2017 IFAM Seminars and Visitors

DateVisitor and Seminar Title

Prof Mark Podolskij (Aarhus University, Denmark)

A test for the rank of the volatility process


RELAX Actuarial Workshop

Veronique Maume-Deschamps (Universite Lyon)

On some non-parametric methods for extensions of spatial max-stable processes

Manuel Morales (University of Montreal)

On an Agent-based Simulator Model for the Limit-Order-Book and its Applications to Measuring Price Impact

Andrei Badescu (University of Toronto)

An IBNR-RBNS insurance risk model with marked Poisson arrivals

Alfredo Egidio Dos Reis (University of Lisbon)

Estimation of foreseeable and unforeseeable risks


Alexander Watson (University of Manchester)

A probabilistic approach to spectral analysis of growth-fragmentation equations


Gabriel J. Power (Laval University)

Beyond the Variance Risk Premium: Stock Market Index Return Predictability and Option-Implied Information


Dr. Damon Daniels (Strategic Network Manager, Eddie Stobart)

Eddie Stobart: what we do, our challenges, what data we collect


Oleg Karpenkov (University of Liverpool)

Forecasting algorithms for recurrent patterns in consumer demand


Dr. Daniel Alai (University of Kent)

Lifetime Dependence Modelling using a Generalized Multivariate Pareto Distribution


Dr Yuri Imamura (Tokyo University of Science) and Dr. Nienlin Liu (Ritsumeikan University, Japan)

Asymptotic hedging of barrier option via parametrix and Fourier-Malliavin estimators based on discrete measures


Prof Dima Korshunov (Lancaster University)

On subexponential tails for negatively driven compound renewal processes with application to two-dimensional ruin problem


Thomas Taimre (The University of Queensland, Australia)

Exploiting Asymptotic Structure for Efficient Rare-event Estimation for Sums of Random Variables


Jie Cheng

An Endogenous Regime-Switching Continuous-Time Diffusion Model for S&P 500 Volatility Index


Silvana Pesenti (Cass Business School)

Cascade Sensitivity Measures


Prof. Zbigniew Palmowski (Wroclaw Technical University, Poland)

Ruin probabilities: exact and asymptotic results


Prof. Chunhai Kou (College of Science, Donghua University, Shanghai)

Time fractional diffusion systems and their applications in control theory