15 Wed
All-day
Second International Congress on Actuarial Science and Quantitative Finance
12:00 am
1:00 am
2:00 am
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5:00 am
6:00 am
7:00 am
8:00 am
9:00 am
10:00 am
11:00 am
12:00 pm
1:00 pm
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3:00 pm
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5:00 pm
6:00 pm
7:00 pm
8:00 pm
9:00 pm
10:00 pm
11:00 pm
8:00 am Onsite Registration
Onsite Registration
Jun 15 @ 8:00 am – 10:30 am
Universidad de Cartagena Cra. 6 No. 36-100, de la Universidad, Calle Cartagena,, Cartagena, Bolívar.Like this:Like Loading...
8:30 am Short Course: High-frequency statistics in Finance. Jean Jacod (UPMC-Paris 6) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Short Course: High-frequency statistics in Finance. Jean Jacod (UPMC-Paris 6) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Jun 15 @ 8:30 am – 10:30 am
High-frequency statistics in Finance. Jean Jacod (UPMC-Paris 6) The aim of this course is to provide some basic facts about, and an overview of, statistics of processes which are observed at discrete times on a...
8:30 am Short Course: Stochastic control for insurers; what can we learn from finance, and what are the differences?. Christian Hipp. @ Aula Máxima de Derecho. Claustro de San Agustín.
Short Course: Stochastic control for insurers; what can we learn from finance, and what are the differences?. Christian Hipp. @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 15 @ 8:30 am – 10:30 am
Stochastic control for insurers; what can we learn from finance, and what are the differences?. Christian Hipp (Karlsruher Institute of Technology, Karlsruhe, Germany) We give examples for stochastic control problems in insurance: optimal reinsurance (unlimited...
8:30 am Short Course: Stochastic control for insurers; what can we learn from finance, and what are the differences?. Christian Hipp. @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Short Course: Stochastic control for insurers; what can we learn from finance, and what are the differences?. Christian Hipp. @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Jun 15 @ 8:30 am – 10:30 am
Stochastic control for insurers; what can we learn from finance, and what are the differences?. Christian Hipp (Karlsruher Institute of Technology, Karlsruhe, Germany) We give examples for stochastic control problems in insurance: optimal reinsurance (unlimited...
8:30 am Short Course: TUTORIAL ON STOCHASTIC PORTFOLIO THEORY. IOANNIS KARATZAS @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Short Course: TUTORIAL ON STOCHASTIC PORTFOLIO THEORY. IOANNIS KARATZAS @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Jun 15 @ 8:30 am – 10:30 am
TUTORIAL ON STOCHASTIC PORTFOLIO THEORY. IOANNIS KARATZAS (Columbia University and INTECH Investment Management LLC) The goal of this series of four one-hour lectures is to introduce Stochastic Portfolio Theory, a rich and flexible framework for...
10:30 am Coffee Break
Coffee Break
Jun 15 @ 10:30 am – 11:00 am
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11:00 am Short Course: TBA. Glenn Meyers. ISO Innovative Analytics @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Short Course: TBA. Glenn Meyers. ISO Innovative Analytics @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Jun 15 @ 11:00 am – 1:00 pm
Short Course: TBA. Glenn Meyers. ISO Innovative Analytics.Like this:Like Loading...
11:00 am Short Course: The New Post-crisis Landscape of Derivatives and Fixed Income Activity under Regulatory Constraints on Credit risk, Liquidity risk, and Counterparty risk. Nicole El Karoui, LPMA-UPMC @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Short Course: The New Post-crisis Landscape of Derivatives and Fixed Income Activity under Regulatory Constraints on Credit risk, Liquidity risk, and Counterparty risk. Nicole El Karoui, LPMA-UPMC @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Jun 15 @ 11:00 am – 1:00 pm
The New Post-crisis Landscape of Derivatives and Fixed Income Activity under Regulatory Constraints on Credit risk, Liquidity risk, and Counterparty risk. Nicole El Karoui, LPMA-UPMC, Paris Introduction The motivation for this course is to update...
