This week there is a seminar talk on Tuesday. Furthermore we invite you
to a two-day-workshop for students and practitioners (in german
language, registration necessary).
---------------------------------------------------------------
Tu, 23.02.2010, 16:30, seminar room 107:
Habib Esmaeili (TU München und WPI)
"Parameter estimation of Levy copula-based models
with application in insurance"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------------------------------------------------------------
Einladung zum Workshop
"Praxis der Finanz- und Versicherungsmathematik 2010"
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
Zeit: Montag, 1. März 2010 (9:30-17:00 Uhr) und
Dienstag, 2. März 2010 (9:00-17:00 Uhr)
Ort: Festsaal der Technische Universität Wien,
Karlsplatz 13, Hauptgebäude, Stiege I, 1. OG
Programm und Info:
http://www.fam.tuwien.ac.at/events/praxisFVM2010/
Organisation:
Dr. Reinhold Kainhofer,
Forschungsgruppe Finanz- und Versicherungsmathematik, TU Wien
Teilnahme kostenlos!
Anmeldung unter secr(a)fam.tuwien.ac.at erforderlich!
Ziel dieses Workshops ist ein repräsentativer Querschnitt durch das
wirtschaftliche, rechtliche und praktische Umfeldes eines Mathematikers
in der Finanz- und Versicherungsbranche.
Dazu finden einerseits Vorträge von Vertretern der AVÖ, der FMA, der
Nationalbank etc. statt, um das organisatorische, berufsethische und
aufsichtsrechtliche Umfeld vorzustellen. Andererseits sprechen
Mathematiker über ihren Tätigkeitsbereich in der Praxis der
Versicherungs- und Finanzbranche und stellen aktuelle praktische
Problemstellungen und mathematische Anwendungen vor.
Vor allem letztere Vorträge sollen auch in der Praxis tätigen Aktuaren
und Finanzmathematikern einen guten Überblick über andere Gebiete und
einen Blick über den eigenen Tellerrand hinaus liefern.
_Vortragende an den 4 Halbtagen_
- Montag, 1. März 2010, Vormittag:
Das organisatorische und rechtliche Umfeld für
Finanz- und Versicherungsmathematiker
Mag. Christoph Krischanitz (Präsident der AVÖ, arithmetica)
Dipl.-Ing. Peter Prieler (Generalsekretär der AVÖ)
Mag. Eva Fels (Versicherungsverband Österreichs - VVÖ)
Dr. Johann Kronthaler (Österreichische Finanzmarktaufsicht - FMA)
Dipl.-Ing. Florian Leisch (Österreichische Nationalbank)
- Montag, 1. März 2010, Nachmittag:
Finanz- und Versicherungsmathematik in der Praxis:
Demografie und ihre Auswirkungen
Dipl.-Ing. Mario Kasper (SCOR Global Life SE, Niederlassung Wien)
Prof. Dr. Rainer Münz (Leiter der Forschungsabt., Erste Group Bank)
- Dienstag, 2. März 2010, Vormittag:
Mathematiker in der Finanzbranche
Dr. Martin Predota, CRM (ERSTE-SPARINVEST KAG)
Dr. Christopher Summer, Dr. Bernhard Herzig (BAWAG P.S.K.)
Dr. Richard Warnung (Raiffeisen Capital Management, RCM)
Robert Rieder (Verbund - Austrian Power Trading AG)
- Dienstag, 2. März 2010, Nachmittag:
Mathematiker in der Versicherungsbranche
Dr. Jürgen Hartinger (Kärtner Landesversicherung)
Dipl.-Ing. Thomas Dockal (UNIQA, Aktuarieller Support & Risikomanagem.)
Dipl.-Ing. Beatrix Griesmeier, Dipl.-Ing. Klaus Kühnen (actuaria
benefits consulting)
Dipl.-Ing. Karl Metzger (UNIQA, verantw. Aktuar Krankenversicherung)
_Weiterbildung - Continuing Professional Development_
Für Aktuare kann eine Teilnahmebestätigung über eine entsprechende
Anzahl von CPD-Punkten für die Weiterbildung ausgestellt werden.
Info zur Weiterbildung und zu CPD-Punten siehe:
http://www.fam.tuwien.ac.at/lehre/aktuar/
Anmeldung erforderlich!
_Anmeldung_
Die Teilnahme an dieser Veranstaltung ist kostenlos, eine Anmeldung
unter secr(a)fam.tuwien.ac.at ist aus organisatorischen Gründen in jedem
Fall erforderlich.
Falls eine Bestätigung für die CPD-Punkte gewünscht wird, bitte bei der
Anmeldung (mit Adresse) auch konkret angeben, an welchen Halbtagen Ihre
Teilnahme erfolgt
Detailliertes Programm und Info:
http://www.fam.tuwien.ac.at/events/praxisFVM2010/
This week we inform about:
- a 2-day-workshop at TU Wien, organised by FAM, on 1st & 2nd of March
- series of talks at University of Vienna, beginning next week
- and about the AnStAp10-Conference in July (registration is open!)
========================================================================
FAM @ TU Wien: 2 day workshop for students & practitioneers (in german)
2-tägiger Workshop:
"Praxis der Finanz- und Versicherungsmathematik 2010"
http://www.fam.tuwien.ac.at/events/praxisFVM2010/
Ort: Technische Universität Wien
Hörsaal: EI 4 "Reithoffer"
Gußhausstraße 25, Stiege VIII (Hauptstiege), 2. Stock
Zeit: Montag, 1. März 2010 - Dienstag, 2. März 2010,
jeweils 9.00-17.00 Uhr
Ziel dieses Workshops bzw. dieser Block-Lehrveranstaltung ist das
Kennenlernen des wirtschaftlichen, rechtlichen und praktischen Umfeldes
eines Mathematikers in der Finanz- und Versicherungsbranche.
