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All-day
Second International Congress on Actuarial Science and Quantitative Finance
Second International Congress on Actuarial Science and Quantitative Finance
Second International Congress on Actuarial Science and Quantitative Finance
Second International Congress on Actuarial Science and Quantitative Finance
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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...
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...
8:00 am Plenary Talk: Path-Dependent Volatility. Julien Guyon. Bloomberg LP. New York, US @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Plenary Talk: Path-Dependent Volatility. Julien Guyon. Bloomberg LP. New York, US @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Jun 17 @ 8:00 am – 9:00 am
Path-Dependent Volatility Julien Guyon Bloomberg LP. New York, US So far, path-dependent volatility models have drawn little attention from both practitioners and academics compared to local volatility and stochastic volatility models. This is unfair: in...
9:00 am Plenary talk: Aggressive Backtesting of Stochastic Loss Reserve Models – Where It Leads Us. Glenn Meyers, ISO Innovative Analytics, New York USA. @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary talk: Aggressive Backtesting of Stochastic Loss Reserve Models – Where It Leads Us. Glenn Meyers, ISO Innovative Analytics, New York USA. @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 17 @ 9:00 am – 10:00 am
Aggressive Backtesting of Stochastic Loss Reserve Models – Where It Leads Us Glenn Meyers ISO Innovative Analytics, New York USA. In 2012 the was posted on the Casualty Actuarial Society website. This database includes several...
10:00 am Coffee Break
Coffee Break
Jun 17 @ 10:00 am – 10:30 am
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10:30 am Contributed talks 5: Practitioner–Finance** (English, Spanish) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Contributed talks 5: Practitioner–Finance** (English, Spanish) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 17 @ 10:30 am – 12:00 pm
10:30am–11:00am: A systematic view on price based trading strategies A. Christian Da Silva*, Dunn Capital; Fernando Ferreira, USP; Ju-Yi Yen, University of Cincinnati We study trading strategies that use historical price data to predict future...
10:30 am Contributed talks 6: Practitioner–Actuarial Science** & Academic–Actuarial Science–Education** (English, Spanish) @ Aula Máxima de Derecho. Claustro de San Agustín.
Contributed talks 6: Practitioner–Actuarial Science** & Academic–Actuarial Science–Education** (English, Spanish) @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 17 @ 10:30 am – 12:00 pm
10:30am–11:00am: Value-at-Risk Estimation of Aggregated Risks Using Marginal Laws and Some Dependence Information ANDRES CUBEROS ACEVEDO*, SCOR; Esterina Masiello, Univ Lyon, Institut Camille Jordan,; Veronique Maume-Deschamps, Univ Lyon, Institut Camille Jordan, Estimating the Value-at-Risk of...
12:00 pm SOCIEDAD LATINOAMERICANA DE ACTUARÍA Y FINANZAS @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
SOCIEDAD LATINOAMERICANA DE ACTUARÍA Y FINANZAS @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 17 @ 12:00 pm – 12:30 pm
SOCIEDAD LATINOAMERICANA DE FINANZAS CUANTITATIVAS Y CIENCIAS ACTUARIALES Comité Organizador ICASQF Se invita a la presentación de la sociedad Latinoamericana de Finanzas Cuantitativas y Ciencias Actuariales Se hará una breve descripción de los objetivos, misión...
2:00 pm Tour in Chiva
Tour in Chiva
Jun 17 @ 2:00 pm – 6:00 pm
Traditional “Chiva” bus tour: Bocagrande, Cartagena Bay, Monument of the Old Shoes, “La Popa” Monastery, San Felipe Castle –entrance included-, old vaults. . Open to all registered participants (no extra fee), confirmation is compulsory. The...
8:00 pm Congress Dinner
Congress Dinner
Jun 17 @ 8:00 pm – 11:00 pm
Open to all registered participants (dinner fee US$25, COP$75,000), confirmation is compulsory (fill out form on the 1st day of the conference). The congress dinner will be held in the Restaurant-Bar “El Baluarte San Francisco...
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...