February 22, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Tim Boonen
University of Amsterdam
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Equilibrium recoveries in insurance markets with limited liability
|
March 8, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Ed Furman
York University
|
Risk Aggregation: A General Approach via the Class of Generalized Gamma Convolutions |
March 15, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Runhuan Feng
University of Illinois at Urbana-Champaign
|
Modeling Winning Streaks in Financial Markets & Sample Recycling Method for Nested Stochastics |
March 29, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Marie-Pier Cote
Laval University
|
Background risk model and inference based on ranks of residuals |
April 5, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Yuchong Zhang
University of Toronto
|
Conditional Optimal Stopping: A Time-Inconsistent Optimization |
April 9, 2019
Start: 4:00 p.m.
Location: M3 3127
|
Marcel Nutz
Columbia University
|
Convergence to the Mean Field Game Limit: A Case Study |
May 3, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Vali Asimit
Cass Business School
|
Optimisation under Uncertainty |
May 10, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Niushan Gao
Ryerson University
|
SURPLUS-INVARIANT RISK MEASURES ON ROBUST MODEL SPACES
|
June 14, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Ajay Subramanian
J. Mack Robinson College of Business at Georgia State University
|
Aggregate Risk and Bank Regulation in General Equilibrium |
July 22, 2019
Start: 4:00 p.m.
Location: M3 3127
|
Daniel Bauer
University of Wisconsin-Madison, School of Business
|
Negative Marginal Option Values: The Interaction of Frictions and Option Exercise in Variable Annuities |
September 13, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Silvana Pesenti
University of Toronto
|
Robust Distortion Risk Measures
|
September 26th, 2019
Start: 4:15 p.m.
Location: STC 0050
|
Hans Foellmer
Humboldt University
|
Optimal Transport, Entropy, and Risk Measures on Wiener space
|
October 11, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Paul Glasserman
Columbia University
|
Precision Factor Investing: Avoiding Factor Traps by Predicting Heterogeneous Effects of Firm Characteristics |
October 25, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Fabio Bellini
Università degli Studi di Milano-Bicocca
|
On the properties of Lambda-quantiles |
November 8, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Foivos Xanthos
Ryerson University
|
Transformed norm risk measures on their natural domain |
November 15, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Arthur Charpentier
Université du Québec à Montréal
|
Insurance Pricing in a Competitive Market |
November 22, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Mathieu Boudreault
Université du Québec à Montréal
|
Do Jumps Matter in the Long Run? A Tale of Two Horizons |
November 29, 2019
Start: 10:30 a.m.
Location: M3 3127
|
Yang Lu
University of Paris 13
|
Noncausal Affine Processes with Applications to Derivative Pricing |
August 21, 2020
10:30am- 11:30 a.m.
Location: Online
|
Martin Larsson
Carnegie Mellon University
|
Optimal supermartingales for anytime-valid sequential testing |
September 4, 2020
10:30am- 11:30 a.m.
Location: Online
|
Qihe Tang
University of New South Wales
|
Insurance Risk Analysis of Financial Networks
|
September 11, 2020
10:00am – 11:00 a.m.
Location: Online
|
Hansjoerg Albrecher
Université de Lausanne
|
On the profitability of selfish blockchain mining under consideration of ruin
|
September 18, 2020
10:30am- 11:30 a.m.
Location: Online
|
Jean-François Renaud
Université du Québec à Montréal, UQAM
|
De Finetti's optimal dividends problem with linearly bounded payment rates
|
October 2, 2020
Start: 10:30 a.m.
Location: Online
|
Emiliano Valdez University of Connecticut
|
Analysis of Prescription Drug Utilization with Beta Regression Models
|
October 9, 2020
Start: 10:30 a.m.
Location: Online
|
Nan Zhu Penn State University
|
The efficiency of voluntary risk classification in insurance markets
|
October 16, 2020
Start: 10:00 a.m.
Location: Online
|
Alfred Muller University of Siegen
|
Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference
|
October 23, 2020
Start: 10:00 a.m.
Location: Online
|
Johanna Ziegel University of Bern
|
Distributional (Single) Index Models
|
October 30, 2020
Start: 10:00 a.m.
Location: Online
|
Roger Laeven University of Amsterdam
|
Robust Multiple Stopping |
November 6, 2020
Start: 9:00 a.m.
Location: Online
|
KC Cheung Hong Kong University
|
Asymptotic sub/super-additivity of Value-at-Risk under extreme-value copulas and Archimedean copulas |
November 13, 2020
Start: 10:30 a.m.
Location: Online
|
Peng Shi University of Wisconsin-Madison
|
Assessing Hail Risk for Property Insurers |
November 20, 2020
Start: 10:30 a.m.
Location: Online
|
Anne MacKay Université du Québec à Montréal
|
Fee structure and optimal investment mix in variable annuities
|
November 27, 2020
Start: 10:30 a.m.
Location: Online
|
Alfred Chong University of Illinois at Urbana-Champaign
|
Risk Sharing with Multiple Indemnity Environments |
December 4, 2020
Start: 10:30 a.m.
Location: Online
|
Xunyu Zhou Columbia University
|
Temperature Control for Langevin Diffusions
|
February 12, 2021
Start: 10:00 a.m.
Location: Online
|
Virginia Young University of Michigan
|
Optimal dividend problem: asymptotic analysis
|
February 26, 2021
Start: 10:00 a.m.
Location: Online
|
Ludger Ruschendorf University of Freiburg
|
Evaluation of risks under dependence uncertainty
|
March 5, 2021
Start: 10:00 a.m.
Location: Online
|
Pablo Koch-Medina University of Zurich
|
Law-invariant functionals that collapse to the mean
|
March 12, 2021
Start: 10:00 a.m.