Dazu finden in einem ersten Block Vorträge von Vertretern der
Aktuarvereinigungen, der Finanzmarktaufsicht, der Nationalbank etc.
statt, um das organisatorische und aufsichtsrechtliche Umfeld (v.a. aus
Sicht von Mathematikern) vorzustellen. In einem zweiten Block sprechen
Absolventen der Mathematik über ihren Tätigkeitsbereich in der Praxis
der Versicherungswirtschaft sowie der Finanzbranche und stellen aktuelle
praktische Problemstellungen vor.
Die Teilnahme ist kostenlos. Aktuare können bei dieser Veranstaltung
CPD-Punkte für ihre Weiterbildung sammeln.
Eine Anmeldung ist erforderlich! Info auf der Webseite:
http://www.fam.tuwien.ac.at/events/praxisFVM2010/
Sponsoren für Kaffeepausen sind herzlich willkommen.
========================================================================
Talks at the Faculty of Mathematics (Nordbergstrasse 15, 1090 Vienna):
Mo, February 8, 2010, 13:30-15:00, seminar room D103 (1st floor)
Peter Grandits:
"Optimal consumption in a Brownian Model with
absorption a finite time horison"
Tu, February 9, 2010, 14:00-15:00, seminar room C714 (7th floor)
Ivar Ekeland:
"The Ramsey growth model in economic theory"
Tu, February 16, 2010, 14:00-15:00, seminar room C714
Ivar Ekeland:
"Solving the Hamilton-Jacobi equation"
Tu, February 23, 2010, 14:00-15:00, seminar room C714
Ivar Ekeland:
"Intergenerational equity, time inconsistency
and equilibrium strategies"
Tu, March 2, 2010, 14:00-15:00, seminar room C714
Ivar Ekeland:
"Soving systems of Hamilton-Jacobi equation"
========================================================================
The registration of the AnStAp10-Conference is open:
+------------------------------------------------
|
| Analysis, Stochastics, and Applications -
| A conference in Honor of Walter Schachermayer
|
| Vienna, July 12-16, 2010
|
| http://www.mat.univie.ac.at/anstap10/
|
+----------------------------------------------------
Timetable
Tu, 26.01.2010, 16:30, seminar room 107
Eberhard Mayerhofer (Vienna Institute of Finance)
"On strong solutions of positive definite jump-diffusions"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
As in the upcoming week there are no talks at FAM, we refer to a talk at
Univ. of Vienna - furthermore we inform about a few *mailing lists*.
-----
Mo, January 18, 2010, 13:30-15:00, seminar room D103,
UZA 4, Univ. Wien, Faculty of Math., Nordbergstrasse 15, 1090 Wien.
Marcel Nutz (ETH Zürich):
"Bellman Equation and Risk Aversion Asymptotics
for Power Utility Maximization"
-----
+-------------------
| MAILING LISTS
+------------------------------
*FAM-news* mailing list
talks and events in the area of financial and actuarial mathematics,
everything at FAM (http://www.fam.tuwien.ac.at/events/),
additionally sometimes even more. sent once a week.
(this mail is sent via the FAM-news mailing list :)
*FAM-vr* mailing list
talks within the lecture series financial and actuarial mathematics
organised by FAM in cooperation with AVÖ (Aktuarvereinigung),
GVFW (Österreichische Gesellschaft für Versicherungsfachwissen)
UniVie and VIF: http://www.fam.tuwien.ac.at/vr/ .
Only a few mails per year - mainly for practitioneers.
*FAM-jobs* mailing list
job offers in the area of financial and actuarial mathematics
in austria (and internship offers for students worldwide):
http://www.fam.tuwien.ac.at/jobs/
announcements of job offers are free!
(for worldwide jobs we refer to http://www.math-jobs.com/)
*VFN-L* - Vienna Finance Newsletter
announcements of lectures, conferences (and more) about finance
and economics. everybody can post - a moderator decides
what is sent to the mailing list:
http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l
*VGSF* newsletter
talks & announcements of the Vienna Graduate School of Finance
http://www.vgsf.ac.at/vgsf/activities/seminar
*Math@UniVie, ESI, WPI, WK*
if you want to get a weekly announcement of talks & events at the
faculty of mathematics (university of vienna), ESI, WPI & WK
send an email to: Danijela.Radosavljevic(a)univie.ac.at .
find talks/events here: http://plone.mat.univie.ac.at/vortrage
I am very sorry to bother everybody again, but it was necessary to
reschedule the Viktor Todorv's talk once more.
Below is the updated information for the talks on Jan 13.
Friedrich Hubalek
We, 13.01.2010, 11:00-12:00, Seminar room C 7.14 (Wofgang Pauli Inst.),
(1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 7th floor)
Jean Jacod (Université Paris VI):
"Statistics for high frequency data: some open problems"
We, 13.01.2010, 13:15 - 14:15, Seminar room D 1.01 (Mathematik),
(1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 1st floor)
Viktor Todorov (Kellogg School of Management):
"Tails, Fears and Risk Premia"
We, 13.01.2010, 15:15-16:00 Uhr, Seminar room C 2.09
(1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 2nd floor)
Mark Podolskij (ETH Zurich)
"Stein's Method, Malliavin Calculus and Central Limit Theorems"
(Außerordentliches Mathematisches Kolloquium)
---
Timetable
Tu, 12.01.2010, 16:30, Freihaus Hörsaal 3,
(1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section)
Pavel V. Shevchenko (CSIRO, Sydney)
"Quantitative modelling of financial risks"
(Vortragsreihe aus Finanz- und Versicherungsmathematik)
http://www.fam.tuwien.ac.at/events/vr/20100112.php
Furthermore also announce interesting talks at University of Vienna:
We, 13.01.2010, 11:00-12:00, Seminar room C 7.14 (Wofgang Pauli Inst.),
(1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 7th floor)
Jean Jacod (Université Paris VI):
"Statistics for high frequency data: some open problems"
We, 13.01.2010, 14:00-15:00, Seminar room D 1.01 (Mathematik),
(1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 1st floor)
Viktor Todorov (Kellogg School of Management):
"Tails, Fears and Risk Premia"
We, 13.01.2010, 15:15-16:00 Uhr, Seminar room C 2.09
(1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 2nd floor)
Mark Podolskij (ETH Zurich)
"Stein's Method, Malliavin Calculus and Central Limit Theorems"
(Außerordentliches Mathematisches Kolloquium)
These talks and abstracts are (will be) announced on:
http://plone.mat.univie.ac.at/talks/calendar
This week we refer to the following talks:
Tu, December 17, 2009, 15:00-16:00
1090 Wien, Nordbergstrasse 15, Seminarraum C 714 (WPI Seminarraum)
- Ziehaus Christina (FAM @ TU Wien)
"Optimal Risk Sharing for Quasi Convex Risk Measures"
- Karlsson Sara (FAM @ TU Wien)
"Translation of market information the Levy measure code book"
WK Student Seminar.
