Séminaire de mathématiques actuarielles et financières


2017

Vendredi, 24 Mars, 2017, 14:00-15:00
CMT-2106 Pavillon Paul-Comtois, Université Laval
Ruodu Wang, University of Waterloo
An axiomatic theory for measures of tail risk

Vendredi, 24 Mars, 2017, 15:30-16:30
CMT-2106 Pavillon Paul-Comtois, Université Laval
Qihe Tang, University of Iowa
Mitigating Extreme Risks through Securitization

Vendredi, 10 mars, 2017, 14:30-15:30
Concordia University Pavillon J.W. McConnell (Library) Building Room/salle: LB 921-4
Peter E. Caines, McGill University
Mean Field Games: An Overview

Vendredi, 17 Février, 2017, 14:30-15:30
Z-240 Pavillon Claire-McNicoll, Université de Montréal
Thorsten Moenig, Temple University in Philadelphia
Where Less Is More: Reducing Variable Annuity Fees to Benefit Policyholder and Insurer

16:00-17:00
AA-5340 Pavillon André-Aisenstadt, Université de Montréal
Klaus Herrmann, Concordia University Geometric Approximations to Integration Domains and Numerical Algorithms for Distribution Functions

10 Février 2017, 14:30-15:30
Concordia University Pavillon J.W. McConnell (Library) Building Room/salle LB 921-4
Daniel Dufresne, University of Melbourne
Discounted Sums and Renewal Times

3 Février 2017, CMT-2106, 2425 rue de l’Agriculture, Québec
Pavillon Paul-Comtois, Université Laval
14:00-15:00 Thierry Duchesne, Université Laval
Modèles linéaires généralisés mixtes (GLMM) : discussion d’approches classiques pour l’inférence et de leur utilité potentielle pour des applications d’aujourd’hui

2016

Vendredi, 11 novembre, Université de Montréal, Pavillon André-Aisenstadt AA-5340
13:30-14:30 Sebastian Herrmann, Byrne Research Assistant Professor, Department of Mathematics, University of Michigan
Hedging with Uncertainty-Averse Preferences

Vendredi, 28 octobre, Concordia University Pavillon J.W. McConnell (Library) Building LB-646
14:30-15:30 Phillip Protter Department of Statistics, Columbia University
A Connection Between the Expansion of Filtrations and the Origin of Financial Bubbles

Vendredi, 21 octobre, Université de Montréal Pavillon André-Aisenstadt AA-5340
14:30-15:30 Robert Erhardt Assistant Professor of Statistics, Sterge Faculty Fellow, Wake Forest University
Price Dynamics in a General Markovian Limit Order Book

Vendredi, 14 octobre, UQAM Pavillon Président-Kennedy PK-5115
14:00-15:00 Bruno Rémillard Département de sciences de la décision, HEC Montréal
Price Dynamics in a General Markovian Limit Order Book

Vendredi, 30 septembre, UQAM Concordia University Pavillon J.W. McConnell (Library) Building LB 921-4
14:30-15:30 Johannes Muhle-Karbe, Department of Mathematics, University of Michigan, Ann Arbor
Trading with Small Nonlinear Price Impact

Vendredi, 16 septembre, UQAM Pavillon Président-Kennedy PK-5115
14:00-15:00 Guojun Gan, Department of Mathematics, University of Connecticut
Metamodeling and Its Applications in Variable Annuity

27 mai 2016, Pavillon J.W. McConnell (Library) Building LB 921-4
Concordia University
14:00-15:00 Frederi G. Viens, Department of Statistics, Purdue University
Dynamic portfolio selection with mispricing and model ambiguity, with possible application to insurance reserves

15 avril 2016, CMT-2106 (Pavillon Comtois)
2425, rue de l’Agriculture, Québec
Université Laval
14:00-16:30 Marius Hofert, University of Waterloo
Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm Ricardas Zitikis, University of Western Ontario Thinking of measuring risk: back to basics

11 mars 2016, PK-5115, 201, avenue du Président-Kennedy, Montréal Département de mathématiques, UQAM
13:30-14:30 Christian Genest, McGill University
Modeling dependence in run-off triangles

19 février 2016, AA-5340, Université de Montréal
14:00 Daniel Bauer, Department of Risk Management and Insurance, Georgia State University
A Least-Squares Monte Carlo Approach to the Calculation of Capital Requirements
15:30 Frédéric Godin, École d'actuariat, Université Laval
Beyond Delta Hedging

22 janvier 2016, MB 5.265, Université Concordia
13:30 Anas Abdallah, École d'actuariat, Université Laval
Un modèle de tarification dynamique et bivariée en utilisant la famille de distributions Sarmanov
Phuong Anh Vu, University of New South Wales, Australia
Stochastic Loss Reserving with Dependence: A Flexible Multivariate Tweedie Approach


