Risk 2019 Workshop
Thursday 12 – Friday 13 December 2019
A joint UNSW - Macquarie University Workshop “Risk: modelling, optimization and inference” with applications in finance, insurance and superannuation will be held at Macquarie University’s City Campus.
This workshop, held every second year, will discuss high quality research in areas of risk modelling with particular emphasis applications for finance, insurance and superannuation. It will reflect recent events and current issues facing those managing risk across different sectors, allowing academic research to be profiled while considering its direct application to industry.
Talks will be at a level suitable for post-graduate and advance undergraduate students, as well as for researchers and practitioners working in the superannuation, finance and insurance sectors, who would like to learn more about the mathematical, statistical and operations research aspects of risk.
Leading experts will present at the workshop, and speaker details can be seen below.
Speakers and presentation titles
- Robert Elliott - The Semimartingale representation of a semi Markov chain
- Runhuan Feng - Peer-to-peer multi-risk mutual aid plans
- Jean-Pierre Fouque - Optimal portfolio under fractional stochastic environment
- Rüdiger Frey - Value adjustments and dynamic hedging of reinsurance counterparty risk
- Gery Geenens - Copula modelling for discrete random variables; or how to pour new wine into old bottles
- Katja Hanewald - An experimental study of the demand for hybrid longevity and health insurance products
- Michael Hanke - Numeraire dependence in risk-neutral probabilities of event outcomes
- Katja Ignatieva - Quantifying credit contagion through numbers of defaults
- Han Li - Analyzing mortality bond indexes via hierarchical forecast reconciliation
- Stéphane Loisel - Longevity risk and quickest detection in practice
- Spiridon Penev - On robust index tracking
- Pavel Shevchenko - Optimal decisions in retirement under expected utility stochastic control framework
- Qihe Tang - CAT bond pricing under a product probability measure with POT risk characterization
- Peter Tankov - Price formation and optimal trading in intraday electricity markets
- Susan Thorp - Communicating Risk
- Jae Kyung Woo - Bayesian credibility under a bivariate prior on the frequency and the severity of claims
Professor Pavel Shevchenko, Department of Actuarial Studies and Business Analytics, Macquarie University
Associate Professor Spiridon Penev, School of Mathematics and Statistics, UNSW
Associate Professor Benjamin Avanzi, School of Risk and Actuarial Studies, UNSW Business School
Macquarie Business School City Campus
Angel Place, Level 24, 123 Pitt Street, Sydney
Please register here.
Academics and industry participants
$100 early bird rate until 15 September
$150 after 15 September
Previous workshops Risk: modelling, optimization and inference (with applications for finance, insurance and superannuation):