Research Seminar in Actuarial and Financial Mathematics


Friday April 27, 2018, 9:50-17:40
Room CMT-2106 Paul-Comtois Building, Université Laval
8th Graduate Students Workshop in Actuarial Science and Financial Mathematics

Friday April 6, 2018, 9:00-16:30
Room PK-3605 Président-Kennedy Building, UQAM
Non-Life Insurance Workshop

Friday March 23, 2018, 14:30-15:30
Room LB 921-4 J.W. McConnell Building, Concordia University
Chulwoo Han - Durham University
A Geometric Framework for Covariance Dynamics

Friday March 9, 2018, Full Day
Room LB-646 J.W. McConnell Building, Concordia University
Quantact workshop on risk management of segregated funds

Friday February 23, 2018, Full Day
Z-220 Claire-McNicoll Building, Université de Montréal
5th Workshop on Insurance Mathematics, with a special session on big data and machine learning in risk management

Thursday February 22, 2018, Full Day
PK-5115 Président Kennedy Building, UQAM
2nd Ruin Theory Day


Friday, October 13, 2017, 14:00-15:00
CMT-2106 Paul-Comtois Building, Université Laval
Christian Robert - ISFA, Université Lyon 1
Non parametric individual claim reserving

Friday, October 13, 2017, 15:30-16:30
CMT-2106 Paul-Comtois Building, Université Laval
Fateh Chebana - Centre Eau Terre Environnement (ETE) and Institut national de la recherche scientifique (INRS)
Risque hydrologique: approches basiques et avancées

Wednesday, September 27, 2017, 15:30-16:30
PK-5115 Pavillon Président-Kennedy UQAM
Yuliya Mishura Professor of Probability, Statistics and Actuarial Sciences - Kiev National Taras Shevchenko University
Option pricing in the markets with fractional stochastic volatility

Friday, Arpil 28th, 2017, 14:30-15:30
PK-5115 Pavillon Président-Kennedy UQAM
Alfredo D. Egidio dos Reis Professor of Finance ISEG Lisbon - Universidade de Lisboa
Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities for large portfolios in motor insurance

Friday, April 21, 14:30-15:30
Concordia University Pavillon J.W. McConnell (Library) Building Room/salle: LB 921-4
Gordan Zitkovic, Department of Mathematics, University of Texas at Austin
Equilibria in Incomplete Continuous-Time Financial Markets and Systems of BSDEs

Friday, April 7th, 2017, 14:30-15:30
AA-5340 Pavillon André-Aisenstadt, Université de Montréal
Donatien Hainaut, Assistant Professor, Université Catholique Louvain
Clustered Lévy processes and their financial applications

Friday, March 31st, 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

Friday, March 31st, 2017, 15:30-16:30
CMT-2106 Pavillon Paul-Comtois, Université Laval
Qihe Tang, University of Iowa
Mitigating Extreme Risks through Securitization

Friday, March 10th, 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

Friday, February 17, 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

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

February 10th 2017, 2:30-3:30PM
Concordia University Pavillon J.W. McConnell (Library) Building Room/salle LB 921-4
Daniel Dufresne, University of Melbourne
Discounted Sums and Renewal Times

February 3rd 2017, CMT-2106, 2425 rue de l’Agriculture, Québec
Pavillon Paul-Comtois, Université Laval
2-3PM 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


Friday, October 28th, Concordia University Pavillon J.W. McConnell (Library) Building LB-646
2:30-3:30 PM Phillip Protter Department of Statistics, Columbia University
A Connection Between the Expansion of Filtrations and the Origin of Financial Bubbles

Friday, November 11th, University of Montreal Pavillon André-Aisenstadt AA-5340
1:30-2:30 PM Sebastian Herrmann, Byrne Research Assistant Professor, Department of Mathematics, University of Michigan
Hedging with Uncertainty-Averse Preferences

Friday, October 21, Université de Montréal Pavillon André-Aisenstadt AA-5340
2:30-3:30 PM Robert Erhardt Assistant Professor of Statistics, Sterge Faculty Fellow, Wake Forest University
Price Dynamics in a General Markovian Limit Order Book

Friday, October 14th, UQAM Pavillon Président-Kennedy PK-5115
2-3PM Bruno Rémillard Département de sciences de la décision, HEC Montréal
Price Dynamics in a General Markovian Limit Order Book

Friday, September 30, Concordia University Pavillon J.W. McConnell (Library) Building LB 921-4
2:30-3:30 PM Johannes Muhle-Karbe, Department of Mathematics, University of Michigan, Ann Arbor
Trading with Small Nonlinear Price Impact