2015

27 novembre 2015, AA-5340, Université de Montréal
15:15-16:00 - Arnaud Dufays, Département d’économique, Université Laval
Sparse Change-Point Time Series Models
16:00-16:45 - Hirbod Assa, Institute for Risk and Uncertainty & Institute for Financial and Actuarial Mathematics, University of Liverpool
Market Consistent and Sub-Consistent Valuations in Incomplete Markets


16 octobre 2015, LB-921.04, Concordia University
14:00-15:00 - Petar Jevti, McMaster University, Department of Mathematics and Statistics
A continuous-time model for the mortality surface of multiple populations


25 septembre 2015, Département de mathématiques, UQAM
14:00-15:00 - Irmina Czarna, Mathematical Institute, University of Wroclaw, Poland
Exit problems for spectrally negative Levy processes with Parisian delay and a lower ultimate bankrupt barrier implementation


15 mai 2015, PK-5115 201, avenue du Président-Kennedy, Montréal Département de mathématiques, UQAM
11:00-12:00 - Maciej Augustyniak, Université de Montréal Estimation du modèle GARCH à changement de régimes/Maximum likelihood inference for the Markov-switching GARCH model
14:00-15:00 - Matt Davison, University of Western Ontario, Canada, Dynamic Programming results in Green Energy Storage
15:30-16:30 - Jose Maria Sarabia, University of Cantabria, Espagne, Modelling Dependent Pareto Distributions with Applications in Risks Aggregation


24 avril 2015, Université Laval, PLT-2548, 1065 avenue de la Médecine, Québec Pavillon Adrien-Pouliot
14:00-16:30 -Ronnie Loeffen, School of Mathematics, University of Manchester, Angleterre
Spectral representations for CBI processes and applications
Juan Carlos Pardo Millán, Centro de Investigación en Matemáticas A.C. , Mexique
The excursion measure away from zero of a spectrally negative Lévy processes and its application to bankruptcy models.


17 avril 2015, Concordia University, LB-921.04
14:40-15:30 - Xinda Yang School of Risk and Actuarial Studies, University of New South Wales Business School
Micro-level insurance claim count modelling: a Cox process approach


10 avril 2015, Université de Montréal, 2920, chemin de la tour, Pavillon André-Aisenstadt AA - 5340
14:40-15:30 - Vincent Tu UNSW Australia Business School, School of Risk and Actuarial Studies
On the Interface between Optimal Periodic and Continuous Dividend Strategies in the Presence of Transaction Costs


27 mars, Concordia University, Pavillon J.W. McConnell (Library) Building, LB 921-4
14h00 - Over-the-Counter Market Models
Alain Bélanger, Université de Sherbrooke

15h00 - On a capital management problem for a central branch with subsidiaries
Florin Avram, Université de Pau


20 février 14h00 - Risk Decomposition Based On Multivariate TVaR
Université de Montréal, André-Aisenstadt - AA-5340
Mélina Mailhot
Concordia University

--> 15h00 - Modèles individuels et processus de réserves en assurance IARD
Université de Montréal, André-Aisenstadt - AA-5340
Mathieu Pigeon
UQAM

23 janvier 14h00 - Cost of capital and insurance premiums
UQAM, PK-1140
Hansjoerg Albrecher
Université de Lausanne, Lausanne, Suisse

23 janvier 15h00 (après le séminaire précédent) - Actuarial applications of Lévy copulas
UQAM, PK-1140
Benjamin Avanzi
Université de Montréal



2014

14 novembre 14h00 - Some two-dimensional extensions of Bougerol's identity
Concordia MB 2.430
Daniel Dufresne
University of Melbourne

31 octobre 15h30 - Risk Processes in Dimension 2
UQAM PK-5115
Landy Rabehasaina
Université Franche-Comté

5 septembre 15h30 - Risk Management of Policyholder Behavior in Equity-Linked Life Insurance
UdeM AA-5340
Anne MacKay
ETH Zurich

22 août 14h30 - Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
Concordia LB-921.04
Caroline Hillairet
Ecole Polytechnique, France

23 mai 15h - Multi-level Monte-Carlo Wiener-Hopf simulation for Lévy processes
UQAM PK-5115
Andreas Kyprianou
University of Bath

22 mai 15h - Quantitative Risk Management of Variable Annuities Guaranteed Benefits: Opportunities and Challenges
UQAM PK-5115
Runhuan Feng
University of Illinois at Urbana-Champaign

4 février 15h - Vraisemblance locale adaptative et application à l'assurance dépendance
UQAM PK-5115
Julien Tomas
ISFA - Université Lyon 1

2013

11 décembre 13h - Mortalité au lac Saint-Jean : impact des liens familiaux
PK-5115
Julie Viard
Université Rennes 1