptive Identification of Continuous Time Systems in the Presence of Noise. The International Journal of Control, 68(1), 171-196. https://doi.org/10.1080/002071797223785
- Vellekoop, M. H., & Hognas, G. (1997). A Unifying Framework for Chaos and Stochastic Stability in Population Models. Journal of Mathematical Biology, 35, 557-588. https://doi.org/10.1007/s002850050066
1995
- Vellekoop, M. H., & Davis, M. H. A. (1995). Permanent Health Insurance: a Case Study in Piecewise Deterministic Markov Modelling. Mitteilungen der Vereinigung Schweizerischer Versicherungsmathematiker, 2, 177-212.
1994
- Vellekoop, M. H., & Berglund, R. (1994). On Intervals, Transitivity = Chaos. The American Mathematical Monthly, 10, 353-355. https://doi.org/10.1080/00029890.1994.11996955
2022
- de Vries, F., Aalbers, R. F. T., van Ewijk, C., Knoef, M. G., van der Lecq, S. G., Pelsser, A. A. J., & Vellekoop, M. H. (2022). Advies Commissie Parameters 2022. Commissie Parameters. https://www.rijksoverheid.nl/documenten/rapporten/2022/11/29/bijlage-rapport-advies-commissie-parameters-2022 [details]
- van Berkum, F., Melenberg, B., & Vellekoop, M. (2022). Estimating the impact of the COVID-19 pandemic using granular mortality data. (v1 ed.) ArXiv. https://doi.org/10.48550/arXiv.2209.06473 [details]
2009
- Bokhove, O., Hurink, J., Meinsma, G., Stolk, C., & Vellekoop, M. (Eds.) (2009). Proceedings of the sixty-third European Study Group Mathematics with Industry: Enschede, The Netherlands, 28 January-1 February, 2008. Universiteit Twente. [details]
- 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 IEEE. [details]
2022
- Commissie Sterfte Onderzoek, & Werkgroep Prognosetafels (2022). Prognosetafel AG2022: Langer leven in onzekere tijden. Koninklijk Actuarieel Genootschap. https://www.actuarieelgenootschap.nl/kennisbank/prognosetafel-ag2022-2.htm [details]
- Gelderman, M., Bonenkamp, J., Diris, B., van Hoogdalem, S., Pelsser, A., Vellekoop, M. H., & Werker, B. (2022). Rapport Technische werkgroep economische scenario’s. Commissie Parameters. https://www.rijksoverheid.nl/documenten/kamerstukken/2022/02/16/rapport-technische-werkgroep-economische-scenarios [details]
2021
- Commissie Sterfte Onderzoek en Werkgroep (2021). AG2020 en de impact van de COVID-19-pandemie: Over- en ondersterfte sinds januari 2020. Koninklijk Actuarieel Genootschap. https://www.ag-ai.nl/view.php?Pagina_Id=1056 [details]
- Yang, L., Pelsser, A., & Vellekoop, M. (2021). The Recovery Potential for Underfunded Pension Plans. (Netspar Design Paper; No. 190), (Netspar Industry Series). Netspar. https://www.netspar.nl/en/publication/the-recovery-potential-for-underfunded-pension-plans/ [details]
2020
- Commissie Sterfte Onderzoek, & Werkgroep Prognosetafels (2020). Prognosetafel AG2020. Koninklijk Actuarieel Genootschap. https://www.actuarieelgenootschap.nl/kennisbank/prognosetafel-ag2020-1.htm [details]
2018
- Commissie Sterfte Onderzoek, & Werkgroep Prognosetafels (2018). Prognosetafel AG2018. Koninklijk Actuarieel Genootschap. https://www.actuarieelgenootschap.nl/kennisbank/prognosetafel-ag2018-1.htm [details]
- De Waegenaere, A., Janssen, P., Joseph, A., & Vellekoop, M. (2018). Langer zullen we delen. Actuaris, 25(6), 28-29. [details]
2017
- de Kort, J., & Vellekoop, M. H. (2017). Existence of optimal consumption strategies in markets with longevity risk. Insurance: Mathematics & Economics, 72, 107-121. https://doi.org/10.1016/j.insmatheco.2016.10.013 [details]
2016
- Commissie Sterfte Onderzoek, & Werkgroep Prognosetafels (2016). Prognosetafel AG2016. Koninklijk Actuarieel Genootschap. https://www.actuarieelgenootschap.nl/kennisbank/prognosetafel-ag2016-1.htm [details]
- Vellekoop, M., & Pelsser, A. (2016). Kansloos en geschokt. Actuaris, 23(6), 50-51. https://www.ag-ai.nl/bibliotheek-1.php?action=view&Content_Id=4277 [details]
2014
- Commissie Sterfte Onderzoek, & Werkgroep Prognosetafels (2014). Prognosetafel AG2014. Koninklijk Actuarieel Genootschap. https://www.actuarieelgenootschap.nl/kennisbank/prognosetafel-ag2014.htm [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]
2009
- Vellekoop, M. H. (2009). De Financieel Wiskundige. Pythagoras, 49(2), 6-9.
Media appearance
- Laeven, R., Vellekoop, M., Pelsser, A. & 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.
2022
2018
2015
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
- 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]
- 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]
2008
- Chen, A., Pelsser, A. A. J., & Vellekoop, M. H. (2008). Approximate solutions for indifference pricing with general utility functions. Faculteit Economie en Bedrijfskunde.
- Chen, A., Pelsser, A., & Vellekoop, M. (2008). Approximate solutions for indifference pricing under general utility functions. 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. Faculteit Economie en Bedrijfskunde. [details]
2007
- Chen, A., Pelsser, A., & Vellekoop, M. (2007). Approximate Solutions for Indifference Pricing under General Utility Functions. Faculteit Economie en Bedrijfskunde. http://www1.feb.uva.nl/pp/bin/695fulltext.pdf [details]
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Ancillary activities
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Michel Vellekoop Consultancy
Consultant -
Rijksoverheid
Commissie Parameters
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Michel Vellekoop Consultancy
Vellekoop, M., & Gaudenzi, M. (2022). Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices. SIAM Journal on Financial Mathematics, 13(2), 491-520.