IFAM Seminars

Current seminar details are published on the department seminar web page


Previous Seminars

Date, Time and RoomSpeaker, Title and Abstract
27/11/2014 3:30-4:00pm, Room 117, 1st floor TP wing, Maths Building (RARE Seminar) Jing Xu (University of Liverpool, UK) Using Actuarial Methodologies to Analyse Chinese PAYG Pension System.
26/11/2014 3:00-4:00pm, Room 106 Maths Building (RARE Seminar) Prof. Calum Turvey (Cornell University, USA) Financial Engineering for the Farm Problem.
13/11/2014 3:30-4:30pm, Room 117 Maths Building (RARE Seminar)

Humberto Godínez Olivares (University of Liverpool, UK) Can the survivor dividend cover the longevity risk in Notional Defined Contribution pension schemes (NDC's)?

06/11/2014 3-4pm, Room TBD (RARE Seminar)

Prof. Junyi Guo (Nankai University, China) Non-classical Risk Models: Ruin, Dividend and Reinsurance.

03/11/2014 3-4pm, Room TBD (RARE Seminar)

Dr. Tom Kozubowski (University of Nevada at Reno, USA) Laplace Probability Distributions and Generalizations: An Excursion Beyond Normality

Abstract: Skew Laplace distributions, which naturally arise in connection with random summation and quantile regression settings, offer an attractive and flexible alternative to the normal (Gaussian) distribution in a variety of settings where the assumptions of symmetry and short tail are too restrictive. The growing popularity of the Laplace-based models in recent years is due to their fundamental properties, which include a sharp peak at the mode, heavier than Gaussian tails, existence of all moments, infinite divisibility, and, most importantly, random stability and approximation of geometric sums. Since the latter arise quite naturally, these distributions provide useful models in diverse areas, such as biology, economics, engineering, finance, ge-osciences, and physics. We review fundamental properties of these models, which give insight into their applicability in these areas, and discuss some extensions, including time series and stochastic processes. This research was carried jointly with S. Kotz and K. Podgorski.

30/10/2014 3-4pm, Room TBD (RARE Seminar)

Jorge Ramirez (UNM, Colombia): Diffusion process with discontinuous parameters: an applied perspective.

22/10/2014 4-5pm, Roxby Hall, Room 506 (School Environmental Sciences seminar)

Prof. Jorge Ramirez (Universidad Nacional de Colombia Sede Medellín, Colombia) Transport, dispersion and persistence in river networks: the role of heterogeneity.

Abstract: River networks control the flux of water, sediment, nutrients and species in most landscapes. In this talk we will build mathematical descriptions to study the properties of dispersion by advection-diffusion in river networks. Special emphasis will be made on the role played by network heterogeneity and shape. As an application we will consider a population of benthic organisms within a river network subjected to dispersal by downstream drift plus diffusion, and derive conditions for its persistence.

03/10/2014 4-5pm, Room TBD (Department Colloquium)

Prof. Alfred Mueller (University of Siegen, Germany) Expectiles as risk measures

Abstract: In this talk we consider expectiles as risk measures.
Expectiles are a well-known concept in statistics, but seem to be hardly known in risk analysis.
They are generalizations of the expectation in quite a similar fashion as quantiles (alias value at risk) are generalizations of the median.
Thus it is quite natural to investigate their properties as risk measures. In this talk we show interesting properties of these risk measures, including coherence and their dual representation as worst case expectation. We also compare their properties to properties of other popular coherent risk measures like conditional value at risk.

18/09/2014 3-4pm, Room TBD (RARE Seminar)

Hanspeter Schmidli (University of Cologne, Germany) On the Calculation of Risk Measures Based on Dividends and Capital Injections

16/09/2014 3-4pm, Room TBD (RARE Seminar)

Junichi Sakamoto (Nomura Research Institute, Japan) Ageing problem and automatic balancing mechanisms.

12/06/2014 2-3pm, Room TBD (RARE Seminar)

Xin Zhang (Nankai University) Optimal proportional reinsurance and investment under mean-variance criterion in the regime switching jump diffusion model.

