2005

Attività scientifiche del Centro Interuniversitario per le Scienze Attuariali CISA anno 2005.

Il C.I.S.A. ha organizzato in collaborazione con il Dipartimento di Matematica per le Decisioni (DIMAD) dell’Università di Firenze il seguente ciclo di seminari.

I Semestre:

18-01-2005 Giacomo Scandolo (DiMaD, Università degli studi di Firenze):
Misure di rischio per processi e capital requirements

05-04-2005 Fausto Gozzi (Dipartimento di Scienze Economiche e Aziendali, Facoltà di Economia LUISS – Guido Carli): 
Pension funds with a minimum guarantee: a stochastic control approach

06-04-2005 Friedrich Hubalek (Department of Mathematical Sciences at Aarhus University, Denmark, e Institute of Mathematical Finance at the Technical University di Vienna): 
On the minimal entropy martingale measure, the Esscher transform, and other changes of measure for Levy-driven asset price models with and without stochastic volatility

28-04-2005 Manuel Guerra (Università Tecnica di Lisbona, Portogallo):
Generalized controls for affine systems and their extremal synthesis

04-05-2005 Prof Arturo Kohatsu-Higa (Universitat Pompeu Fabra (Spain)):
Insider trading in anticipating markets

II Semestre:

07-07-2005 Ilaria Colivicchi (Ricercatore Univ. Cattolica, Milano): Counterpart Risk in the Insurer-Reinsurer Relationship

14-07-2005 Sara Biagini (Ricercatore, Università di Perugia): A unifying framework for utility maximization in general semimartingale models

08-11-2005 Antonio Villanacci (Universita’ di Firenze): A general equilibrium model with private provision of public good

06-12-2005 Dott. Ulysse SERRES (Università di Firenze): Zermelo’s navigation problem on Riemannian manifolds: some geometrical properties

13-12-2005 Dott.ssa Chiara PARRINI (dottorando, Università “La Sapienza” Roma): La riassicurazione Excess of Loss in un modello con dipendenza tra ammontare dei risarcimenti e tempo di intercorrenza tra i sinistri

Il C.I.S.A. ha partecipato all’organizzazione del New Mathematical Methods in Risk Theory Workshop in onore del Prof. Buehlmann svoltosi a Firenze nei giorni 6-8 Ottobre 2005 (http://www.riskworkshop.it).

Sono stati quindi svolti incontri di preparazione al Workshop in data:

20-04-2005 Risk Workshop in honour of Hans Buehlmann, Florence 6-8 October: NEWS

06-10-2005 New Mathematical Methods in Risk Theory, Workshop in honour of Hans Bühlmann
Intervengono al Workshop:

  •  Paul Embrechts (ETH-Zurich)
     Quantitative models for operational risk: extremes, dependence and aggregation
  •  Hans Gerber (HEC – Lausanne)
     Optimal dividends – ieri, oggi, tomorrow
  •  Claudia Klüppelberg (TU – Munich), Yuliya Bregman (University of Munich)
     Ruin estimation in multivariate models with Clayton dependence structure
  •  Friedrich Schmid (University of Cologne)
     Multidimensional conditional versions of Spearman’s rho
  •  Umberto Cherubini, Silvia Romagnoli (University of Bologna)
     Barrier copula functions
  •  Emanuele Vannucci (University of Pisa)
     Risk sharing between cedent and reinsurer when dependence is described by    copulas
  •  Pauline Barrieu (LSE)
     G-conditional risk measures and optimal risk transfer
  •  Georg Pflug (University of Vienna)
     Subdifferential representations of risk measures
  •  Werner Hurlimann (Aon Re – Swiss)
     A note on generalized distortion risk measures
  •  Renato Pelessoni, Paolo Vicig (University of Trieste)
     Convex conditional risk measures and dilation
  •  Rudiger Frey (University of Leipzig)
     Dynamic portfolio credit risk models, default contagion and credit derivatives
  •  Hanspeter Schmidli (University of Cologne)
     Optimal dividends in the classical risk model
  •  Soren Asmussen, Hansjoerg Albrecher, Leonardo Rojas-Nandayapa (University of      Aarhus)
     Sums of dependent risks
  •  Marco Scarsini (University of Torino), Rose-Anne Dana (University Paris Dauphine)
     Risk sharing with background risk
  •  Fabio Spizzichino (University of Roma 1)
     A class of bivariate competing risk models
  •  Piotr Jaworski (Warsaw University)
     Value at Risk for asymptotically dependent returns
  •  William Ziemba (UBC – Vancouver), Roy Kouwenberg (Rotterdam University)
     Incentive and risk taking in hedge funds
  •  Francois Quittard-Pinon, Carole Bernard (University of Lyon 1), Olivier Le Courtois  (Lyon Graduate School of Management)
     Development and pricing of a new participating contract
  •  Riccardo Luccio, Emilia Salvadori (University of Firenze)
    Measurement in risk perception & Signal Detection Theory
  •  Hidetoshi Nakagawa (Tokyo Institute of Technology),Tomoaki Schouda (MTB–  Japan)
     Analyses of mortgage-backed securities based on unobservable prepayment cost-  processes
  •  Franco Moriconi (University of Perugia)
     Towards fair valuation of insurance liabilities
  •  Helyette Geman, (University Paris Dauphine and ESSEC)
     Risk management in new markets: from insurance derivatives to weather and  electricity derivatives
  •  Giovanni Barone-Adesi, Loriano Mancini (University of Lugano), Robert Engle (NYU)
     GARCH options in incomplete markets
  •  Luis Gorostiza (Cinvestav – Mexico)
     Some new self-similar long-range dependence processes
  •  Svetlana Borovkova (Delft University)
     A new seasonal volatility model and its application to electricity prices
  •  Jeannette Woerner (University of Gottingen)
     Analyzing the fine structure of log-returns
  •  Annamaria Olivieri (University of Parma), Ermanno Pitacco (University of Trieste)
     Accounting for the cost of capital in the valuation of the life annuity business
  •  Pierre Devolder (UCL – Lovain)
     Joined stochastic mortality and investment models and application to valuation of    life insurance contracts
  •  Hansjoerg Albrecher (University of Aarhus)
     A unified approach to the analysis of some popular collective risk models
  •  Pietro Milossovich (University of Trieste), Gianluca Fusai (University of Piemonte    Orientale), Enrico Biffis (Bocconi University)
     Sample path properties of risk factors and the pricing of survival guarantees
  •  Elisa Luciano (University of Torino), Wim Schoutens (KU – Leuven)
     A multi-variate jump-driven financial asset model
  •  Walter Farkas (University of Zurich)
     Option pricing under Lévy copulas
  •  Yoshio Miyahara (Nagoya City University)
     Martingale measures for the geometric Lévy process models
  •  Stefan Kassberger, Rudiger Kiesel, Thomas Llebmann (University of Ulm)
     Fair valuation of insurance contracts underLlévy process specifications
  •  Carlo Sgarra (Politecnico di Milano), Friedrich Hubalek (University of Aarhus)
     Quadratic hedging for BNS models
  •  Keiichi Hori (Ritsumeikan University – Kyoto), Keizo Mizuno (Kwansei University)
     Network investment and competition with access-to-bypass
  •  Mihail Zervos (King’s College – London)
     A model for the long-term optimal capacity level of an investment project
  •  Stefano Benati, Romeo Rizzi (University of Trento)
     Using medians in portfolio optimization
  •  Stéphane Villeneuve, Jean-Paul Décamps (University of Toulouse)
     Optimal dividend policy and growth option to expand
  •  Hiroaki Yamauchi (MTEC – Japan)
     On a Tuning Method for Credit Scoring Models Using Multi-Objective GA
  •  Rama Cont (Ecole Polytechnique Paris)
     Model uncertainty in option pricing
  •  Shigeyoshi Ogawa (Ritsumeikan University – Kyoto)
     Noncausal calculus for modeling of noncausal problems in Mathematical Sciences

Nel corso del Workshop si è tenuta la LECTIO MAGISTRALIS del Prof. Hans Bühlmann, Emeritus Professor of the Swiss Federal Istituite of Technology (ETH) dal titolo “Certum ex Incertis”.

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