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Joint Seminar: TU Wien, University of Vienna and WU Vienna
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Th., 2.3.2017, 16:30, seminar room DC rot 07
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section
Denis Parganlija (TU Wien)
http://hep.itp.tuwien.ac.at/~denisp/
"A New Physics-Based Approach to Studies of Financial Markets
based on the Linear Sigma Model"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
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TU Wien, Research Unit Econometrics
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We., 22.2.2017, 14:00, Seminarraum DB gelb 04
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, yellow section
Bernard Hanzon
(Dept. of Mathematics, University College Cork, Ireland)
http://euclid.ucc.ie/hanzon/hanzon.htm
"2EPT": Financial modelling using random variables
with rational characteristic function"
Abstract:
Exponential-polynomial-trigonometric (EPT) functions form a general
class of functions that has a long history (dating back at least to
Euler and d'Alembert in the 1740's!), is well-studied and has a lot of
nice properties. Here we report on the possibilities it supplies for
usage as probability density functions of non-Gaussian random variables
in financial modelling. Topics in the talk include: Representation of
such functions (using so-called state space realization techniques from
linear systems theory); Positivity/non-negativity issues; Extension to
probability measures on the real line (2EPT): this will lead to the
class of all probability measures on the real line with rational
characteristic function; Characterization of the class of infinitely
divisible 2EPT probability density functions and corresponding Levy
processes and application in Finance and Financial option pricing. If
time permits some remarks will be made about the link with related
(discrete probability) GPT density functions and their estimation (where
maximum likelihood estimation corresponds directly to Kullback-Leibler
divergence minimization) and the potential usage for EPT and 2EPT
estimation. A large part of this research is based on joint work with
Conor Sexton(Barclays London) and Finbarr Holland (UCC).
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VieCo 2017
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Vienna–Copenhagen Conference on Financial Econometrics
March 9-11, 2017, Vienna, Austria
http://vieco2017.univie.ac.at/
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IME 2017
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21st International Congress on
Insurance: Mathematics and Economics
&
IME Educational Workshop
July 3-5 & 6-7, 2017, Vienna, Austria
https://fam.tuwien.ac.at/ime2017/
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Dear Colleagues and Friends,
we like to bring the following events to your attention:
IME 2017:
21st International Congress on
Insurance: Mathematics and Economics
Mon-Wed, July 3-5, 2017
&
IME Educational Workshop
Thu-Fri, July 6-7, 2017
Vienna, Austria
For further information (and our promotional video to announce the
conference), please see below or visit the IME 2017 website:
https://fam.tuwien.ac.at/ime2017/
We thank you for your interest and are looking forward to welcoming you
in Vienna!
With kind regards
from the IME 2017 organisers
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General Information
The 21st International Congress on Insurance: Mathematics and Economics
(IME 2017), scheduled July 3-5 2017, is one of the largest international
meeting series in actuarial science.
The aim of the conference is "to strengthen communication between
individuals and groups who produce and apply research results in
insurance and finance, aiming to integrate the research in both fields".
The conference deliberations will be on the following themes:
- Life Insurance;
- Non-Life Insurance;
- Reinsurance and Other Risk-Sharing Arrangements;
- Risk Management;
- Financial Modeling.
In the framework of the Panel Discussion (July 3, 2017) with the topic
"Ultra-low interest rates in insurance business" we offer the conference
participants a platform for discussions with a number of renowned experts.
The IME Educational Workshop (July 6-7, 2017) is a satellite event of
the IME 2017, aiming at academics and practitioners and providing a
general survey over the past and current research results and their
practical applications.
The topics of the workshop are:
- Life Insurance,
- Non-Life Insurance,
- Claims Reserving Methods,
- Computational Actuarial Science with R.
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Location:
TU Wien (Vienna University of Technology)
Wiedner Hauptstraße 8-10, 1040 Wien, Austria
Organized by:
Actuarial Association of Austria
TU Wien
Gold Sponsors:
msg life Austria GmbH
Sparkassen Versicherung AG
Silver Sponsor:
Vienna Insurance Group AG
(further sponsors are welcome)
Invited Plenary Speakers at IME 2017 Congress:
Corina Constantinescu-Loeffen (Univ. of Liverpool, UK)
Catherine Donnelly (Heriot-Watt University, UK)
Paul Embrechts (ETH Zurich, CH)
Panel Discussion at IME 2017 Congress:
Paul Embrechts (ETH Zurich, CH)
Ralf Korn (TU Kaiserslautern, DE)
Antoon Pelsser (Maastricht University, NL)
Panelists from private sector t.b.a.
Invited Plenary Speakers at IME 2017 Workshop:
Anna Rita Bacinello (University of Trieste, IT)
René Dahms (ETH Zurich, CH)
Vincent Goulet (Université Laval, Québec, CA)
Stefan Thonhauser (Graz University of Technology, AT)
Scientific Committee
Hansjörg Albrecher (University of Lausanne, CH)
Phelim P. Boyle (University of Waterloo, CA)
Jan Dhaene (KU Leuven, BE)
Boualem Djehiche (KTH Stockholm, SE)
Jose Garrido (Concordia University, Montreal, US)
Marc Goovaerts (KU Leuven, BE)
Rob Kaas (University of Amsterdam, NL)
Stéphane Loisel (Université Lyon 1, FR)
Thorsten Rheinländer (TU Wien, AT)
Uwe Schmock (TU Wien, AT)
Arnold Shapiro (Pennsylvania State University, USA)
Elias Shiu (University of Iowa, USA)
Mogens Steffensen (University of Copenhagen, DK)
Qihe Tang (University of Iowa, US)
Gordon Willmot (University of Waterloo, CA)
Hailiang Yang (University of Hong Kong, HK)
Local Organizing Committee
Julia Eisenberg (TU Wien)
Peter Grandits (TU Wien)
Karin Hirhager (Actuarial Association of Austria)
Manfred Rapf (Actuarial Association of Austria)
Thorsten Rheinländer (TU Wien)
Uwe Schmock (TU Wien)
Sandra Trenovatz (TU Wien)
Submissions
The call for contributed talks and posters
is open until April 7, 2017.
https://fam.tuwien.ac.at/ime2017/registration.php
Registration
Early registration is possible until May 15, 2017.
Registration is open until June 20, 2017.
https://fam.tuwien.ac.at/ime2017/registration.php
Continuing Professional Development (CPD)
The attendance at IME 2017 (full week, July 3-7, 2017)
qualifies for up to 30 CPD credits.
About 18 CPD credits for the IME Conference (July 3-5)
and 12 CPD credits for the IME Workshop (July 6-7).
Details & schedule will follow soon.
For any requests, do not hesitate to write an e-mail to the
IME conference & workshop secretariat: ime2017(a)fam.tuwien.ac.at