Alexander van Haastrecht

Alexander van Haastrecht

Owner, Van Haastrecht Consultancy

Location
Amsterdam Area, Netherlands
Industry
Insurance

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Alexander van Haastrecht's Overview

Current
  • Lecturer at AG&AI (Executive Master of Actuarial Science) at Dutch Actuarial Association (Actuarieel Genootschap)
  • Owner at Van Haastrecht Consultancy
  • Universitair Docent at Vrije Universiteit Amsterdam
Past
Education
Connections

247 connections

Alexander van Haastrecht's Summary

Alexander van Haastrecht is the owner of "Van Haastrecht Consultancy", specialized in financial and actuarial risk management for insurers and pension funds. Alexander holds a Master of Science degree in Econometrics and a PhD in Actuarial Science/Financial Mathematics at the University of Amsterdam. He combines several years of practical experience in risk management with comprehensive academic knowledge. This enables him to quickly produce suitable practical solutions for complex risk management issues.

Within insurers, he has been involved in the Pricing and Hedging of Embedded Options, Economic Scenario Generation, Solvency 2, Market Consistent Embedded Value, Variable Annuities, Product Design of Collective Pension Contracts, Asset Liability Management, Economic Capital, Stochastic Mortality Modelling, Replicating Portfolios, and many more.

Alexander took part in various academic activities. He finished his PhD thesis on the Pricing and Risk Management of Long-Term Options in 2009 and ever since has been an Assistant Professor at the VU University Amsterdam. His research has appeared in high-ranked actuarial and financial mathematics journals such as the International Journal of Theoretical and Applied Finance, Insurance: Mathematics and Economics, and Quantitative Finance. He has also published several articles in more practically oriented actuarial magazines. Finally, he has taught several courses on risk management and has been a speaker at several international seminars.

Specialties: Pricing and Hedging of Embedded Options, Internal Models, Solvency 2, Market Risks, Calibration and Generation of Economic Scenarios, Asset Liability Management, Variable Annuities, Collective Pension Contracts, Monte Carlo Simulation, Object-Oriented Programming in C++, C# and VBA.

Alexander van Haastrecht's Experience

Lecturer at AG&AI (Executive Master of Actuarial Science)

Dutch Actuarial Association (Actuarieel Genootschap)

June 2011Present (3 years 4 months)

Owner

Van Haastrecht Consultancy

May 2011Present (3 years 5 months)

Financial and actuarial risk management consultancy for insurers and pension funds.

Universitair Docent

Vrije Universiteit Amsterdam

Educational Institution; 1001-5000 employees; Research industry

November 2009Present (4 years 11 months)

Teaching courses on various aspects of Risk Management, supervision of Master students and taking part in various research projects on Actuarial and Mathematical Finance. Research interests include the Pricing and Hedging of Long-term Options, Stochastic Volatility, Solvency 2 and Asset Liability Management.

Senior Risk Manager

Delta Lloyd

Public Company; 5001-10,000 employees; Insurance industry

November 2006June 2011 (4 years 8 months)

Involved in various insurance risk management activities, such as Solvency 2, Pricing and Hedging of Equity and Inflation-Linked Variable Annuities, Economic Scenario Generation, Market-Consistent Valuation, Asset Liability Management, Insurance Underwriting Risk, Reinsurance, Replicating Portfolios.

Educational Institution; 1001-5000 employees; Research industry

September 2007August 2009 (2 years)

Finished PhD-thesis "Pricing Long-term Options with Stochastic Volatility and Stochastic Interest Rates". The thesis includes research on the risk management of equity, interest rates, foreign exchange and inflation derivatives. Several new methods are developed for the pricing and hedging of long-term options, which are able to accommodate the stochastic nature of the involved market risks in a realistic and efficient manner.

See the following links for the individual working papers:
http://ssrn.com/abstract=1125590
http://ssrn.com/abstract=1485403
http://ssrn.com/abstract=1671447
http://ssrn.com/abstract=1401550
http://ssrn.com/abstract=1576581
http://ssrn.com/abstract=1671449

Alexander van Haastrecht's Languages

  • Dutch

  • English

Alexander van Haastrecht's Skills & Expertise

  1. ALM
  2. Monte Carlo Simulation
  3. Economic Capital
  4. Solvency II
  5. Quantitative Finance
  6. Actuarial Science
  7. Market Risk
  8. Pensions
  9. Derivatives
  10. Stochastic Modeling
  11. Financial Risk
  12. Variable Annuities
  13. Risk Management
  14. Embedded Value
  15. Econometrics
  16. Financial Modeling
  17. VBA
  18. LaTeX
  19. Portfolio Management
  20. Stochastic Processes
  21. Valuation
  22. Hedging
  23. Economics
  24. Insurance
  25. Equities
  26. Quantitative Analytics

View All (26) Skills View Fewer Skills

Alexander van Haastrecht's Education

University of Amsterdam

PhD, Actuarial Science/Financial Mathematics

20072009

Vrije Universiteit Amsterdam

MSc (cum laude), Econometrics

20062007

Vrije Universiteit Amsterdam

BSc (cum laude), Mathematics (Stochastics and Financial Mathematics)

20032006

Alexander van Haastrecht's Publications

  • Pricing long-term options with stochastic interest rates and stochastic volatility

    • Phd Thesis
    • 2010
  • Een alternatief pricing model voor inflatie

    • De Actuaris
    • 2010
    Authors: Alexander van Haastrecht, Richard Plat
  • Valuation of guaranteed annuity options using a stochastic volatility model for equity prices

    • Insurance, Mathematics and Economics
    • 2010
    Authors: Alexander van Haastrecht, Richard Plat, Antoon Pelsser
  • Valuation of long-term hybrid equity-interest rate options

    • Aenorm
    • 2008
  • Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

    • Insurance, Mathematics and Economics
    • 2009
    Authors: Alexander van Haastrecht, Roger Lord, Antoon Pelsser, David Schrager
  • Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility

    • Quantitative Finance
    • 2011
    Authors: Alexander van Haastrecht, Antoon Pelsser
  • Managen van langlevenrisico

    • Pensioen Bestuur en Management
    • 2011
  • Efficient, almost exact simulation of the Heston stochastic volatility model

    • International Journal of Theoretical and Applied Finance
    • 2010
  • Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options

    • Fournal of Futures Markets
    • 2011
    Authors: Alexander van Haastrecht, Antoon Pelsser
  • A generic multi-currency model

    • Proceedings of the 2009 Actuarial and Financial Mathematics conference
    • 2009
  • On Equity-Linked Annuities

    • The Actuary
    • June 2011
  • Monte Carlo pricing in the Schöbel-Zhu model and its extensions

    • Journal of Computational Finance
    • 2014
  • Toepassing Least Squares Monte Carlo op Unit Linked met Eindgarantie

    • De Actuaris
    • 2013
  • Replication Rules

    • The Actuary
    • 2013
  • Replicating Portfolio Control Variates

    • De Actuaris
    • 2013

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