http://www.wpi.ac.at/talks_view.php
Fr., December 18, 2009, 15:15-16:00
1090 Wien, Nordbergstrasse 15, Seminarraum C 209, UZA 4
- Josef Teichmann (ETH Zürich)
"A dynamic approach to scenario generation for risk management"
Außerordentliches Mathematisches Kolloquium.
http://plone.mat.univie.ac.at/talks/calendar
Fr., December 18, 2009, 15:30-17:00
1190 Wien, Heiligenstädter Strasse 46-48, Seminar Room 1
- Philipp Illeditsch (University of Pennsylvania, Finance Department)
"Ambiguous Information, Risk Aversion, and Asset Pricing"
VGSF-Seminar:
http://www.vgsf.ac.at/activities/seminar
Timetable
Tu, 01.12.2009, 16:30, seminar room 107
(1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section)
Laszlo Gyorfi
(Budapest University of Technology and Economics)
"Portfolio games"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
This week there are no talks at FAM (TU Vienna), but we refer to talks
at University of Vienna (Nordbergstrasse 15, 1090 Wien):
- Monday, Nov. 2, 2009, 13:30-15:00, D103, UZA 4
Aldo Pratelli (Universita di Pavia, Italy)
"On a conjecture by Auerbach"
(Seminar Finanzmathematik, W. Schachermayer)
- Thursday, Nov. 5, 2009, 15:15-16:30, C 207, UZA 4
Stephan Sturm
"Large Deviations and Dirichlet Forms"
Furthermore we inform about recruitment talks for the professorship
Stochastic Methods in Economics (focusing on problems in mathematical
finance and risk management):
We, 11.11.2009, 10:30, Rüdiger Frey (Universität Leipzig)
We, 11.11.2009, 14:00, Jan Kallsen (Universität Kiel)
We, 11.11.2009, 16:15, Syliva Frühwirth-Schnatter (Universität Linz)
Th, 12.11.2009, 10:00, Thorsten Schmidt (TU Chemnitz)
Th, 12.11.2009, 13:30, Mark Podolskij (ETH Zürich)
We, 18.11.2009, 12:00, Paolo Guasoni (Dublin City University)
More details will be announced next week.
You can find the details on: http://www.fam.tuwien.ac.at/events/
Timetable
Tu, 20.10.2009, 16:30, Freihaus Hörsaal 3
(1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section)
Giovanni Cesari (UBS Investmentbank London)
"Modelling, Pricing, and Hedging Counterparty Credit Exposure
(Vortragsreihe aus Finanz- und Versicherungsmathematik)
http://www.fam.tuwien.ac.at/events/vr/20091020.php
Furthermore this time we also announce two interesting talks at
University of Vienna:
Th, 22.10.2009, 11:15-12:15, Seminarraum S1
(1090 Wien, Althanstrasse 12)
Patrick Cheridito (Princeton University)
"Processes of class Sigma, last passage times and drawdowns"
(Abstract below)
Th, 22.10.2009, 13:15, Seminarraum C 209
(1090 Wien, Nordbergstr. 15, UZA 4)
Nicolas Vogelpoth (Vienna Institute of Finance)
"L^0-convex Analysis and Conditional Risk Measures"
http://plone.mat.univie.ac.at/events/2009/defensio-nicolas-vogelpoth.pdf
---
Abstract of P. Cheridito's talk:
"Processes of class Sigma, last passage times and drawdowns"
(joint work with Ashkan Nikeghbali and Eckhard Platen)
We propose a general framework to study last passage times, suprema and
drawdowns of a large class of stochastic processes. A central role in
our approach is played by processes of class Sigma. After investigating
convergence properties and a family of transformations that leave
processes of class Sigma invariant, we provide three general
representation results. The first one allows one to recover a process of
class Sigma from its final value and the last time it visited the
origin. In many situations this gives access to the distribution of the
last time a stochastic process hit a certain level or was equal to its
running maximum. It also leads to a formula recently discovered by
Madan, Roynette and Yor expressing put option prices in terms of last
passage times. Our second representation result is a stochastic integral
representation of certain functionals of processes of class Sigma, and
the third one gives a formula for their conditional expectations. From
the latter one can deduce the laws of a variety of interesting random
variables such as running maxima, drawdowns and maximum drawdowns of
suitably stopped processes. As an application we discuss the pricing and
hedging of options that depend on the running maximum of an underlying
price process and are triggered when the underlying drops to a given
level or alternatively, when the drawdown or relative drawdown of the
underlying attains a given height.
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 13.10.2009 Wolfgang Runggaldier
(University of Padua, Italy)
"Pricing under incomplete information without
equivalent martingale measures"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
seminars within one week
Tu, 06.10.2009, 16:30, HS 7 Schütte-Lihotzky (Karlsplatz 13,
main building of TU, stair case 7, ground floor)
Mario Wüthrich (ETH Zürich, Switzerland)
"Modellierung des Abwicklungsergebnisses im neuen
Solvenz-Modell"
Vortragsreihe aus Finanz- und Versicherungsmathematik
http://www.fam.tuwien.ac.at/events/vr/20091006.php
Th, 08.10.2009, 10:30, Hörsaal 4 Hochstetter (Karlsplatz 13,
main building of TU, court 1, ground floor)
Martin Schweizer (ETH Zürich, Switzerland)
"Horizon-dependence in optimal portfolio choice"
http://www.fam.tuwien.ac.at/events/index.php?showabstract=20091008
Beside the
PRisMa Day 2009 on Monday, September 28:
http://www.fam.tuwien.ac.at/events/prisma2009/
(there is no fee, nevertheless we ask for registration)
we refer to the
22nd Groupe Consultatif Colloquium "Pensions and Security"
organised by Actuarial Association of Austria on Fr., October 23:
http://www.avoe.at/veranstaltungen_groupe_consultatif.html
Please find details below.
