18 Sat
All-day
Second International Congress on Actuarial Science and Quantitative Finance
12:00 am
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6:00 am
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8:00 am
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8:00 pm
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11:00 pm
8:00 am Contributed Talk 8: Academic–Finance–Options, Futures, Stochastic Volatility, Real Options, Energy Finance, Hybrids** @ Aula Máxima de Derecho. Claustro de San Agustín.
Contributed Talk 8: Academic–Finance–Options, Futures, Stochastic Volatility, Real Options, Energy Finance, Hybrids** @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 18 @ 8:00 am – 10:00 am
8:00am–8:30am: Arbitrage-Free XVA (Invited Session talk –Stéphane Crépey) Agostino Capponi*, Columbia University; Stephan Sturm, WPI; Maxim Bichuch, Johns Hopkins University We develop a framework for computing the total valuation adjustment (XVA) of a European claim...
8:00 am Contributed Talks 7: Academic–Actuarial Science–Life, Pensions, and Other** @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Contributed Talks 7: Academic–Actuarial Science–Life, Pensions, and Other** @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Jun 18 @ 8:00 am – 9:30 am
8:00am–8:30am: On Reinsurance by Capital Injections in a Brownian perturbed Risk Model Zied Ben Salah*, American University in Cairo; Jose Garrido, Concordia University In this paper we consider a risk model where the deficits after...
8:00 am Invited Session–Andrea Pascucci * @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Invited Session–Andrea Pascucci * @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 18 @ 8:00 am – 10:00 am
8:00am–8:30am: PDE models for pricing fixed rate morgages and their insurance and coinsurance Carmen Calvo-Garrido, Carlos Vázquez* In the pricing of fixed rate mortgages with prepayment and default options, we introduce jump-diffusion models for the...
10:00 am Coffe Break
Coffe Break
Jun 18 @ 10:00 am – 10:30 am
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10:30 am Contributed Talks 10: Academic–Finance–Economics, Market Microstructures** (English & Spanish) @ Aula Máxima de Derecho. Claustro de San Agustín.
Contributed Talks 10: Academic–Finance–Economics, Market Microstructures** (English & Spanish) @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 18 @ 10:30 am – 12:30 pm
10:30am–11:00am: On the behavior of the price impact in the Kyle-Back model. José Corcuera*, University of Barcelona In this paper we study the equilibrium arising in the Kyle-Back model when we allow the depth parameter...
10:30 am Contributed Talks 9: Academic–Actuarial Science–Life** @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Contributed Talks 9: Academic–Actuarial Science–Life** @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Jun 18 @ 10:30 am – 12:30 pm
10:30am–11:00m Policy Characteristics and Stakeholder Returns in Participating Life Insurance: Which Contracts Can Lead to a Win-Win? Charbel Mirza*, University of Lausanne; Joël Wagner, University of Lausanne Participating life insurance contracts and pension plans often...
10:30 am Invited Session—Daniel Hernández* @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Invited Session—Daniel Hernández* @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 18 @ 10:30 am – 12:30 pm
10:30am–11:00am: Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty Erick Treviño*, Universidad de Guanajuato Optimal stopping under model uncertainty is a recent topic under research. The classical approach to characterize...
2:00 pm Plenary Talk: Self-exciting process in Finance and Insurance for credit risk and longevity risk modelling in heterogenous portfolios. Nicole El Karoui, LPMA-UPMC. @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary Talk: Self-exciting process in Finance and Insurance for credit risk and longevity risk modelling in heterogenous portfolios. Nicole El Karoui, LPMA-UPMC. @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 18 @ 2:00 pm – 3:00 pm
Self-exciting process in Finance and Insurance for credit risk and longevity risk modelling in heterogenous portfolios. Nicole El Karoui, LPMA-UPMC. Recent regulatory evolution in credit risk management suggests to consider the credit risk of an...
3:00 pm Plenary Talk: Estimation of volatility in presence of high activity jumps and noise. Jean Jacod (UPMC-Paris 6) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary Talk: Estimation of volatility in presence of high activity jumps and noise. Jean Jacod (UPMC-Paris 6) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 18 @ 3:00 pm – 4:00 pm
Estimation of volatility in presence of high activity jumps and noise. Jean Jacod (UPMC-Paris 6) We consider an It semimartingale which is observed along a discrete (regular or not) time grid, within a fixed time...
4:00 pm Coffee Break
Coffee Break
Jun 18 @ 4:00 pm – 4:30 pm
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4:30 pm Invited Session–Greg Taylor* @ Aula Máxima de Derecho. Claustro de San Agustín.
Invited Session–Greg Taylor* @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 18 @ 4:30 pm – 6:30 pm
4:30pm–5:00pm: Asymptotic theory for over-dispersed chain-ladder models Jonas Harnau*, University of Oxford; Bent Nielsen, University of Oxford The chain-ladder technique is ubiquitous in non-life insurance claim reserving. In a Poisson model, the chain-ladder technique is...
4:30 pm Invited Session–Stéphane Crépey* @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Invited Session–Stéphane Crépey* @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 18 @ 4:30 pm – 6:00 pm
4:30pm–5:00pm Liquidity risk and optimal dividend/investment strategies. (Contributed talk) Vathana Ly Vath*, ENSIIE; Etienne Chevalier, University of Evry; Mhamed Gaigi, ENIT In this paper, we consider the problem of determining an optimal control on the...
6:30 pm Closing Remarks @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Closing Remarks @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 18 @ 6:30 pm – 7:00 pm
6:30pm –6:55pm Rethinking the FIFA World Cup final draw Julien Guyon Bloomberg LP. New York, US The soccer World Cup is the most popular sporting event in the world, even more widely viewed and followed...