Actuarial Science and Financial Mathematics seminar series

Seminars listed as To Be Announced (TBA) will be updated as their title and abstracts become available.


Upcoming 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

Multivariate stress testing by change of measure

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

Multi-population longevity modeling with Gaussian Processes

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

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

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

February 22, 2019

Start: 10:30 a.m.

Location: M3 3127

Tim Boonen

University of Amsterdam

Equilibrium recoveries in insurance markets with limited liability