2018 IFAM Seminars and Visitors

DateVisitor and Seminar Title
12/12/2018

Michel Mandjes (University of Amsterdam)

Stochastic systems under parameter uncertainty

27/11/2018

Torsten Kleinov (Heriot-Watt University)

Minimum reversion in multivariate time series (with an application to human mortality data)

21/11/2018

Christiane Elgert (TU Wien - Technical University of Vienna)

Distribution-constrained optimal stopping problems

14/11/2018

Prof. Fred Espen Benth (University of Oslo)

Cointegration in continuous time for factor models

7/11/2018

Cordelia Rudolph and Axel Helmert (MSG Life Austria)

Integrated Unit Linked Collective Assets (ICA)

24/10/2018

Prof Laurens de Haan, (Erasmus University Rotterdam, The Netherlands)

Trends in the extreme value index

17/10/2018

Dr Alexey Puinovskiy, (University of Liverpool)

Optimal control of piece-wise deterministic processes (PDP's)

10/10/2018

Uwe Schmock, (TU Wien - Technical University of Vienna)

Existence and Properties of Optimal Strategies for Distribution-Constrained Discrete-Time Optimization Problems

13/09/2018

Goncalo dos Reis (University of Edinburgh)

Numerical methods for McKean-Vlasov equations: taming, Importance Sampling & LDP's

19/07/2018

Prof. Barbara Jasiulis-Goldyn (University of Wroclaw, Poland)

Kendall Random Walks

30/05/2018

Lanpeng Ji (University of Leeds)

Ruin problem for correlated Brownian motions

23/05/2018

Kwok Chuen Wong (Dublin City University)

Portfolio Optimisation with Semivariance

09/05/2018

Katia Colaneri (University of Leeds)

Indifference pricing of life insurance contracts via BSDEs under partial information

02/05/2018

Bogdan Grechuk (University of Leicester)

Some challenges in portfolio optimization

21/02/2018

Devraj Basu and Bertrand Groslambert (Strathclyde University)

Determinants of tail risk in emerging and developed markets

07/02/2018

Alex McNeil (University of York)

Spectral Backtests of Forecast Distributions with Application to Risk Management

31/01/2018

Professor David Wilkie (Heriot-Watt University)

The Wilkie Model – Past, Present and Future