Seminars listed as To Be Announced (TBA) will be updated as their title and abstracts become available.
Spring 2024 Seminars
All times listed are Eastern Standard Time (EST).
| Date | Speaker | Title |
|---|---|---|
|
July 19, 2024 Start: 10:30 a.m. Location: M3 3127 |
Luhao Zhang Columbia University |
Causal transport distance and its applications in robust optimization |
Past seminars
| Date | Speaker | Title |
|---|---|---|
|
May 17, 2024 Start: 10:30 a.m. Location: M3 3127 |
Juliana Schulz HEC Montreal |
Multivariate count models based on comonotonic shocks |
|
May 3, 2024 Start: 10:30 a.m. Location: M3 3127 |
Pass Brendan University of Alberta |
Robust risk management via multi-marginal optimal transport |
|
April 26, 2024 Start: 10:30 a.m. Location: M3 3127 |
Christopher Chambers Georgetown University |
Some Results in Economics |
|
April 12, 2024 Start: 10:30 a.m. Location: M3 3127 |
Garry Khemka The Australian National University |
A Buy-Hold-Sell Pension Saving Strategy |
|
April 5, 2024 Start: 10:30 a.m. Location: M3 3127 |
Moshe Milevsky York University |
The Religious Origins of Longevity Risk Pooling |
|
March 22, 2024 Start: 10:30 a.m. Location: M3 3127 |
Felix Liebrich University of Amsterdam |
The (?) reference measure |
|
March 15, 2024 Start: 10:30 a.m. Location: M3 3127 |
Silvana Pesenti University of Toronto |
Dynamic robust risk measures with applications |
|
February 29, 2024 Start: 10:30 a.m. Location: M3 3127 |
Jean-Philippe Boucher Université du Québec à Montréal (UQAM) |
Modelling of Fire Contagion with Application in Farm Insurance |
|
December 15, 2023 Start: 10:30 a.m. Location: M3 3127 |
Marcos Escobar-Anel Western University |
Portfolio Optimization. A window into interesting problems and new developments |
|
November 30, 2023 Start: 10:30 a.m. Location: M3 3127 |
Dongchen Li York University |
Strategic Loss Underreporting: Full Insurance and Deductible Insurance |
|
November 17, 2023 Start: 10:30 a.m. Location: M3 3127 |
Xiaohu Li Stevens Institute of Technology |
Relevation Transform Models of Joint Life Insurance |
|
November 2, 2023 Start: 10:30 a.m. Location: M3 3127 |
Hong Li University of Guelph |
Pricing Catastrophe Bonds --- A Probabilistic Machine Learning Approach |
|
October 20, 2023 Start: 10:30 a.m. Location: M3 3127 |
Boudreault Mathieu Université du Québec à Montréal (UQAM) |
An Actuarial Analysis of a Canadian Flood Insurance Program |
|
October 6, 2023 Start: 10:30 a.m. Location: M3 3127 |
Gee Lee Michigan State University |
Understanding insurance risk retention using loss models |
|
May 26, 2023 Start: 10:30 a.m. Location: M3 3127 |
Arthur Charpentier L'Université du Québec à Montréal (UQAM) |
Causal Inference and Counterfactuals with Optimal Transport With Applications in Fairness and Discrimination |
|
April 21, 2023 Start: 10:30 a.m. Location: M3 3127 |
Karim Barigou Université Laval |
Insurance valuation: a two-step generalized regression approach |
|
April 14, 2023 Start: 10:30 a.m. Location: M3 3127 |
Aleksandr Zimin MIT |
Beckmann's approach to multi-item multi-bidder auctions |
|
March 31, 2023 Start: 10:30 a.m. Location: M3 3127 |
Carsten Chong Columbia University |
Statistical Inference for Rough Volatility: Central Limit Theorems Seminar |
|
March 24, 2023 Start: 10:30 a.m. Location: M3 3127 |
Hao Xing Boston University |
The Dark Side of Circuit Breakers |
|
March 3, 2023 Start: 10:30 a.m. Location: M3 3127 |
Richard Peter University of Iowa |
Revisiting optimal insurance design under smooth ambiguity aversion |
|
Decemeber 2, 2022 Start: 10:30 a.m. Location: M3 3127 |
Alfred Chong Heriot-Watt University |
Forward Preferences in 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 |
|
November 4, 2022 Start: 10:30 a.m. Location: M3 3127 |
Daniel Bauer University of Wisconsin-Madison |
Dynamic Capital Allocation in General Insurance |
|
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 |
|
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 |
|
September 23, 2022 Start: 10:30 a.m. Location: M3 3127 |
Ajay Subramanian Georgia State University |
Insurer Capital and Organizational Forms in Market Equilibrium |
|
June 3, 2022 Start: 10:00 a.m. Location: Online |
Frank Riedel Bielefeld University |
Trading Models |
|
May 13, 2022 Start: 10:00 a.m. Location: Online |
Thorsten Moenig Temple University |
Basis Risk in Variable Annuities |
|
May 6, 2022 Start: 10:00 a.m. Location: Online |
Erhan Bayraktar University of Michigan |
Countercyclical Unemployment Benefits: General Equilibrium Analysis of Transition Dynamics |
|
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 |
|
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 1, 2022 Start: 10:00 a.m. Location: Online |
Damir Filipović École Polytechnique Fédérale de Lausanne (EPFL) andSwiss Finance Institute |
Stripping the Discount Curve - a Robust Machine Learning Approach |
|
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 |
|
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 4, 2022 Start: 10:00 a.m. Location: Online |
Mitja Stadje Ulm University |
Optimal portfolio choice under endogenous permanent market impacts |
