Seminars listed as To Be Announced (TBA) will be updated as their title and abstracts become available.
Fall 2023 Seminars
All times listed are Eastern Standard Time (EST).
| Date | Speaker | Title |
|---|---|---|
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October 6, 2023 Start: 10:30 a.m. Location: M3 3127 |
Gee Lee |
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October 20, 2023 Start: 10:30 a.m. Location: M3 3127 |
Boudreault Mathieu Université du Québec à Montréal (UQAM) |
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November 2, 2023 Start: 10:30 a.m. Location: M3 3127 |
Hong Li University of Guelph |
Pricing Catastrophe Bonds --- A Probabilistic Machine Learning Approach |
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November 17, 2023 Start: 10:30 a.m. Location: M3 3127 |
Xiaohu Li Stevens Institute of Technology |
Relevation Transform Models of Joint Life Insurance |
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November 30, 2023 Start: 10:30 a.m. Location: M3 3127 |
Dongchen Li York University |
Strategic Loss Underreporting: Full Insurance and Deductible Insurance |
Past seminars
| Date | Speaker | Title |
|---|---|---|
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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 |
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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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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 |
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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 |
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April 5, 2019 Start: 10:30 a.m. Location: M3 3127 |
Yuchong Zhang University of Toronto |
Conditional Optimal Stopping: A Time-Inconsistent Optimization |
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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 |
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May 3, 2019 Start: 10:30 a.m. Location: M3 3127 |
Vali Asimit Cass Business School |
Optimisation under Uncertainty |
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May 10, 2019 Start: 10:30 a.m. Location: M3 3127 |
Niushan Gao Ryerson University |
SURPLUS-INVARIANT RISK MEASURES ON ROBUST MODEL SPACES |
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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 |
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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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September 13, 2019 Start: 10:30 a.m. Location: M3 3127 |
Silvana Pesenti University of Toronto |
Robust Distortion Risk Measures |
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September 26th, 2019 Start: 4:15 p.m. Location: STC 0050 |
Hans Foellmer Humboldt University |
Optimal Transport, Entropy, and Risk Measures on Wiener space |
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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 |
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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 |
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November 8, 2019 Start: 10:30 a.m. Location: M3 3127 |
Foivos Xanthos Ryerson University |
Transformed norm risk measures on their natural domain |
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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 |
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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 29, 2019 Start: 10:30 a.m. Location: M3 3127 |
Yang Lu University of Paris 13 |
Noncausal Affine Processes with Applications to Derivative Pricing |
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August 21, 2020 10:30am- 11:30 a.m. Location: Online |
Martin Larsson Carnegie Mellon University |
Optimal supermartingales for anytime-valid sequential testing |
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September 4, 2020 10:30am- 11:30 a.m. Location: Online |
Qihe Tang University of New South Wales |
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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 |
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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 |
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October 2, 2020 Start: 10:30 a.m. Location: Online |
Emiliano Valdez |
Analysis of Prescription Drug Utilization with Beta Regression Models |
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October 9, 2020 Start: 10:30 a.m. Location: Online |
Nan Zhu |
The efficiency of voluntary risk classification in insurance markets |
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October 16, 2020 Start: 10:00 a.m. Location: Online |
Alfred Muller |
Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference |
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October 23, 2020 Start: 10:00 a.m. Location: Online |
Johanna Ziegel |
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October 30, 2020 Start: 10:00 a.m. Location: Online |
Roger Laeven |
Robust Multiple Stopping |
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November 6, 2020 Start: 9:00 a.m. Location: Online |
KC Cheung |
Asymptotic sub/super-additivity of Value-at-Risk under extreme-value copulas and Archimedean copulas |
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November 13, 2020 Start: 10:30 a.m. Location: Online |
Peng Shi |
Assessing Hail Risk for Property Insurers |
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November 20, 2020 Start: 10:30 a.m. Location: Online |
Anne MacKay |
Fee structure and optimal investment mix in variable annuities |
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November 27, 2020 Start: 10:30 a.m. Location: Online |
Alfred Chong |
Risk Sharing with Multiple Indemnity Environments |
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December 4, 2020 Start: 10:30 a.m. Location: Online |
Xunyu Zhou |
