16 Thu
All-day
Second International Congress on Actuarial Science and Quantitative Finance
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8:00 am
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12:00 pm
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8:00 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 16 @ 8:00 am – 10:00 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...
8:00 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 16 @ 8:00 am – 10:00 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...
10:00 am Coffee Break
Coffee Break
Jun 16 @ 10:00 am – 10:30 am
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10:30 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 16 @ 10:30 am – 12:30 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...
10:30 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 16 @ 10:30 am – 12:30 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...
2:00 pm Plenary Talk: Mitigating Extreme Risks Through Securitization. Qihe Tang. University of Iowa, USA @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary Talk: Mitigating Extreme Risks Through Securitization. Qihe Tang. University of Iowa, USA @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 16 @ 2:00 pm – 3:00 pm
Mitigating Extreme Risks Through Securitization Qihe Tang. University of Iowa, USA Recent decades have seen an unprecedented surge in the frequency and severity of catastrophes, be they natural (such as earthquakes, floods, droughts, hurricanes, tsunamis,...
3:00 pm Plenary Talk: Stochastic control for insurance: new problems and methods. Christian Hipp (Karlsruher Institute of Technology, Karlsruhe, Germany) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary Talk: Stochastic control for insurance: new problems and methods. Christian Hipp (Karlsruher Institute of Technology, Karlsruhe, Germany) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 16 @ 3:00 pm – 4:00 pm
Plenary Talk: Stochastic control for insurance: new problems and methods. Christian Hipp (Karlsruher Institute of Technology, Karlsruhe, Germany) Stochastic control for insurance is concerned with problems in insurance models (jump processes) and for insurance applications...
4:00 pm Coffee Break
Coffee Break
Jun 16 @ 4:00 pm – 4:30 pm
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4:30 pm Poster Session @ Sala de Exposiciones. Piso 1. Casa Museo Arte y Cultura la Presentación.
Poster Session @ Sala de Exposiciones. Piso 1. Casa Museo Arte y Cultura la Presentación.
Jun 16 @ 4:30 pm – 5:30 pm
Poster Session Short Term American Path Dependent Option Pricing in the USDCOP Market: Central Bank’s Volatility Control Option Case Santiago Stozitzky*, Bancolombia A stochastic approach to pricing financial instruments for the Caribbean markets Stephen Barnes*,...
5:30 pm Contributed Talks 3: Academic–Actuarial Science–Property-Casualty, General Insurance, Non-Life**.
Contributed Talks 3: Academic–Actuarial Science–Property-Casualty, General Insurance, Non-Life**.
Jun 16 @ 5:30 pm – 7:00 pm
5:30pm–6:00pm Classical Reserving – Double Chain Ladder and its Extensions Carolin Margraf*, Cass Business School, London; Jens Nielsen, Cass Business School, London; Maria Martinez Miranda, University of Granada, Spain; Munir Hiabu, Cass Business School, London...
5:30 pm Contributed Talks 4: Academic–Finance–Other**. @ Casa Museo Arte y Cultura la Presentación.
Contributed Talks 4: Academic–Finance–Other**. @ Casa Museo Arte y Cultura la Presentación.
Jun 16 @ 5:30 pm – 7:00 pm
5:30pm–6:00pm: Calibration in Option Pricing with Forward and Backward Reduced Models Jose Silva*, University of Wuppertal; E. Jan ter Maten, University of Wuppertal; Michael Guenther, University of Wuppertal This work presents the calibration of a...
5:30 pm Invited Session–Philip Protter @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Invited Session–Philip Protter @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 16 @ 5:30 pm – 7:00 pm
5:30pm–6:00pm Some remarks on functionally generated portfolios Johannes Ruf*, UCL; Ioannis Karatzas, Columbia In the first part of the talk I will review Bob Fernholz’ theory of functionally generated portfolios. In the second part I...