|
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 |
|
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 |
|
October 29, 2021 Start: 10:00 a.m. Location: Online |
Jan Dhaene KU Leuven |
Fair valuation of insurance liabilities |
|
October 15, 2021 Start: 10:00 a.m. Location: Online |
Steven Vanduffel Vrije Universiteit Brussel |
The optimal payoff for a Yaari investor |
|
October 1, 2021 Start: 10:00 a.m. Location: Online |
Andreas Tsanakas Cass Business School, City University London |
|
|
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 |
|
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 |
|
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 |
|
April 30, 2021 Start: 11:00 a.m. Location: Online |
Mike Ludkovski University of California, Santa Barbara |
|
|
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 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 9, 2021 Start: 10:00 a.m. Location: Online |
An Chen University of Ulm |
Linking risk management under expected shortfall to loss-averse behavior |
|
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 |
|
March 12, 2021 Start: 10:00 a.m. Location: Online |
Michel Denuit Université catholique de Louvain |
Risk reduction by conditional mean risk sharing |
|
March 5, 2021 Start: 10:00 a.m. Location: Online |
Pablo Koch-Medina University of Zurich |
Law-invariant functionals that collapse to the mean |
|
February 26, 2021 Start: 10:00 a.m. Location: Online |
Ludger Ruschendorf University of Freiburg |
Evaluation of risks under dependence uncertainty |
|
February 12, 2021 Start: 10:00 a.m. Location: Online |
Virginia Young University of Michigan |
Optimal dividend problem: asymptotic analysis |
|
December 4, 2020 Start: 10:30 a.m. Location: Online |
Xunyu Zhou Columbia University |
Temperature Control for Langevin Diffusions |
|
November 27, 2020 Start: 10:30 a.m. Location: Online |
Alfred Chong University of Illinois at Urbana-Champaign |
Risk Sharing with Multiple Indemnity Environments |
|
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 13, 2020 Start: 10:30 a.m. Location: Online |
Peng Shi University of Wisconsin-Madison |
Assessing Hail Risk for Property Insurers |
|
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 |
|
October 30, 2020 Start: 10:00 a.m. Location: Online |
Roger Laeven University of Amsterdam |
Robust Multiple Stopping |
|
October 23, 2020 Start: 10:00 a.m. Location: Online |
Johanna Ziegel University of Bern |
Distributional (Single) Index Models |
|
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 9, 2020 Start: 10:30 a.m. Location: Online |
Nan Zhu Penn State University |
The efficiency of voluntary risk classification in insurance markets |
|
October 2, 2020 Start: 10:30 a.m. Location: Online |
Emiliano Valdez University of Connecticut |
Analysis of Prescription Drug Utilization with Beta Regression Models |
|
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 |
|
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 4, 2020 10:30am- 11:30 a.m. Location: Online |
Qihe Tang University of New South Wales |
Insurance Risk Analysis of Financial Networks |
|
August 21, 2020 10:30am- 11:30 a.m. Location: Online |
Martin Larsson Carnegie Mellon University |
Optimal supermartingales for anytime-valid sequential testing |
|
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 |
|
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 |
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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 8, 2019 Start: 10:30 a.m. Location: M3 3127 |
Foivos Xanthos Ryerson University |
Transformed norm risk measures on their natural domain |
|
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 |
|
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 |
|
September 26th, 2019 Start: 4:15 p.m. Location: STC 0050 |
Hans Foellmer Humboldt University |
Optimal Transport, Entropy, and Risk Measures on Wiener space |
|
September 13, 2019 Start: 10:30 a.m. Location: M3 3127 |
Silvana Pesenti University of Toronto |
Robust Distortion Risk Measures |
|
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 |
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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 |
|
May 10, 2019 Start: 10:30 a.m. Location: M3 3127 |
Niushan Gao Ryerson University |
SURPLUS-INVARIANT RISK MEASURES ON ROBUST MODEL SPACES |
|
May 3, 2019 Start: 10:30 a.m. Location: M3 3127 |
Vali Asimit Cass Business School |
Optimisation under Uncertainty |
|
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 |
|
April 5, 2019 Start: 10:30 a.m. Location: M3 3127 |
Yuchong Zhang University of Toronto |
Conditional Optimal Stopping: A Time-Inconsistent Optimization |
|
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 |
|
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 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 |
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February 22, 2019 Start: 10:30 a.m. Location: M3 3127 |
Tim Boonen University of Amsterdam |
Equilibrium recoveries in insurance markets with limited liability |