Best regards,
Sandra Trenovatz
==========================================================
22nd Groupe Consultatif Colloquium "Pensions and Security"
==========================================================
Web Page:
http://www.avoe.at/veranstaltungen_groupe_consultatif.html
Date: Friday, October 23, 2009, 9:00-19:00
Program:
http://www.avoe.at/pdf/veranstaltungen/aktuell/GC_2009_Colloquium_brochure_…
Registration form:
http://www.avoe.at/pdf/veranstaltungen/aktuell/GC_2009_Colloquium_registrat…
Registration fee: 390 Euro
Closing date for registrations: October 2, 2009
Cancellation up to: October 12, 2009
Contact details:
European Actuarial Academy,
Hohenstaufenring 47-51
50674 Cologne
Germany
Phone: +49 221-912554-21
E-mail: contact(a)actuarial-academy.com
Organized by the Actuarial Association of Austria
http://www.avoe.at/
Location:
Vienna University of Technology
Lecture Theatre HS 17, Friedrich Hartmann Hörsaal
Karlsplatz 13 (Main Building)
Stiege VII, 3. Floor
1040 Vienna, Austria
http://www.wegweiser.ac.at/static/plaene/pdf/E_HS17_0038_00_1-1.pdf
Description of Event:
The theme of this year's Colloquium is pensions and security: risks in
pension systems and how to secure them. The past decade has brought
broad recognition of the importance of pension systems to the economic
stability of nations and the security of their ageing populations. As
countries around the world grapple with the long-term affordability of
their pensions systems, there are also growing demographic and economic
pressures that are forcing both developing and developed countries to
undertake urgent pension reforms. Most public pension schemes were not
designed to deliver current benefit levels when confronted with today's
major demographic and economic changes. Therefore, keeping existing
systems afloat will require either cutting public spending on health and
education, or cutting pensions drastically for the next generations of
elderly. The experience with reforms over the past ten years has also
shown that no one size fits all. The Colloquium will review a number of
the key issues which influence the risks and security of pension
systems, from various perspectives. There will be speakers from the
World Bank, the pensions industry, the actuarial profession and the
European Commission.
Program:
========
Thursday, October 22, 2009
19.00-21.30 Welcome reception and registration
Friday, October 23, 2009
09.30 Registration and coffee
10.00 Introduction and Welcome
Bruce Maxwell - Chairman, Groupe Consultatif
Philip Shier - Colloquium Chairman,
Chairman of Groupe Consultatif Pensions Committee,
Past President of Society of Actuaries in Ireland
Christoph Krischanitz - President Aktuarvereinigung Österreichs
10.30 Longevity and Morality Tables
Chresten Dengsoe - ATP Group, Denmark
11.30 Break
12.00 Defined Contribution Plans - Risks and Possibilities to Secure
or
Risks of Employers and of Employees in Different Pension Systems
Rokas Gylys - PriceWaterhouse, Lithuania Groupe
Consultatif Working Group on Defined Contribution
Schemes
13.00 Lunch
14.00 Accounting Rules - A System for Securing Pensions
David Cairns - The World Bank, Europe and Central Asia Region
15.00 Reinsurance - A Way to Achieve Security
Daria Kachakhidze - SCOR Global Life SE,
R&D Centre for Mortality and Longevity
16.00 Break
16.30 Update on Solvency for IORPs
Karel van Hulle (to be confirmed)
- European Commission Internal Market DG,
Insurance and Pensions Unit
17.30 Close of the Colloquium
Philip Shier - Colloquium Chairman
17.45 Coach departs for short drive from Technical University
18.30 Colloquium Dinner: Restaurant Oktogon Am Himmel
http://www.himmel.at/oktogon/
22:00 Return to hotels
Language:
The language of the Colloquium will be English
Continuous Professional Development:
Participants may claim up to 5 hours CPD for this Colloquium
Local Airlines:
- Fly Niki <http://www.flyniki.com/>
- Austrian Airlines: <http://www.aua.com/>
Railway: <http://www.oebb.at/>
Nearby Hotels: <http://alm.fam.tuwien.ac.at/hotels.php>
See you in Vienna! With best regards,
Uwe Schmock
--
Prof. Dr. Uwe Schmock
Institute for Mathematical Methods in Economics
Research Unit: Financial and Actuarial Mathematics
Vienna University of Technology
Wiedner Hauptstrasse 8-10/105-1
A-1040 Vienna
Austria
Personal Home Page:
<http://www.fam.tuwien.ac.at/~schmock/>
Financial and Actuarial Mathematics (FAM) at TU Vienna
<http://www.fam.tuwien.ac.at/>
CD-Laboratory for Portfolio Risk Management (PRisMa Lab)
<http://www.prismalab.at/>
PRisMa 2009: One-Day Workshop on Portfolio Risk Management
==========================================================
WEB PAGE: <http://www.fam.tuwien.ac.at/prisma2009/>
ORGANIZED BY:
- PRisMa Lab <http://www.prismalab.at/>
- FAM @ TU Vienna <http://www.fam.tuwien.ac.at/>
DATE: Monday, September 28, 2009, 9:00-19:00
SPONSORED BY:
- Christian Doppler Research Association
- Bank Austria
- Austrian Federal Financing Agency
- FJA
LOCATION:
Vienna University of Technology
Karlsplatz 13 (Main Building)
1040 Vienna, Austria
Lecture Hall HS 13 Ernst Melan (Court VII, 2nd floor)
Participation is free. Everyone is welcome, practitioners are especially
encouraged to attend.
