|
31 October 2024
Mark Podolskij, University of Luxembourg
Title: Statistical inference for low rank volatility
|
|
16 October 2024
Bert Zwart, CWI Amsterdam & Eindhoven University of Technology
Title: Optimization under rare events: scaling laws for linear chance-constrained programs
|
|
3 October 2024
Dimitrios Konstantinides, University of the Aegean
Title: Joint tail of randomly weighted sums under generalized quasi asymptotic independence
|
|
5 September 2024
Goran Peskir, University of Manchester
Title: The Gapeev-Shiryaev Conjecture
|
|
8 August 2024
Zhaojun Yang, Southern University of Science and Technology
Title: Optimal ownership and capital structure with agency conflicts and debt renegotiation
|
|
4 July 2024
Bertrand Tavin, Emlyon Business School
Title: Futures-based models in commodity markets: from the Samuelson effect to implied correlation
|
|
13 June 2024
Arthur Charpentier, Université du Québec à Montréal
Title: Using optimal transport to quantify and mitigate unfair insurance predictions
|
|
8 May 2024
Silvana Pesenti, University of Toronto
Title: Optimal Robust Reinsurance with Multiple Insurers
|
|
2 May 2024
Josef Teichmann, ETH Zurich
Title: Learning Robust Portfolio Strategies
|
|
2 May 2024
Afzal Siddiqui, Stockholm University
Title: Strategic Sector Coupling? Market Power in Heat and Power Markets
|
|
25 April 2024
Marina Di Giacinto, University of Cassino and Southern Lazio
Title: Multiple executions in competition
|
|
25 April 2024
Claudio Tebaldi, Bocconi University
Title: Scale-consistent rational planning
|
|
3 April 2024
Sigrid Källblad Nordin, KTH
Title: Adapted Wasserstein distance between the laws of SDEs
|
|
13 March 2023
Gudmund Pammer, ETH Zurich
Title: Calibration of the (geometric) Bass Local Volatility model
|
|
7 March 2024
Mario V. Wüthrich, ETH Zurich
Title: Experience rating in insurance pricing
|
|
22 February 2024
Rafael Serrano, Universidad del Rosario
Title: Equilibrium premium strategies in a competitive non-cooperative insurance market
|
|
8 February 2024
Hein Putter, Leiden University
Title: Multi-state models: Beware the Markov assumption!
|
|
18 January 2024
Harry Zheng, Imperial College London
Title: Utility maximization with periodic evaluations
|
|
14 December 2023
Johannes Wiesel, Carnegie Mellon University
Title: Martingale Schrödinger bridges
|
|
7 December 2023
Alois Pichler, TU Chemnitz
Title: Uniform Function Estimators in Reproducing Kernel Hilbert Spaces with applications in stochastic optimization
|
|
19 October 2023
Sergey Foss, Heriot-Watt University
Title: Maxima sampling on random time intervals for heavy-tailed compound renewal and Lévy processes
|
|
5 October 2023
Jan Beirlant, KU Leuven
Title: Estimation of tail parameters with missing largest observations
|
|
7 September 2023
Pierre Nyquist, KTH
Title: Large deviations for Markov chain Monte Carlo methods: the surprisingly curious case of the Metropolis-Hastings algorithm
|
|
29 June 2023
Jae Kyung Woo, UNSW Sidney
Title: What is the average surplus before ruin?
|
|
29 June 2023
Eric C.K. Cheung, UNSW Sidney
Title: Bivariate Laguerre series approach to insurance risk models: Joint ruin probability and finite-time ruin probability
|
|
29 June 2023
Gaurav Khemka, Australian National University
Title: A Simple Lifecycle Strategy that Requires No Rebalancing
|
|
8 June 2023
Filip Lindskog, Stockholm University
Title: Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells
|
|
7 June 2023
Mehdi Jabbari Nooghabi, Ferdowsi University of Mashhad
Title: Estimation of the Premium in the Contaminated Pareto Distribution and Detecting of Outliers
|
|
11 May 2023
Søren Asmussen, Aarhus University
Title: Refined behaviour of a conditioned random walk in the large deviations regime
|
|
9 March 2023
Andreas Søjmark, LSE
Title: Convergence of Stochastic Integrals on Skorokhod Space: New Results and an Application to Ruin Theory with Risky Investments
|
|
6 March 2023
Corina Constantinescu, University of Liverpool
Title: About social finance
|
|
22 February 2023
Morten Overgaard, Aarhus University
Title: On the assumption of independent right censoring
|
|
9 February 2023
Daniel Kuhn, EPFL
Title: On the Interplay of Optimal Transport and Distributionally Robust Optimization
|
|
17 January 2023
Luca De Gennaro Aquino, UCPH
Title: Portfolio selection with exploration of new investment opportunities
|
|
8 December 2022
Klaus K. Holst, Mærsk
Title: Data-driven decisions in the container logistics industry
|
|
1 December 2022
Burcu Aydoğan, RWTH Aachen University
Title: Optimal Market Making Models with Stochastic Volatility
|
|
3 November 2022
Boualem Djehiche, KTH
Title: On a Class of Time-inconsistent Optimal Stopping Problems
|
|
1 November 2022
Yevhen Havrylenko, TUM
Title: Constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model
|
|
20 October 2022
Chen Zhou, Erasmus University Rotterdam
Title: Extreme value statistics in semi-supervised models
|
|
6 October 2022
Hansjörg Albrecher, University of Lausanne
Title: Optimal ratcheting of dividends in insurance
|
|
8 September 2022
Jens Perch Nielsen, Bayes Business School
Title: Monitoring a developing pandemic with available data
|
|
25 August 2022
Sascha Desmettre, Johannes Kepler University Linz
Title: Dynamic surplus optimization with performance- and index-linked liabilities
|
|
25 August 2022
Jennifer Alonso García, Free University of Brussels
Title: A hybrid variable annuity contract embedded with living and death benefit rider
|
|
10 August 2022
Jorge Yslas, University of Liverpool
Title: Phase-type regression models
|
|
10 June 2022
Martin Bladt, University of Lausanne
Title: Randomization and statistical expert information
|
|
23 February 2022
Nacira Agram, Linnæus University
Title: Solving mean-field stochastic control problems by using deep learning
|
|
1 December 2021
Marcus C. Christiansen, Carl von Ossietzky University of Oldenburg
Title: Life insurance calculations in a non-Markovian world
|