Friday, September 16, UQAM Pavillon Président-Kennedy PK-5115
2-3PM Guojun Gan, Department of Mathematics, University of Connecticut
Metamodeling and Its Applications in Variable Annuity

May 27th, 2016, Pavillon J.W. McConnell (Library) Building LB 921-4
Concordia University
2-3PM Frederi G. Viens, Department of Statistics, Purdue University
Dynamic portfolio selection with mispricing and model ambiguity, with possible application to insurance reserves

April 15th, 2016, CMT-2106 (Pavillon Comtois)
2425, rue de l’Agriculture, Québec
Université Laval
2-4:30PM 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

March 11th 2016, PK-5115, 201, avenue du Président-Kennedy, Montréal Département de mathématiques, UQAM
1:30-2:30 PM Christian Genest, McGill University
Modeling dependence in run-off triangles

February 19th, 2016, AA-5340, Pavillon André-Aisenstadt (2920, Chemin de la tour), University of Montréal
2PM Daniel Bauer, Department of Risk Management and Insurance, Georgia State University
A Least-Squares Monte Carlo Approach to the Calculation of Capital Requirements
3:30PM Frédéric Godin, École d'actuariat, Université Laval
Beyond Delta Hedging

Jan 22nd 2016, MB 5.265,Concordia University
1:30PM 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


November 27th 2015, AA-5340, University of Montreal
3:15-4PM - Arnaud Dufays, Département d’économique, Université Laval
Sparse Change-Point Time Series Models
4-4:45PM - 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

October 16th, 2015, LB-921.04, Concordia University
2-3PM - Petar Jevti, McMaster University, Department of Mathematics and Statistics
A continuous-time model for the mortality surface of multiple populations

Sept 25th 2015, Département de mathématiques, UQAM
2-3PM - 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

May 15th 2015, PK-5115 201, avenue du Président-Kennedy, Montréal Département de mathématiques, UQAM
11:00-12:00 - Maciej Augustyniak, Université de Montréal Maximum likelihood inference for the Markov-switching GARCH model
2:00-3:00PM - Matt Davison, University of Western Ontario, Canada, Dynamic Programming results in Green Energy Storage
3:30-4:30PM - Jose Maria Sarabia, University of Cantabria, Espagne, Modelling Dependent Pareto Distributions with Applications in Risks Aggregation

April 24th 2015, Laval University, PLT-2548, 1065 avenue de la Médecine, Québec Pavillon Adrien-Pouliot
2:00PM-4:30PM -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.

April 17th 2015, Concordia University, LB-921.04
2:40-3:30 PM - 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

April 10th, University of Montreal, 2920, chemin de la tour, Pavillon André-Aisenstadt AA- 5340
2:40-3:30PM - 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

March 27th, Concordia University, J.W. McConnell (Library) Building, LB 921-4
2PM - Over-the-Counter Market Models
Alain Bélanger, Université de Sherbrooke

3PM - On a capital management problem for a central branch with subsidiaries
Florin Avram, Université de Pau

February 20, 2PM - Risk Decomposition Based On Multivariate TVaR
Université de Montréal, André-Aisenstadt - AA-5340
Mélina Mailhot
Concordia University

February 20, 3PM - Modèles individuels et processus de réserves en assurance IARD
Université de Montréal, André-Aisenstadt - AA-5340
Mathieu Pigeon

January 23rd, 2PM - Cost of capital and insurance premiums
UQAM, PK-1140
Hansjoerg Albrecher
Université de Lausanne, Lausanne, Suisse

January 23rd, 3PM (following the previous presentation) - Actuarial applications of Lévy copulas
UQAM, PK-1140
Benjamin Avanzi
Université de Montréal


November 14th, 2PM - Some two-dimensional extensions of Bougerol's identity
Concordia MB 2.430
Daniel Dufresne
University of Melbourne

October 31st, 3:30PM - Risk Processes in Dimension 2
UQAM PK-5115
Landy Rabehasaina
Université Franche-Comté

September 5th, 3:30PM - Risk Management of Policyholder Behavior in Equity-Linked Life Insurance
UdeM AA-5340
Anne MacKay
ETH Zurich

August 22nd, 2:30PM - Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
Concordia LB-921.04
Caroline Hillairet
Ecole Polytechnique, France

May 23rd, 3PM - Multi-level Monte-Carlo Wiener-Hopf simulation for Lévy processes
UQAM PK-5115
Andreas Kyprianou
University of Bath

May 22nd, 3PM - Quantitative Risk Management of Variable Annuities Guaranteed Benefits: Opportunities and Challenges
UQAM PK-5115
Runhuan Feng
University of Illinois at Urbana-Champaign

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


December 11th, 1PM - Mortalité au lac Saint-Jean : impact des liens familiaux
Julie Viard
Université Rennes 1