PROGRAM:
09.00-09.10: Welcome
09.10-10.00:
Prof. Dr. Alexander Schied (Universität Mannheim)
"Order Book Resilience, Price Manipulation,
and the Positive Portfolio Problem"
10.00-10.30: Coffee Break
10.30-11.15:
Prof. Dr. Walter Schachermayer (Universität Wien)
"Representation Results for Law Invariant Time Consistent Functions"
11.15-12.00:
Dr. Beatrice Acciaio (University of Perugia)
"Risk Assessment for Cash Flows under Model and Discounting Ambiguity"
12.00-14.00: Lunch Break
14.00-14.45:
Dipl.-Math. Barbara Dengler (PRisMa Lab, FAM @ TU Wien)
"On the Asymptotic Variance of the Estimator of Kendall's Tau
for the t-Distribution"
14.45-15.30:
Dipl.-Math. Verena Goldammer (FAM @ TU Wien)
"Generalization of the Dybvig-Ingersoll-Ross Theorem
and Asymptotic Minimality"
15.30-16.00: Coffee Break
16.00-16.45:
Dr. Gregory Temnov (University College Cork)
"Natural Exponential Family with Stability Property
with Application to Financial Modelling"
16.45-17.30:
Dipl.-Ing. Christa Cuchiero (ETH Zürich)
"Affine Processes on Positive semidefinite matrices"
17.30-19.00: Bread and Wine
ABSTRACTS and LINKS: <http://www.fam.tuwien.ac.at/prisma2009/>
REGISTRATION: There is no official registration - nevertheless for
administrative reasons we would be happy about a short e-mail to Mr.
Christian Gawrilowicz <secr(a)fam.tuwien.ac.at> including your name and
organization.
CPD: For actuaries, this workshop counts for their continuing
professional development. For a corresponding certificate, please
register in advance for the morning and/or afternoon part of the
workshop by sending an email with your name and postal address to the
workshop secretary Mr. Christian Gawrilowicz <secr(a)fam.tuwien.ac.at> and
sign up when you actually attend the workshop.
LOCAL AIRLINES:
- Fly Niki <http://www.flyniki.com/>
- Austrian Airlines: <http://www.aua.com/>
RAILWAY: <http://www.oebb.at/>
NEARBY HOTELS: <http://alm.fam.tuwien.ac.at/hotels.php>
See you in Vienna! With best regards,
Uwe Schmock
--
Prof. Dr. Uwe Schmock
Institute for Mathematical Methods in Economics
Research Unit: Financial and Actuarial Mathematics
Vienna University of Technology
Wiedner Hauptstrasse 8-10/105-1
A-1040 Vienna
Austria
Personal Home Page:
<http://www.fam.tuwien.ac.at/~schmock/>
Financial and Actuarial Mathematics (FAM) at TU Vienna
<http://www.fam.tuwien.ac.at/>
CD-Laboratory for Portfolio Risk Management (PRisMa Lab)
<http://www.prismalab.at/>
There are no talks planned during summer time, so i refer to the
next FAM-event in September. Best regards, Sandra (FAM-office)
+-----------------------------------------------------+
| |
| PRisMa 2009 |
| "One-Day Workshop on Portfolio Risk Management" |
| |
| Monday, September 28th, 2009 |
| Vienna University of Technology, Austria |
| |
| http://www.fam.tuwien.ac.at/events/prisma2009/ |
| |
+-----------------------------------------------------+
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 09.07.2009 Carlo Sgarra (Politecnico di Milano, Italy)
"Risk premium and risk-neutral valuation in
electricity markets"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Thursday, 16:30,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 02.07.2009 Antonis Papapantoleon (QP-Lab, TU Berlin, Germany)
"Towards an "affine LIBOR" model with default risk"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
+------------------------------------------------------------+
| |
| A U S S C H R E I B U N G |
| einer |
| |
| (Universitäts-) AssistentInnen-Stelle mit Doktorat |
| |
| in der Forschungsgruppe |
| Finanz- und Versicherungsmathematik |
| |
| http://fam.tuwien.ac.at/jobs/20090625.php |
| |
+------------------------------------------------------------+
Timetable
Thursday, 16:30,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 18.06.2009 Laura Ballotta (City University London, UK)
"Investment strategies and risk management for
participating life insurance contracts"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Thursday, 16:30-18:00,
TU Vienna, "Freihaus", green area, 6th floor, seminar room 107.
Th, 04.06.2009 Andrea Pascucci (University of Bologna, Italy)
"Kolmogorov equations and applications to path dependent
derivatives"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
As this week there is no FAM event, we announce a seminar of the ÖFdV
"Österreichischer Förderungsverein für Versicherungsmathematik":
+--------------------------------------------------------+
| |
| Donnerstag, 4. Juni 2009, 9:00 - 15:30 |
| |
| ÖFdV Seminar: |
| "Stabilität von Finanzmärkten" |
| |
| Details und Anmeldung: |
| http://www.avoe.at/pdf/temp/Anmeldung-20090604.pdf |
| |
+--------------------------------------------------------+
See also further events announced by the Actuarial Association of
Austria / Aktuarvereinigung Österreichs (AVÖ):
http://www.avoe.at/veranstaltungen_kalender.html
This week we announce a penal discussion,
where two colleagues of FAM participate:
+-------------------------------------------------+
| |
| Dienstag, 19. Mai 2009, 18:00 Uhr |
| |
| 6. TU-Forum: |
| |
| "Wirtschafts- und Finanzkrise: |
| Woher kommt sie? Wohin kann sie führen?" |
| |
+-------------------------------------------------+
Längst ist von der Krise nicht mehr nur der Finanzsektor betroffen:
Industrieumsätze sinken und Arbeitslosenzahlen steigen. Wie konnte es zu
so einer dramatischen Situation kommen? Wie entstehen und platzen
Spekulationsblasen? Wie funktionieren die komplexen Finanzderivate, die
das ermöglichen? Wie geht es weiter, und welche Strategien gibt es, um
aus der Krise wieder herauszukommen?
