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

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

March 15, 2024

Start: 10:30 a.m.

Location: M3 3127

Silvana Pesenti
University of Toronto
Dynamic robust risk measures with applications

March 22, 2024

Start: 10:30 a.m.

Location: M3 3127

Felix Liebrich
University of Amsterdam
The (?) reference measure

April 5, 2024

Start: 10:30 a.m.

Location: M3 3127

Moshe Milevsky
York University
The Religious Origins of Longevity Risk Pooling

April 12, 2024

Start: 10:30 a.m.

Location: M3 3127

Garry Khemka
The Australian National University
TBA

April 26, 2024

Start: 10:30 a.m.

Location: M3 3127

Christopher Chambers
Georgetown University
TBA

May 3, 2024

Start: 10:30 a.m.

Location: M3 3127

Pass Brendan
University of Alberta
Robust risk management via multi-marginal optimal transport

May 17, 2024

Start: 10:30 a.m.

Location: M3 3127

Juliana Schulz
HEC Montreal
TBA

Past seminars

Date Speaker Title

February 22, 2019

Start: 10:30 a.m.

Location: M3 3127

Tim Boonen

University of Amsterdam

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

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) andSwiss 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

March 3, 2023

Start: 10:30 a.m.

Location: M3 3127

Richard Peter 
University of Iowa

Revisiting optimal insurance design under smooth ambiguity aversion

March 24, 2023

Start: 10:30 a.m.

Location: M3 3127

Hao Xing
Boston University

The Dark Side of Circuit Breakers

March 31, 2023

Start: 10:30 a.m.

Location: M3 3127

Carsten Chong
Columbia University

Statistical Inference for Rough Volatility: Central Limit Theorems Seminar

April 14, 2023

Start: 10:30 a.m.

Location: M3 3127

Aleksandr Zimin
MIT

Beckmann's approach to multi-item multi-bidder auctions

April 21, 2023

Start: 10:30 a.m.

Location: M3 3127

Karim Barigou
Université Laval

Insurance valuation: a two-step generalized regression approach

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

October 6, 2023

Start: 10:30 a.m.

Location: M3 3127

Gee Lee
Michigan State University
Understanding insurance risk retention using loss models

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

November 2, 2023

Start: 10:30 a.m.

Location: M3 3127

Hong Li
University of Guelph

Pricing Catastrophe Bonds --- A Probabilistic Machine Learning Approach

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 30, 2023

Start: 10:30 a.m.

Location: M3 3127

Dongchen Li
York University
Strategic Loss Underreporting: Full Insurance and Deductible 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