Date: 11th - 12th Dec, 2014
Location: Lecture Theatre A. Robert Webster Building, UNSW, Sydney, Australia
In the wake of the latest financial crisis, hurricane damage, the growing number and severity of bushfires and floods, the benefits from risk management are well understood by the community. Modelling and assessing risk, risk evaluation and estimation is a current issue for many diverse industries. The role of academics is to provide useful fundamental research in this area that is to be implemented in the industry. One of the most important application areas are Finance, Insurance and Superannuation.
A joint UNSW-CSIRO workshop titled Risk:
modelling, optimization and inference, was held at UNSW in July
2012. Workshop organisers were Associate Professor Spiridon Penev from
the Department of Statistics (UNSW) and Pavel Shevchenko (CSIRO,
Adjunct Professor at UNSW). It was a success and the organisers hope to
build on the previous experience to organise the second workshop on
11th-12th December 2014 at UNSW. This time Professor Michael Sherris
from the School of Risk and Actuarial Studies and the ARC Centre of
Excellence in Population Ageing Research, UNSW, and Professor Pierre
Del Moral (Department of Statistics, UNSW) will also be involved in
organising the workshop.
The level of the talks will be suitable for postgraduate (and advanced undergraduate) students, as well as for researchers and practitioners, particularly from the Finance, Insurance, and Superannuation Industries, who would like to learn more about the mathematical, statistical and operations research aspects of risk.
Leading experts in the above areas will give presentations at the workshop. The workshop’s dates are chosen to be close to the dates of the annual Quantitative Methods in Finance conference (QMF) that will be held in Sydney on 17th-20th December 2014. This will make it convenient for some selected conference speakers to attend the workshop and to give talks.
Invited Speakers:Professor Umberto Cherubini (University of Bologna, Italy)
Professor Pierre Del Moral (UNSW, Australia)
Professor Arnaud Doucet (Oxford University, UK)
Professor Robert Elliott (University of Adelaide, Australia)
Jean-Pierre Fouque (University of California Santa Barbara,
Professor Gary Froyland (UNSW, Australia)
Professor Ben Goldys (The University of
Professor Michael Hanke (University of Liechtenstein, Liechtenstein)
Professor Monique Jeanblanc (Evry University, Evry, France)
Professor Robert Kohn (UNSW, Australia)
Professor Geoff Kingston (Macquarie University, Australia)
Professor Arturo Kohatsu-Higa (Ritsumeikan
Professor Ermanno Pitacco
(University of Trieste, Italy)
Professor Marek Rutkowski (The University of Sydney, Australia)
Professor Michael Sherris (UNSW, Australia)
Professor Pavel Shevchenko (CSIRO-Sydney, Australia)
- No charge for students (but registration is required)
- $100 early bird registration charge for academics/industry participants before 15th September 2014
- $150 dollars registration fee for academics/industry participants
after 15th September 2014.
Click the links below to register (Ignore Voucher code and Places
left when registering)
Note: For non-UNSW participants, wireless internet access will not
be provided whilest at the workshop, if registration is received after
3rd of Dec 2014.
Associate Professor Spiridon Penev: email@example.com
Dr Libo Li: firstname.lastname@example.org
Recommanded accommodation for this workshop: New College at
University of New South Wales.
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If you are staying in Coogee sand hotel then please take either the bus 370 or M30. Detail maps are given below.
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J.P, Fouque - Portfolio Optimization in Stochastic Environment
P, Shevchenko - Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk+
M, Sherris - Longevity Risk, Health Status and Annuity Pricing
G, Kingston - Asset Allocation for Self-Funded Retirees
M, Hanke - No-Arbitrage ROM Simulation
R, Elliott - GARCH Models and Their Continuous Time Limits
M, Rutkowski - Properties of Arbitrage Prices under Funding Costs and Collateralization
M, Jeanblanc - Enlargement of Filtration and Arbitrages
G, Froyland - Optimally Mitigating Risk for Airlines
E, Pitacco - Monitoring in a Risk-Management Framework: Inference From Mortality Experience in a Life Annuity Portfolio