RARE seminars

These seminars have received funding from the European Union’s Seventh Framework Programme for research, technological development and demonstration under grant agreement no 318984 -RARE


At the University of Liverpool (IFAM)

December 8, 2014

  • Summer Interships Workshop.

November 27, 2014

  • Jing Xu (ULIV) Using Actuarial Methodologies to Analyse Chinese PAYG Pension System.

November 26, 2014

  • Calum Turvey (Cornell University, USA) Financial Engineering for the Farm Problem.

November 13, 2014

  • Humberto Godínez Olivares (ULIV) Can the survivor dividend cover the longevity risk in Notional Defined Contribution pension schemes (NDC's)?

November 06, 2014

  • Junyi Guo (NU) Non-classical Risk Models: Ruin, Dividend and Reinsurance.

November 03, 2014

  • Tom Kozubowski (UNR) Laplace Probability Distributions and Generalizations: An Excursion Beyond Normality.

October 30, 2014

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

September 18, 2014

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

September 16, 2014

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

June 26, 2014

  • Yuriy Krvavych (Price Waterhouse Cooper, UK) Uncertainty of Cat Modelling.

June 12, 2014

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

May 22, 2014

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

May 01, 2014

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

April 03, 2014

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

March 28, 2014

  • Erik Baurdoux (LSE) Optimal prediction of the time of the ultimate maximum of a Lévy process.

March 27, 2014

  • David Siska (ULIV) Some nonlinear stochastic partial differential equations of second order in time: existence of solutions and convergence of a full discretization.

March 6, 2014

  • Humberto Godínez-Olivares (ULIV) Optimal strategies for long-term sustainability in paygo pension systems using control theory in a dynamic nonlinear framework.

February 27, 2014

  • Apostolos Papaioannou (ULIV) A phase-type two classes risk model. A recursive approach and extensions.

January 23, 2014

  • Enkelejd Hashorva (UNIL) On the ruin probability modeled by a time-changed fBM risk process.

January 16, 2014

  • Suhang Dai (ULIV) Introduction to Dynamic Programming in Deterministic Control.

December 12, 2013

  • Weihong Ni (ULIV) Latent risks in weighted compound Poisson ruin models.

 December 5, 2013

  • Hirbod Assa (ULIV) Modeling agricultural insurance: a new problem, a new approach.

November 28, 2013

  • Wei Zhu  (ULIV) Explicit forms for ruin probabilities with fractional shape Gamma distributions.

November 14, 2013

  • Suhang Dai (ULIV) Phase-type Sparre Andersen models with diffusion.

November 8, 2013

  • Markus Rosenkranz (University of Kent, UK) Noncommutative Free Algebras and Their Use in Actuarial Science.

November 7, 2013

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

October 24, 2013

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

October 3, 2013

  • Bo Li (NU) Risk processes analysed as fluid queues.

September 26, 2013

  • Zbigniew Palmowski (UW) Dividend problems for a Levy insurance risk process.

September 19, 2013

  • Kais Hamza (MU) Volatility in the Black-Scholes and other formulae.

September 16, 2013

February 14, 2013

  • Marie Kratz (ESSEC) There is a VaR beyond usual approximations.



November 22, 2013

  • Shubhabrata Das (IIMB) Facing the future: Indian Pension systems.


At the University of Lausanne (UNIL)

December 9, 2013

  • Kostiantyn Ralchenko (Taras Shevchenko National University of Kyiv, Ukraine) Approximation of Multifractional Brownian Motion.

December, 2013

  • Krzys Debicki (WU) Mini-Workshop on Risk, ruin and Neuroscience, organised together with vice-dean Professor Allesando E.P. Villa.

October 21, 2013

  • Yulyia Mishura (Taras Shevchenko National University of Kyiv, Ukraine) Parameter estimation in the models with long-range dependence.

September 3, 2013

  • Dmitry Korshunov (Sobolev Institute of Mathematics, Russia) Extremal Behavior of Gaussian Chaos.

August 26, 2013

  • Liang Peng (Georgia Tech, USA) Interval estimation for random coefficient AR model and predictive regressions.

June, 2013

  • Krzys Debicki (WU) Mini-workshop on Levy and Gaussian queues and risk models.

June, 2013

  • Jinzhu Li (NU)  Heavy-tailed risks.

June 21, 2013

  • Marie Kratz (ESSEC) How to best approximate the distribution of aggregated heavy tailed risks?

April, 2013

  • Krzys Debicki (WU) Mini-Workshop on Extremes of Homogeneous Gaussian Random Fields.


At the Indian Institute of Management Bangalore (IIMB)

May 10, 2013

April 22, 2013

  • Marie Kratz (ESSEC) On the (tail) distributions of functionals of random excursion sets.


At Nankai University (NU)

July 17, 2013

  • Corina Constantinescu (ULIV) Some recent results for renewal risk models.
  • Lanpeng Ji (UNIL) Asymptotic expansions of ruin probability for Gaussian risk processes.
  • Xiaofan Peng (NU) Optimal control with restrictions for a diffusion risk model under constant interest force.

 July 12, 2013

  • David Siska (ULIV) On randomized stopping.
  • Mi Chen (NU) Expected discounted dividends in a discrete semi-Markov risk model.
  • Xiaoqing Liang (NU) Optimal investment, consumption and timing of annuity purchase under a preference change.


Conferences with participation of RARE members:


  • Perspective in Actuarial Risks in Talks by Young researchers (PARTY), Liverpool, January 2015.


  • 13th Scientific Day of the German Association for Actuarial and Financial Mathematics Conferece, Bonn, March 2014.
  • Stochastik Tage, Ulm, March 2014.
  • International Workshop for Applied Probability, Anthalya, June 2014.
  • 11th International Vilnius Conference on Probability Theory and Mathematical Statistics, Vilnius, July 2014.
  • 5th International Gerber-Shiu Worshop, Hong-Kong, July 2104.
  • International Congress in Insurance Mathematics and Economics (IME), Shanghai, July 2014.
  • Stochastic Processes and thier Applications, Buenos Aires, July 2014.
  • First European Conference on Queueing Theory, Gent, 2014.
  • Actuarial Teaching and Research Conference, Edinburgh, December 2014.


  • Workshop on Heavy Tails and Extremes, ISI Kolkata, January 2013.
  • Perspective in Actuarial Risks in Talks by Young researchers (PARTY), Ascona, January 2013.
  • Queues and Risk Workshop, Eindhoven, March 2013.
  • 12th Scientific Day of the German Association for Actuarial and Financial Mathematics Conference, Berlin, May 2013.
  • International Congress in Insurance Mathematics and Economics (IME), Copenhagen, July 2013.
  • Extreme Values and Applications Conference (EVA), Shanghai, July, 2013.
  • Extremes in Vimeiro Today (EVT), Vimeiro, September 2013.