Location: Online
|
Michel Denuit Université catholique de Louvain
|
Risk reduction by conditional mean risk sharing
|
March 19, 2021
Start: 10:00 a.m.
Location: Online
|
Valérie Chavez Demoulin Université de Lausanne
|
Modelling the Extremes of Seasonal Viruses and Hospital Congestion: The Example of Flu in a Swiss Hospital
|
April 9, 2021
Start: 10:00 a.m.
Location: Online
|
An Chen University of Ulm
|
Linking risk management under expected shortfall to loss-averse behavior
|
April 16, 2021
Start: 10:30 a.m.
Location: Online
|
Patrick Cheridito ETH Zurich
|
Assessing asset-liability risk and the numerical approximation of conditional expectations
|
April 23, 2021
Start: 10:30 a.m.
Location: Online
|
Etienne Marceau Laval University
|
Lundberg–Aumann–Serrano index of riskiness and ruin-based risk measures
|
April 30, 2021
Start: 11:00 a.m.
Location: Online
|
Mike Ludkovski University of California, Santa Barbara
|
Multi-population longevity modeling with Gaussian Processes
|
May 7, 2021
Start: 10:30 a.m.
Location: Online
|
Erick Delage HEC Montreal
|
Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures
|
September 10, 2021
Start: 10:00 a.m.
Location: Online
|
Catherine Donnelly Heriot-Watt University
|
Pooled annuity funds: a solution to the UK decumulation crisis
|
September 24, 2021
Start: 10:00 a.m.
Location: Online
|
Christian Y. Robert École nationale de la statistique et de l'administration économique Paris (ENSAE)
|
Conditional mean risk sharing in the individual model for dependent losses
|
October 1, 2021
Start: 10:00 a.m.
Location: Online
|
Andreas Tsanakas Cass Business School, City University London
|
Multivariate stress testing by change of measure
|
October 15, 2021
Start: 10:00 a.m.
Location: Online
|
Steven Vanduffel Vrije Universiteit Brussel
|
The optimal payoff for a Yaari investor
|
October 29, 2021
Start: 10:00 a.m.
Location: Online
|
Jan Dhaene KU Leuven
|
Fair valuation of insurance liabilities
|
November 12, 2021
Start: 10:00 a.m.
Location: Online
|
Łukasz Delong Warsaw School of Economics
|
Gamma Mixture Density Networks and their application to modelling insurance claim amounts
|
November 26, 2021
Start: 10:00 a.m.
Location: Online
|
Katrien Antonio KU Leuven |
Dynamically updating motor insurance prices with telematics collected driving behavior data |
December 3, 2021
Start: 10:00 a.m.
Location: Online
|
José Garrido Concordia University
|
Cancelled
|
March 4, 2022
Start: 10:00 a.m.
Location: Online
|
Mitja Stadje Ulm University
|
Optimal portfolio choice under endogenous permanent market impacts
|
March 11, 2022
Start: 11:00 a.m.
Location: Online
|
Renyuan Xu University of Southern California
|
Reinforcement Learning in the Linear-Quaratic Framework: from Single-agent, to Multi-agent, and to Mean-field
|
March 18, 2022
Start: 10:00 a.m.
Location: Online
|
Caroline Hillairet École Nationale de la Statistique et de L'Administration Économique (ENSAE)
|
Valuation of cyber-insurance derivatives indexed by Hawkes processes
|
April 1, 2022
Start: 10:00 a.m.
Location: Online
|
Damir Filipović École Polytechnique Fédérale de Lausanne (EPFL) and Swiss Finance Institute
|
Stripping the Discount Curve - a Robust Machine Learning Approach
|
April 8, 2022
Start: 10:00 a.m.
Location: Online
|
Jennifer Alonso Garcia Université Libre de Bruxelles
|
A hybrid variable annuity contract embedded with living and death benefit riders
|
April 29, 2022
Start: 10:00 a.m.
Location: Online
|
Rudi Zagst Technical University of Munich
|
Optimal investment strategies for pension funds in the absence of guarantees
|
May 6, 2022
Start: 10:00 a.m.
Location: Online
|
Erhan Bayraktar University of Michigan
|
Countercyclical Unemployment Benefits: General Equilibrium Analysis of Transition Dynamics
|
May 13, 2022
Start: 10:00 a.m.
Location: Online
|
Thorsten Moenig Temple University
|
Basis Risk in Variable Annuities
|
June 3, 2022
Start: 10:00 a.m.
Location: Online
|
Frank Riedel Bielefeld University
|
Trading Models
|
September 23, 2022
Start: 10:30 a.m.
Location: M3 3127
|
Ajay Subramanian Georgia State University
|
Insurer Capital and Organizational Forms in Market Equilibrium
|
October 7, 2022
Start: 10:30 a.m.
Location: M3 3127
|
Zhiwei Tong University of Iowa
|
The Gradient Allocation Principle based on the Higher Moment Risk Measure
|
October 21, 2022
Start: 10:30 a.m.
Location: M3 3127
|
Tim Boonen University of Amsterdam
|
Optimal (re)insurance risk sharing: the effect of multiple insurers or reinsurers
|
November 4, 2022
Start: 10:30 a.m.
Location: M3 3127
|
Daniel Bauer University of Wisconsin-Madison
|
Dynamic Capital Allocation in General Insurance
|
November 18, 2022
Start: 10:30 a.m.
Location: M3 3127
|
Jean-François Bégin Simon Fraser University
|
New Developments in Economic Scenario Generator Modelling
|
Decemeber 2, 2022
Start: 10:30 a.m.
Location: M3 3127
|
Alfred Chong Heriot-Watt University
|
Forward Preferences in Insurance
|
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