Date: 7th - 8th Dec, 2017

Location: Lecture Theatre A, Robert Webster Building, UNSW Sydney, Australia

The Workshop:

In the wake of the latest financial crisis, hurricane damages, 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. Important application areas are Finance, Insurance and Superannuation.

A joint UNSW-CSIRO workshop titled Risk: modelling, optimization and inference, was held at The University of New South Wales in July 2012. Workshop organisers were Associate Professor Spiridon Penev from the Department of Statistics (UNSW) and Prof Pavel Shevchenko (CSIRO), who is now Professor at the Department of Applied Finance and Actuarial Studies, Macquarie University. It was a success and the organisers to build in the previous experience to organise the second workshop on 11th-12th December 2014 at UNSW. This time the School of Risk and Actuarial Studies and the ARC Centre of excellence in population aging research, UNSW, represented by Professor Michael Sherris, was also involved in the workshop. The second workshop was an even bigger success, with more talks and more attendees, and a more diversified program. Encouraged by this, we are organising a Third workshop. It is jointly organised by:

-School of Mathematics and Statistics, UNSW, represented by Associate Professor Spiridon Penev

-Department of Applied Finance and Actuarial Studies, Macquarie University, represented by Professor Pavel Shevchenko

-School of Risk and Actuarial Studies, UNSW, represented by Associate Professor Benjamin Avanzi

The idea of the workshop is to keep the level of talks to 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.

Many leading experts in the above areas will give presentations at the workshop. The workshop's dates are Thursday and Friday, 7th and 8th December 2017 and are chosen to be close to the dates of the annual Quantitative Methods in Finance conference (QMF) that will start in Sydney on Monday, 11th December 2017.


News and Updates:

21st Aug 2017:

Professor Stefan Tappe will change his affliation from Leibniz University of Hannover (Germany) to University of Freiburg (Germany) in October this year.

1st Sep 2017:

Becasue of other commitments, Gareth Peters is no longer able to attend the workshop. We are very happy to annouce that Prof. Yuri Kabanov (University of Franche-Comté, France) will join the team of invited speakers.


1st Sep 2017:

The workshop's program has now been finanlized. Due to other commitments, Professor Patrick Cheridito is not able to travel to Australia in December. We are very happy to annouce that Prof. Michael Sherris (UNSW Business School UNSW Sydney) is joining the list of invited speakers.



The following list represents the confirmed speakers for the workshop:

Associate Professor Benjamin Avanzi (UNSW Sydney, Australia)

Professor Carole Bernard (Grenoble School of Management, France)

Professor Pierre Del Moral  (INRIA, Bordeaux, France and UNSW Sydney, Australia)

Professor Robert Elliott (University of South Australia, Australia and University of Calgary, Canada)

Professor Michael Hanke  (University of Liechtenstein, Liechtenstein)

Professor Yuri Kabanov  (University of Franche-Comté, France)

Professor Marek Musiela  (Oxford-Man Institute of Quantitative Finance, UK)

Associate Professor Spiridon Penev  (UNSW Sydney, Australia)

Professor Ermanno Pitacco  (University of Trieste, Italy)

Professor Eckhard Platen  (University of Technology Sydney, Australia)

Professor Marcel Prokopczuk  (Leibniz University of Hannover, Germany)

Professor Marek Rutkowski  (University of Sydney, Australia)

Professor Pavel Shevchenko  (Macquarie University, Sydney)

Professor Michael Sherris  (UNSW Sydney, Australia)

Professor Stefan Tappe  (University of Freiburg, Germany)

Professor Leonie Tickle  (Macquarie University, Australia)



Talks of speakers:

Professor Michael Sherris

Market Price of Longevity Risk for A Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing (Professor Michael Sherris)

Professor Eckhard Platen

Market Efficiency and the Growth Optimal Portfolio

Professor Yuri Kabanov

Hedging on Markets with Small Transaction Costs

Professor Marek Rutkowski

American and Game Options in Nonlinear Financial Models

Professor Ermanno Pitacco

Heterogeneity in Mortality and Relevant Impacts in Life Insurance: a Review

Professor Pavel Shevchenko

Valuation of Variable Annuity Guarantees

Professor Stefan Tappe

Affine Term Structures for Interest Rate Models

Associate Professor Benjamin Avanzi

Modelling Insurance Claim Counts and Reporting Delays with Cox Processes

Professor Robert Elliott

Dynamic Risk Measures and Nonlinear Expectations with Markov Chain Noise

Professor Pierre Del Moral

On the Stability and the Uniform Propagation of Chaos Properties of Ensemble Kalman-Bucy Filters

Professor Marcel Prokopczuk

The Value of High-Frequency Data for Beta Estimation

Professor Michael Hanke

Random Orthogonal Matrix Simulation with Exact Means, Covariances, and Multivariate Skewness

Professor Carole Bernard

Risk Aggregation under Model Uncertainty

Associate Professor Spiridon Penev

The Impact of Model Risk on Dynamic Portfolio Selection under Multi-Period Mean-Standard-Deviation Criterion

Professor Leonie Tickle

A More Meaningful Parameterisation of the Lee-Carter Model

Professor Marek Musiela

How Quantitative Methods Influence and Shape Finance Industry





-$50 for students

-$100 dollars for early bird registration charge for academics/industry participants until 15 September 2017

-$150 dollars registration fee for academics/industry participants after 15 September 2017

All registration fees include lunch on the day of workshop but do not include cost of accommodation.

For Registration, see:




For the those participants' who are outside of Sydney region, we suggest a few potential choices of accommodation:

Suggested Accommodation,

(the accommodation costs are not included in the registration fee).



We would like to express our gratitude to the following sponsors:



Contact details:

Associate Professor Spiridon Penev:

Professor Pavel Shevchenko:

Associate Professor Benjamin Avanzi:

For technical assistance:

Dr Wei Wu:

Dr Renata Rendek:



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The webpage is constructed with the assistance of Dr Libo Li (UNSW Sydney, Australia) and from the codes and argument collected from the resources below.