Über solche und ähnliche Fragen sprechen beim 6. TU-Forum:
- Prof. Franz X. _Hof_, TU, Ökonomie,
- Prof. Uwe _Schmock_, TU, Finanz- und Versicherungsmathematik
- Prof. Josef _Teichmann_, TU, Finanz- und Versicherungsmathematik
Moderator der Veranstaltung ist:
- Christian Müller, Wissenschaftsredakteur der Austria Presse Agentur.
Datum/Zeit:
Dienstag, 19. Mai 2009, 18:00 Uhr
Ort:
Prechtl-Saal der TU Wien
(Stiege 1, Erdgeschoss, Karlsplatz 13, 1040 Wien)
-----------------------------------------------------------------
Ankündigung durch TU:
http://www.tuwien.ac.at/aktuelles/news_detail/article/5695/
Timetable
Thursday, 16:30,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 14.05.2009 Ronnie Loeffen (RICAM, Linz)
"De Finetti's dividend problem with absolutely
continuous controls"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday and Thursday (different beginning times)
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 28.04.2009, 16:30:
Vicky Henderson (Oxford-Man Institute of
Quantitative Finance, UK)
"Prospect Theory, Partial Liquidation and the
Disposition Effect"
Th, 30.04.2009, 16:00:
Dejan Veluscek (FAM, TU Vienna)
"Higher order weak approximation schemes for SDEs"
Th, 30.04.2009, 17:00:
Sasa Parad (ETH Zurich, Switzerland)
Long Run Asset Prices with General Utilities"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Time & Location:
Tuesdays and Thursdays, 16:30,
TU Vienna, "Freihaus", green area, 6th floor, seminar room 107.
seminars within one week:
Tu, 21.04.2009 Mia Hinnerich (Aarhus University, Denmark)
"Inflation-indexed swaps and swaptions"
Th, 23.04.2009 Stephan Sturm (TU Berlin, Germany)
"A General Approach to Small-Time Large Deviations for
Sample Paths of Infinite Dimensional Symmetric
Dirichlet Processes with Applications to the
Wasserstein Diffusion"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 31.03.2009 Gregory Temnov (University College of Dublin, Ireland)
"Analysis of limit distributions in actuarial modelling"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 26.03.2009, Nikos Sfakianakis (Wolfgang Pauli-Institute, Vienna)
"Adaptive mesh reconstruction and TVB for Hyperbolic
Conservation Laws"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Further we refer to interesting talks at University of Vienna:
see http://plone.mat.univie.ac.at/talks/calendar
e.g.: We, 25.03.2009, 15:00, room D103, Nordbergstrasse 15, 1090 Wien:
Ivar Ekeland (University of British Columbia)
"Do utility functions exist? A geometric approach."
http://plone.mat.univie.ac.at/events/2009/do-utility-functions-exist-a-geom…
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik"
dürfen wir Sie zu folgendem Vortrag einladen:
Dienstag, 17. März 2009, 16:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, 2. OG, grüner Bereich, Freihaus Hörsaal 5:
Prof. Dr. Hanspeter Schmidli
Universität Köln
"On Optimal Dividends and Capital Injections in Risk Theory"
http://www.fam.tuwien.ac.at/vr/20090317.php
Bei dem letzten Vortrag in der Vortragsreihe von Frau Prof. Angelika May
über "CPPI Models for life insurance products with guarantees" am
27.1.2009 wurden Unterlagen versprochen - leider haben wir diese von
Frau May immer noch nicht bekommen. Sobald wir diese haben, werden wir
einen Link zu den Unterlagen versenden.
Mit freundlichen Grüßen,
Mag. Christoph Krischanitz
Präsident der Aktuarvereinigung Österreichs
Präsident des Österr. Förderungsvereins der Versicherungsmathematik
Dkfm. Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen
Univ.-Prof. Dr. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
o.Univ.-Prof. Dr. Walter Schachermayer
Institut für Mathematik, Universität Wien
Univ.-Prof. Dr. Damir Filipovic
Vienna Institute of Finance
-----------------------------------------------------------------------
VR Finanz- und Versicherungsmathematik, http://www.fam.tuwien.ac.at/vr/
Timetable
Th, 05.03.2009, 16:30, seminar room 107
Eberhard Mayerhofer
(Vienna Institute of Finance)
"Affine Diffusion Processes: Theory and Applications"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
! Please note, that the time and place of talks changed
! to previous announcements:
Th, 05.02.2009, 14:30, seminar room 107:
Johannes Muhle-Karbe (TU Munich, Germany)
"On asymptotic power utility-based pricing and hedging"
Th, 05.02.2009, 16:00, seminar room 107:
Peter K. Friz (University of Cambridge, UK)
"Minicourse on Stochastic Analysis via Rough Paths
(Second of three parts)
Seminar room 107: Freihaus of TU Wien, green area, 6th floor.
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
I am sorry, that this weekly reminder is too late for the tuesday talk
"Matrix valued orthogonal polynomials satisfying differential equations"
from Mirta Castro Smirnova from University of Sevilla, Spain.
If you are interested in meeting Mrs Castro Smirnova, please contact
Josef Teichmann - Mrs Castro Smirnova is his guest until end of this week.
Timetable
Tu, 27.01.2009, 16:30, Zeichensaal 3
(Freihaus, 7th floor, green section)
Angelika May (Universität Oldenburg, Germany)
"CPPI Models for life insurance products with guarantees"
(Vortragsreihe aus Finanz- und Versicherungsmathematik)
Th, 29.01.2009, 16:30, seminar room 107 (FH, 6th floor, green section)
J. Teichmann, A. Papapantoleon, M. Keller-Ressel
(START-Prize Group, Vienna University of Technology)
"A new approach to LIBOR modeling"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
+-------------------------------------------------+
| |
| Peter K. Friz (University of Cambridge, UK) |
| |
| Minicourse on |
| "Stochastic Analysis via Rough Paths" |
| |
+-------------------------------------------------+
Th, 22.01.2009, 16:00, seminar room 107
Th, 05.02.2009, 16:00, seminar room START-Group
(Treitlstrasse 1-3, 5th floor)
Th, 12.02.2009, 16:00, seminar room 107
(Freihaus, green area, 6th floor)
Please find the lecture notes to this minicourse here:
http://www.statslab.cam.ac.uk/~peter/Vienna2009/roughpaths.htm
Homepage of Peter K. Friz:
http://www.statslab.cam.ac.uk/~peter/
----------------------------------------------------------------------
This Minicourse is organised by FAM @ TU with financial support by EU.
