Relazione sulle attività scientifiche del Centro Interuniversitario per le Scienze Attuariali e la Gestione dei Rischi (C.I.S.A.) anno 2006.

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:

  • 17-10-2006, ore 15:30
    Michele Gori (Universita\’ di Firenze): Smale\’s approach to existence and regularity for an economy with many agents and many commodities
  • 17-10-2006, ore 14:30
    Elena L. del Mercato (Universita\’ di Salerno): Infinite dimensional economies:some approaches to existence of equilibria
  • 30-05-2006, ore 15
    Prof Gabriel Navarro (Università di Valencia – Spagna): On the McKay conjecture
  • 23-05-2006, ore 15
    Prof Roberto Raimondo (Università di Melbourne – Australia): Equilibrium in Continuous Financial Markets: Endogenously Dynamically Complete Markets
  • 16-05-2006, ore 15
    Prof. Gaetano Bloise (Universita\’ di Roma III): Efficiency and prices in economics of overlapping generations
  • 09-05-2006, ore 15
    Prof Fausto Gozzi (LUISS – Roma): Vintage capital and related topics in the framework of AK models: a Dynamic Programming Approach
  • 11-04-2006, ore 15
    Prof Pietro Millossovich (Università degli Studi di Trieste): A Bidimensional Approach to Mortality Risk
  • 10-04-2006, ore 15
    Prof Francesco Russo (Universitè Paris 13, Institut Galilèe, Mathematiques.): Stochastic Calculus via Regularization, Generalized Follmer-Dirichlet processes, and Applications
  • 04-04-2006, ore 15
    Dott. Mauro Bambi (Istituto Universitario Europeo – Firenze): Endogenous Growth and Time to Build: the AK case
  • 30-03-2006, ore 15
    Dott. Roberto Reno\’ (Universita\’ di Siena): Threshold estimation of jump-diffusion models and interest rate modeling
  • 28-03-2006, ore 16
    Intervista al PROF.ANDREW WILES: l\’ultimo teorema di Fermat
  • 28-03-2006, ore 15
    Fabio Gobbi (Universita\\\’ di Firenze): Estimating the diffusion part of the covariation between two stochastic volatility models with Levy jumps
  • 14-03-2006, ore 15:30
    Sabrina Mulinacci (Universita\’ Cattolica di Milano): Inefficiency of the American option contract in incomplete markets
  • 28-02-2006, ore 15
    Maria Cristina Recchioni (Universita\\\\\\\’ delle Marche): A method to compute the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term
  • 14-02-2006, ore 15:30
    Emanuele Vannucci (Universita\’ di Pisa): A model for analyzing the effects of information asymmetries of the traders
  • 31-01-2006, ore 15:30
    Prof Nino Savelli (Universita\’ Cattolica di Milano): Risk-Based Capital Modelling for Property and Casualty Insurers
  • 17-01-2006, ore 14:30
    Prof Manuel Guerra (ISEG , Tech. Univ. Lisbona, Portogallo): Regularizing optimal control-affine problems


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”.