2017 IFAM Seminars and Visitors

DateVisitor and Seminar Title
15/11/2017

Prof Mark Podolskij (Aarhus University, Denmark)

A test for the rank of the volatility process

10/11/2017

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

26/05/2017

Alexander Watson (University of Manchester)

A probabilistic approach to spectral analysis of growth-fragmentation equations

26/05/2017

Gabriel J. Power (Laval University)

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

12/05/2017

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

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

05/05/2017

Oleg Karpenkov (University of Liverpool)

Forecasting algorithms for recurrent patterns in consumer demand

24/03/2017

Dr. Daniel Alai (University of Kent)

Lifetime Dependence Modelling using a Generalized Multivariate Pareto Distribution

16/03/2017

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

10/03/2017

Prof Dima Korshunov (Lancaster University)

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

10/02/2017

Thomas Taimre (The University of Queensland, Australia)

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

08/02/2017

Jie Cheng

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

20/02/2019

Silvana Pesenti (Cass Business School)

Cascade Sensitivity Measures

01/02/2017

Prof. Zbigniew Palmowski (Wroclaw Technical University, Poland)

Ruin probabilities: exact and asymptotic results

25/01/2017

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

Time fractional diffusion systems and their applications in control theory