Leeds-Liverpool joint virtual workshop (Part 3) - 25th June 2020

This is third day of the event held virtually at the University of Liverpool and jointly organized by Tiziano de Angelis (University of Leeds) and Julia Eisenberg and Ehsan Azmoodeh (University of Liverpool).

Place and Time:

Date: Thursday 25/06/2020 Time:14:00pm via Zoom  




Title of the Talk

14:00 – 14:35

Georgios Aivaliotis
(University of Leeds)

Dynamic dependence modelling for financial time series

14:40 – 14:50

Coffee break


14:50 – 15:25

Ronnie Loeffen
(University of Manchester)

Optimal switching between two spectrally negative Lévy processes to minimise ruin probability

15:25 – 16:00

Conclusions and remarks


Georgios Aivaliotis (University of Leeds)

Title: Dynamic dependence modelling for financial time series

Abstract: In this talk I will try to discuss some work in progress with regards to dependence modelling in financial time series through the use of copulas. The first part will concern two problems: a) retrospective analysis of dependence and detection of change points and b) online detection of changes in the dependence structure. In the second part, I will try to link the changes in copula to the market volatility and some macroeconomic factors such as interest rates, unemployment, GDP etc, using an array of statistical and machine learning methods.

Ronnie Loeffen (University of Manchester)

Title: Optimal switching between two spectrally negative Lévy processes to minimise ruin probability

Abstract: We consider an optimal underwriting problem where given two insurance portfolios that generate cash flows according to two spectrally negative Lévy processes of bounded variation X and Y, one has to underwrite adaptively a convex combination of the two such that the probability of ruin occurring in the combined portfolio is minimised. This optimal underwriting problem boils down to an optimal switching problem where one has to decide, based on the available capital at a given time, whether to go for mode X or for mode Y at that time. The 1-switch-level strategy with parameter b in [0,+oo] is the strategy where one switches from one mode to the other only at times when the capital goes above or below the level b. We find a set of sufficient conditions on the two Lévy measures such that an optimal strategy is formed by a 1-switch-level strategy, which covers in particular the case where the hazard rates of the two Lévy measures are decreasing and ordered. An interesting tool in the analysis is a new monotonicity property for renewal equations.