For other events of FAM @ TU see: http://www.fam.tuwien.ac.at/events/
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 15.01.2009 Jose Fajardo (Economics Research Group, IBMEC
Business School, Rio de Janeiro)
Optimal Insider Strategy with Penalties
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
+------------------------------------------------------------+
| |
| "Conference on small time asymptotics, perturbation |
| theory and heat kernel methods in mathematical finance" |
| |
| February 10-12, 2009: |
| Wolfgang Pauli Institut, Vienna, Austria |
| |
| http://www.math.nyu.edu/~laurence/vienna-Sabr-bis.htm |
| Please register via email to |
| Peter Laurence <laurence(a)mat.uniroma1.it> |
| |
+------------------------------------------------------------+
Dear Friends of FAM,
there are no more FAM-talks planned for this year, therefore i send you
two other interesting talks organized by VGSF/VIF and WPI/UniVie.
Seasonal greetings,
Sandra
-----------------
Friday, December 19th, 14:00 - 15:30,
1190, Heiligenstädter Strasse 46-48, Seminar Room 1
"VGSF Seminar"
http://www.vgsf.ac.at/activities/seminars.htm
Hansjörg Albrecher (Johannes Kepler University Linz)
"Tax and Dividend Payments in Collective Risk Theory"
------------------
Friday, December 19th, 15:45 - 17:30,
1090, Nordbergstr. 15 /Althanstr., Uni Wien, UZA 2, lecture room HS 3
"7th Pauli Colloquium"
Pierre-Louis Lions (College de France)
"Financial mathematics and/after the crash"
Opening: 15.45 - 16.00 Coffee, Cake & Come Together
16.00 - 16.15 Introduction: Norbert J. Mauser
16.15 - 17.10 Talk of Pierre-Louis Lions
17.10 - 17.30 Public Discussion moderated by Walter Schachermayer
------------------
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 02.12.2008 Juan-Pablo Ortega (CNRS, France)
"GARCH pricing via local risk minimization"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
+------------------------------------------------------------+
| |
| "Conference on small time asymptotics, perturbation |
| theory and heat kernel methods in mathematical finance" |
| |
| February 10-12, 2009: |
| Wolfgang Pauli Institut, Vienna, Austria |
| |
| http://www.math.nyu.edu/~laurence/vienna-Sabr-bis.htm |
| |
+------------------------------------------------------------+
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 25.11.2008 David Skovmand (Aarhus School of Business, Denmark)
"Alternative Specifications for the Levy Libor
Market Model: An Empirical Investigation"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 20.11.2008 Jan Palczewski
(Faculty of Mathematics, University of Warsaw, Poland)
"Finite Horizon Optimal Stopping of Discontinuous
Functionals with Applications to Impulse Control with
Delay"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 11.11.2008 Michael Kupper und Nicolas Vogelpoth
(Vienna Institute of Finance)
"Seperation and duality in L0-modules"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 28.10.2008 Roman Ivanov (Faculty of Mechanics and Mathematics,
Lomonosov Moscow State University, Russia)
"On calculation of multiple exercise Russian option"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
seminars within one week
Th, 23.10.2008 Jose Fajardo (Economics Research Group, IBMEC
Business School, Rio de Janeiro)
"Symmetry and Option Price Monotonicity with Levy
processes"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 16.10.2008 Michael Schmutz (Institut f. math. Statistik und
Versicherungslehre, Universität Bern)
"Multivariate symmetry properties of asset prices,
derivatives and their relation to convex geometry"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Mo, 06.10.2008 Johannes Leitner (FAM @ TU Wien)
12:00, FH Hörsaal 3
Habilitation Talk: "Robust Martingale Representations
for Marked Point Processes"
Th, 09.10.2008 Peter Spreij (Universiteit van Amsterdam),
Start-Seminar,
16:30, Seminar room 107
On Multivariate Feller conditions in term structure
models
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tu, 30.09.2008 Goncalo dos Reis (Humboldt-Universität zu Berlin)
16:30, Seminar room 107
"Differentiability of quadratic growth BSDEs and
applications"
We, 01.10.2008 Philip Dybvig (Washington University, Saint Louis, USA)
16:30, Seminar room 107
"High Hopes and Disappointments: Preference for Timing
of Information without the Recursive Structure"
Mo, 06.10.2008 Johannes Leitner (FAM @ TU Wien)
12:00, Freihaus Hörsaal FH 3
Habilitation Talk: "Robust Martingale Representations
for Marked Point Processes"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
+-------------------------------------------------------+
| |
| October, 17th - 18th 2008: |
| Conference on Numerical Methods |
| for American and Bermudan Options |
| http://www.math.nyu.edu/~laurence/vienna-amop1.htm |
| |
+-------------------------------------------------------+
Timetable
Tu, 23.09.2008, 16:30, Sem 107
Denis Belomestny (Weierstrass Institute for
Applied Analysis and Stochastics, Berlin)
"New series representations for the characteristic functions of
affine Feller processes with applications to option pricing"
Th, 25.09.2008, _10:30_, Sem 107
Olaf Menkens (School of Mathematical Sciences, Dublin City University)
"Crash Hedging Strategies and q--Quantile Crash Hedging Strategies"
Th, 25.09.2008, _13:30_, Sem 107
Simone Farinelli (UBS, Zürich)
"Geometric Arbitrage Theory"
Sem 107 = Freihaus of TU Wien, green area, 6th floor
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
+-------------------------------------------------------+
| |
| Monday, September 29, 2008, 9.00-19.00: |
| PRisMa 2008 - |
| One-Day Workshop on Portfolio Risk Management |
| http://www.fam.tuwien.ac.at/events/prisma2008/ |
| |
+-------------------------------------------------------+
+-------------------------------------------------------+
| |
| October, 17th - 18th 2008?: |
| Conference on Numerical Methods |
| for American and Bermudan Options |
| http://www.math.nyu.edu/~laurence/vienna-amop1.htm |
| |
+-------------------------------------------------------+
Timetable
Tuesdays and Thursdays, 16:30,
TU Vienna, "Freihaus", green area, 6th floor, seminar room 107.