11:00 am Short Course: Using Bayesian MCMC Models for Stochastic Loss Reserving. Glenn Meyers. ISO Innovative Analytics @ Aula Máxima de Derecho. Claustro de San Agustín.
Short Course: Using Bayesian MCMC Models for Stochastic Loss Reserving. Glenn Meyers. ISO Innovative Analytics @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 15 @ 11:00 am – 1:00 pm
Short Course: Using Bayesian MCMC Models for Stochastic Loss Reserving. Glenn Meyers. ISO Innovative Analytics. The course will open with an explanation of Bayesian MCMC models and the software used to implement these models. It...
2:30 pm Plenary talk: To Borrow or Insure? Long Term Care Costs and the Impact of Housing. Michael Sherris. (CEPAR, UNSW Business School) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary talk: To Borrow or Insure? Long Term Care Costs and the Impact of Housing. Michael Sherris. (CEPAR, UNSW Business School) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 15 @ 2:30 pm – 3:30 pm
To Borrow or Insure? Long Term Care Costs and the Impact of Housing. Michael Sherris. (CEPAR, UNSW Business School) Long term care costs are significant to individuals who survive to older ages. Many individuals own...
3:30 pm Plenary Talk: Riding the Bubble with Convex Incentives. Fernando Zapatero. USC, Los Angeles, CA, US. @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary Talk: Riding the Bubble with Convex Incentives. Fernando Zapatero. USC, Los Angeles, CA, US. @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 15 @ 3:30 pm – 4:30 pm
Riding the Bubble with Convex Incentives. Fernando Zapatero* (USC, Los Angeles, CA, US) and Juan Sotes-Paladino (University of Melbourne). Several empirical studies contradict the efficient markets contention that sophisticated investors like hedge funds should underweight...
4:30 pm Coffee Break
Coffee Break
Jun 15 @ 4:30 pm – 5:00 pm
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5:00 pm Contributed Talks 1:Academic–Finance–Portfolio Optimization, Risk Management, Risk Measures, Utilities, Credit** @ Aula Máxima de Derecho. Claustro de San Agustín.
Contributed Talks 1:Academic–Finance–Portfolio Optimization, Risk Management, Risk Measures, Utilities, Credit** @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 15 @ 5:00 pm – 6:30 pm
5:00–5:30pm: Heterogeneous Archimedean copula and t-copula in credit portfolio modeling Ludger Overbeck*, University of Giessen Besides its advantage in modelling tail-dependency, the main drawback of standard non-Gaussian copula is the homogeneity in the tail dependency....
5:00 pm Invited Session–José Garrido* @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Invited Session–José Garrido* @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Jun 15 @ 5:00 pm – 6:30 pm
5:00pm–5:30pm: Correlations between insurance lines of business: An illusion or a real phenomenon? Some methodological considerations Greg Taylor*, UNSW Australia; Bernard Wong, UNSW Australia; Benjamin Avanzi, UNSW Australia This paper is concerned with dependency between...
5:00 pm Invited Session—Julien Guyon “RECENT ADVANCES IN VOLATILITY MODELING AND OPTION PRICING” @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Invited Session—Julien Guyon “RECENT ADVANCES IN VOLATILITY MODELING AND OPTION PRICING” @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Jun 15 @ 5:00 pm – 6:30 pm
5:00pm–5:30pm: Cross-Dependent Volatility Julien Guyon (Bloomberg L.P.) Local volatilities in multi-asset models typically have no cross-asset dependency. In this talk, we propose a general framework for pricing and hedging derivatives in cross-dependent volatility (CDV) models,...
6:30 pm Openning Ceremony @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Openning Ceremony @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Jun 15 @ 6:30 pm – 7:30 pm
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7:30 pm Welcome Cocktail
Welcome Cocktail
Jun 15 @ 7:30 pm – 8:30 pm
Open to all registered participants.Like this:Like Loading...