22/05/2014 2-3pm, Room 104 (RARE Seminar)

Alexandru Asimit (Cass Business School) Tail dependence versus measures of association.

01/05/2014 2-3pm, Room CHAD-BARK (RARE Seminar)

Jennifer Alonso García (Université Catholique de Louvain) - Risk and Solvency of a Notional Defined Contribution public pension scheme.

03/04/2014 2-3pm, Room 104 (RARE Seminar)

Hassan Firouzi (University of Montreal) -On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory.

Abstract: In this paper we introduce a new coherent cumulative risk measure on R^L, the space of càdlàg processes having Laplace transform. This new coherent risk measure turns out to be tractable enough within a class of models where the aggregate claims is driven by a spectrally positive Lévy process.
Moreover, we study the problem of capital allocation in an insurance context and we show that the capital allocation problem for this risk measure has a unique solution determined by the Euler allocation method. Some examples are provided.

28/03/2014, 2-3pm, Room 027 (RARE Seminar)

Dr. Erik Baurdoux (LSE,UK) - Optimal prediction of the time of the ultimate maximum of a Lévy process.

Abstract:Optimal prediction of the ultimate maximum is a non-standard optimal stopping problem in the sense that the pay-off function depends on a process which is not adapted to the given filtration.  Our aim is to approximate by stopping times as close as possible the (random) time of the ultimate maximum of a Lévy process. For a finite time horizon, this problem has been studied in various papers, including Du Toit, J. and Peskir, G. (AAP 2009) and Bernyk, V., Dalang, R.C. and Peskir, G. (2011 Ann. Probab.) for a Brownian motion and one-sided stable process, respectively.

In this work we consider the infinite horizon case for a general Lévy process drifting to minus infinity.  Using  properties of the all time maximum of a Lévy process and a reformulation of the problem as a standard optimal stopping problem, we find an optimal stopping time as a first passage time of the reflected process. The results are made more explicit in the spectrally one-sided case.

This talk is based on joint work with Dr. Kees van Schaik which is due to appear in Acta Applicandae Mathematicae.

27/03/2014, 2-3pm, Room 104 (RARE Seminar)

Dr. David Siska (University of Liverpool, UK) - Some nonlinear stochastic partial differential equations of second order in time: existence of solutions and convergence of a full discretization.

06/03/2014 2-3pm, Room TBA (RARE Seminar)

Humberto Godínez-Olivares - Optimal strategies for long-term sustainability in PAYGO pension systems using control theory in a dynamic nonlinear framework.

29/01/2014 3-4pm, Management School Seminar Room 3 (ULMS-SR3)

Prof. Soosung Hwang (Sungkyunkwan University (SKKU)) - Overconfidence, Ambiguity Aversion, and Excess Arbitrage Trading.

Abstract: We investigate the effects of arbitrageurs’ behavioral biases on cross-sectional equity returns. We find evidence that profits of equity market neutral hedge portfolios are positively affected by overconfidence, the effects of which are not subsequently reversed. Further we discover that signals which have signs inconsistent with arbitrageurs’ confidence are treated as of low quality and thus ambiguous. These effects of overconfidence suggest that an anomalous profit opportunity can be created by different levels of confidence in equity market neutral trading strategies. When overconfident arbitrageurs attempt to exploit these strategies excessively, hedge portfolios with high confidence outperform those with low confidence. The difference, according to our results, is over 9.6% a year in the 2000s, and has been increased over the past four decades.

23/01/2014 2-3pm, Room 117 (RARE Seminar)

Prof. Enkelejd Hashorva (University of Lausanne) -  On the ruin probability modeled by a time-changed fBM risk process.

Abstract: Inclusion of random time changes or introduction of random clocks in insurance risk models reflects the fact that claims are not settled immediately when they occur. In this talk we shall discuss some novel results concerning the asymptotic expansions of the finite-time ruin probability for time-changed fBM risk processes. Interestingly, this risk theory problem motivates some general results in the theory of extremes of Gaussian processes.

16/01/2014 2-3pm, Room 211 (RARE Seminar)

Suhang Dai (University of Liverpool, UK) - Introduction to Dynamic Programming in Deterministic Control.