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February 12, 2021 Start: 10:00 a.m. Location: Online |
Virginia Young |
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February 26, 2021 Start: 10:00 a.m. Location: Online |
Ludger Ruschendorf |
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March 5, 2021 Start: 10:00 a.m. Location: Online |
Pablo Koch-Medina |
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March 12, 2021 Start: 10:00 a.m. Location: Online |
Michel Denuit |
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March 19, 2021 Start: 10:00 a.m. Location: Online |
Valérie Chavez Demoulin |
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April 9, 2021 Start: 10:00 a.m. Location: Online |
An Chen |
Linking risk management under expected shortfall to loss-averse behavior |
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April 16, 2021 Start: 10:30 a.m. Location: Online |
Patrick Cheridito |
Assessing asset-liability risk and the numerical approximation of conditional expectations |
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April 23, 2021 Start: 10:30 a.m. Location: Online |
Etienne Marceau |
Lundberg–Aumann–Serrano index of riskiness and ruin-based risk measures |
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April 30, 2021 Start: 11:00 a.m. Location: Online |
Mike Ludkovski |
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May 7, 2021 Start: 10:30 a.m. Location: Online |
Erick Delage |
Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures |
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September 10, 2021 Start: 10:00 a.m. Location: Online |
Catherine Donnelly |
Pooled annuity funds: a solution to the UK decumulation crisis |
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September 24, 2021 Start: 10:00 a.m. Location: Online |
Christian Y. Robert |
Conditional mean risk sharing in the individual model for dependent losses |
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October 1, 2021 Start: 10:00 a.m. Location: Online |
Andreas Tsanakas |
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October 15, 2021 Start: 10:00 a.m. Location: Online |
Steven Vanduffel |
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October 29, 2021 Start: 10:00 a.m. Location: Online |
Jan Dhaene |
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November 12, 2021 Start: 10:00 a.m. Location: Online |
Łukasz Delong |
Gamma Mixture Density Networks and their application to modelling insurance claim amounts |
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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 |
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March 4, 2022 Start: 10:00 a.m. Location: Online |
Mitja Stadje |
Optimal portfolio choice under endogenous permanent market impacts |
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March 11, 2022 Start: 11:00 a.m. Location: Online |
Renyuan Xu |
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March 18, 2022 Start: 10:00 a.m. Location: Online |
Caroline Hillairet |
Valuation of cyber-insurance derivatives indexed by Hawkes processes |
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April 1, 2022 Start: 10:00 a.m. Location: Online |
Damir Filipović |
Stripping the Discount Curve - a Robust Machine Learning Approach |
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April 8, 2022 Start: 10:00 a.m. Location: Online |
Jennifer Alonso Garcia |
A hybrid variable annuity contract embedded with living and death benefit riders |
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April 29, 2022 Start: 10:00 a.m. Location: Online |
Rudi Zagst |
Optimal investment strategies for pension funds in the absence of guarantees |
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May 6, 2022 Start: 10:00 a.m. Location: Online |
Erhan Bayraktar |
Countercyclical Unemployment Benefits: General Equilibrium Analysis of Transition Dynamics |
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May 13, 2022 Start: 10:00 a.m. Location: Online |
Thorsten Moenig |
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June 3, 2022 Start: 10:00 a.m. Location: Online |
Frank Riedel |
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September 23, 2022 Start: 10:30 a.m. Location: M3 3127 |
Ajay Subramanian |
Insurer Capital and Organizational Forms in Market Equilibrium |
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October 7, 2022 Start: 10:30 a.m. Location: M3 3127 |
Zhiwei Tong |
The Gradient Allocation Principle based on the Higher Moment Risk Measure |
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October 21, 2022 Start: 10:30 a.m. Location: M3 3127 |
Tim Boonen |
Optimal (re)insurance risk sharing: the effect of multiple insurers or reinsurers |
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November 4, 2022 Start: 10:30 a.m. Location: M3 3127 |
Daniel Bauer |
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November 18, 2022 Start: 10:30 a.m. Location: M3 3127 |
Jean-François Bégin |
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Decemeber 2, 2022 Start: 10:30 a.m. Location: M3 3127 |
Alfred Chong |
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March 3, 2023 Start: 10:30 a.m. Location: M3 3127 |
Richard Peter |
Revisiting optimal insurance design under smooth ambiguity aversion |
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March 24, 2023 Start: 10:30 a.m. Location: M3 3127 |
Hao Xing |
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March 31, 2023 Start: 10:30 a.m. Location: M3 3127 |
Carsten Chong |
Statistical Inference for Rough Volatility: Central Limit Theorems Seminar |
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April 14, 2023 Start: 10:30 a.m. Location: M3 3127 |
Aleksandr Zimin |
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April 21, 2023 Start: 10:30 a.m. Location: M3 3127 |
Karim Barigou |
Insurance valuation: a two-step generalized regression approach |
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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 |