Tu, 16.09.2008 Matthias Weber (University of Applied Sciences, Dresden)
On Stochasticity of Solutions of Differential Equations
with a Small Delay
Th, 18.09.2008 Mark Freidlin (University of Maryland), Start-Seminar,
Asymptotic Problems for PDE's and Related Stochastic
Processes
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
+-------------------------------------------------------+
| |
| Monday, September 29, 2008, 9.00-19.00: |
| PRisMa 2008 - |
| One-Day Workshop on Portfolio Risk Management |
| http://www.fam.tuwien.ac.at/events/prisma2008/ |
| |
+-------------------------------------------------------+
The 6th NoonToNoon Meeting
Insurance and Financial Mathematics - Theory and Practice
is held from noon of October 2 to noon October 3, 2008
at the University of Jyväskylä (Finland)
The aim of the meeting is to bring together researchers, graduate
students, and practitioners interested in statistical and mathematical
problems in finance and insurance.
Invited speakers:
Andreas Kyprianou (University of Bath)
Timo Teräsvirta (University of Aarhus)
Deadline for registration is extended to September 15, 2008.
Your are invited to propose a talk (20-25 min).
* There is no conference fee.
Tickets for the conference dinner on Thursday can be
purchased on arrival.
* http://www.jyu.fi/noontonoon
* Contact: chgeiss(a)maths.jyu.fi.
Organizers:
Stefan Geiss
Jukka Nyblom
Antti Penttinen
Christel Geiss
Dear All
Please note that a conference on the numerical
valuation of american and bermudan options will
take place in Vienna on October 17 and 18.
There is no registration fee but there
is limited space so registrations will
be accepted on a first come first serve basis.
Please see
http://www.math.nyu.edu/~laurence/vienna-amop1.htm
[typo in link fixed by list-admin]
for details.
Best regards
The organizers
Marc Broadie, Friedrich Hubalek, Damien Lamberton and Peter Laurence
laurencepm(a)yahoo.com
web:
http://www.math.nyu.edu/~laurencehttp://www.mat.uniroma1.it/~laurence
Timetable
Tuesday, July 8, 2008, 16:30,
Freihaus of TU Wien, yellow area, 2nd floor, lecture hall FH 2:
Dr. Pavel V. Shevchenko
CSIRO Mathematical and Information Sciences
"Model risk in claims reserving within Tweedie's compound
Poisson models"
This talk is within the lecture series in
financial and actuarial mathematics.
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/vr/20080708.php
-----------------------------------------------------------------------
This time we also announce an event within in the framework of the
"Special Semester on Stochastics with Emphasis on Finance"
http://www.ricam.oeaw.ac.at/specsem/sef/events/
organized by the Johann Radon Institute for Computational and Applied
Mathematics (RICAM) in Linz:
- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
PRACTITIONER'S DAY
"Practitioners Meet Academics -
topical problems of relevance to the present situation"
http://www.fam.tuwien.ac.at/research/PractitionersDay.pdf
or http://www.ricam.oeaw.ac.at/specsem/sef/events/kickoff/
Monday, September 8, 2008, 9:00-17:00,
Room: HF 9901, Hochschulfonds building, basement,
University of Linz Campus, Altenberger Strasse 69, Linz.
Some of the leading minds of the finance industry will give
presentations of their work to stimulate discussions between
practitioners and academics on mathematical challenges in this field.
Speakers:
Dilip MADAN, Morgan Stanley New York and Univ. of Maryland, USA
Fabio MERCURIO, Bloomberg New York, USA
John GROSBY, Lloyds, TSB Financial Markets and Glasgow University, UK
Stefan FINK, Raiffeisenlandesbank Oberösterreich, Austria
Peter SCHALLER, Bank-Austria, Austria
Andreas WEINGESSEL, Erste Bank, Austria
Everyone is welcome!
There is no registration fee, but please register under
http://www.ricam.oeaw.ac.at/specsem/sef/registration/registration.php
Organizers:
Wim Schoutens, Katholieke Universiteit Leuven, Belgium
Hansjoerg Albrecher, University of Linz & RICAM, Austria
Karl Kunisch, University of Graz & RICAM, Austria
Hanna Pikkarainen, RICAM, Austria
Wolfgang Runggaldier, University of Padova, Italy
Walter Schachermayer, TU Vienna & RICAM, Austria
-----------------------------------------------------------------------
To whom it may concern:
the talk of Angelika May announced for Tuesday (24.6.2008) is
cancelled due to health reasons (http://www.fam.tuwien.ac.at/events/).
Please find below the announcement of the next talk within the
lecture series in financial and actuarial mathematics.
Sorry for possible cross-postings.
Best regards,
Sandra Trenovatz (FAM-office)
-------- Original Message --------
Subject: [fam-vr] Vortragsreihe in Finanz- und Versicherungsmathematik
Date: Mon, 23 Jun 2008 11:52:25 +0200
To: fam-vr(a)fam.tuwien.ac.at
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik" dürfen
wir Sie zu folgendem Vortrag einladen:
Dienstag, 8. Juli 2008, 16:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, Hörsaal FH 2:
Dr. Pavel V. Shevchenko
CSIRO Mathematical and Information Sciences
"Model risk in claims reserving within Tweedie's compound
Poisson models"
http://www.fam.tuwien.ac.at/vr/20080708.php
Mit freundlichen Grüßen,
Mag. Dr. Klaus Wegenkittl
Präsident der Aktuarvereinigung Österreichs
Präsident des Österr. Förderungsvereins der Versicherungsmathematik
Dkfm. Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen
o.Univ.-Prof. Walter Schachermayer
Univ.-Prof. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
-----------------------------------------------------------------------
VR Finanz- und Versicherungsmathematik, http://www.fam.tuwien.ac.at/vr/