28/11/2013 2-3pm, Room 105 (RARE Seminar)

Wei Zhu - Explicit forms for ruin probabilities with fractional shape Gamma distributions

14/11/2013 2-3pm, Room 105 (RARE Seminar)

Suhang Dai (University of Liverpool, UK) – Phase-type Sparre Andersen models with diffusion

08/11/2013 2-3pm, Room 105 (RARE Seminar)

Dr. Markus Rosenkranz (University of Kent at Canterbury, UK) – Noncommutative Free Algebras and Their Use in Actuarial Science

07/11/2013 2-3pm, Room 105 (RARE Seminar)

Dr. Dominik Kortschak (Joanneum Research, Austria) - Ruin problems for processes in a changing environment

31/10/2013 2-3pm, Room 105 (RARE Seminar)

Suhang Dai - Phase-type Sparre Andersen models with diffusion

24/10/2013 2-3pm, Room 105 (RARE Seminar)

Meng Wang (Simon) - Markov Chain Monte Carlo method on claims fitting - A study based on Quota-share Ruin probability calculation

18/10/2012 4-5pm, Rm 105 (Mathematical Sciences Departmental Colloquim)

Prof. E. Waymire (Oregon State University) - Dispersion in the Presence of Interfacial Discontinuities

This talk will focus on probability questions arising in the geophysical and biological sciences concerning dispersion in highly heterogeneous environments, as characterized by abrupt changes (discontinuities) in the diffusion coefficient. Some specific phenomena observed in laboratory and field experiments involving breakthrough curves (first passage times), occupation times, and local times will be addressed within a probabilistic framework largely founded on the Ito-McKean-Feller classic skew Brownian motion and Stroock-Varadhan martingale theory.  

This is based on joint work with Thilanka Appuhamillage, Vrushali Bokil, Enrique Thomann, and Brian Wood at Oregon State University.

03/10/2013 2-3pm, Room 105 (RARE Seminar)

Dr. Bo Li - Risk processes analyzed as fluid queues

26/09/2013 2-3pm, Room 105 (RARE Seminar)

Prof. Zbigniew Palmowski - Dividend problems for a Levy insurance risk process

19/09/2013 2-3pm, Room 105 (RARE Seminar)

Dr. Kais Hamza - Volatility in the Black-Scholes and other formulae

06/03/2013 2-3pm, Room 211 

Dr. Sotirios Sabanis - Stochastic delay models in Financial Mathematics

13/12/2012 4-5pm, Rm 103 (Mathematical Sciences Departmental Colloquim)

Prof. Bernt Oksendal - Optimal Harvesting, Optimal Stopping and Singular Control of SPDEs

What is the optimal harvesting strategy from a fish population whose dynamics is modeled by a stochastic reaction-diffusion equation? 

We formulate this problem as a singular control problems for random fields given by a stochastic partial differential equation (SPDE). We show that under some conditions the optimal singular control can be identified with the solution of a coupled system of SPDE and a reflected backward SPDE (RBSPDE). As an illustration we apply the result to the optimal harvesting problem above.

Existence and uniqueness of solutions of RBSPDEs are established, as well as a comparison theorems.

We then establish a relation between RBSPDEs and optimal stopping of SPDEs, and apply the result to a risk minimizing stopping problem in a financial market with many interacting agents.

The talk is based on joint work with Agnès Sulem (INRIA Paris, France) and Tusheng Zhang (Manchester,UK).

05/12/2012 2-3pm, Rm 211

Prof. Dr. Matthias Fahrenwaldt - Sensitivity of life insurance reserves via Markov semigroups

We consider Thiele’s differential equation for the reserve of a multi-state insurance contract with functional dependence on the surplus. In an analytic approach based on semigroups we obtain existence and uniqueness results and prove growth and regularity properties. Moreover, we investigate the sensitivity of the reserves with respect to the surplus, payment rate and transition assumptions in terms of uniform and pointwise estimates. The approach can easily be generalized to Levy processes. 

 17/10/2012

Dr. Andrei Badescu - On the classical ruin problem for multidimensional risk processes