VFN-L February 2002

vfn-l@fam.tuwien.ac.at

4 participants
7 discussions

[VFN] Berufungsvortraege, Versicherungsmathematik, TU Wien
by Christopher Summer 26 Feb '02

26 Feb '02

Im Rahmen des Berufungsverfahren fuer eine Professur aus Versicherungsmathematik and der TU Wien finden folgende Vortraege statt: =================================================================== Freitag, 1. Maerz 2002, 13:15, Freihaus HS 8 (Noebauer-Hoersaal), 2. Stock, gelber Bereich http://www.wegweiser.ac.at/tuwien/hoersaal/F8.html Wiedner Hauptstr. 8-10, 1040 Wien Jeffrey Collamore (ETH-Zuerich) Extremal Behavior of Multidimensional Risk Processes In the classical ruin problem of collective risk theory, an insurance company gains capital from premiums income and loses capital as a result of claims; one then studies the probability that the company's total capital ever falls below zero, i.e., P{S(t) < -m, for some t}, where S(t) is a positive-drift Levy process and m is the company's initial capital. In this talk I will discuss various generalizations of this problem to higher dimensional settings. The first of these can be described as follows: Let S(1),S(2),... be a sequence of random vectors, corresponding e.g. to several capital factors, and consider the probability that this sequence ever reaches some "forbidden region" in d-dimensional Euclidean space. It will be shown that, under quite general assumptions, (*) (1/m) log P{S(n) ever hits mA} ~ -I(A) for an appropriate "rate function" I(A). Some refinements, describing e.g. the asymptotic distribution of the first passage time, will also be given. A second generalization which will be discussed is the case where the increments of S(1),S(2),... are governed by a system of random recurrence equations. Such recurrence equations are of considerable applied interest and arise, among other places, in the study of GARCH financial time series models and insurance models with stochastic returns on the surplus capital. It will be shown that an asymptotic estimate very similar to (*) can also be developed in this setting. =================================================================== Freitag, 1. Maerz 2002, 15:30 Freihaus HS 8 (Noebauer-Hoersaal), 2. Stock, gelber Bereich http://www.wegweiser.ac.at/tuwien/hoersaal/F8.html Wiedner Hauptstr. 8-10, 1040 Wien Nicole Baeuerle (Universitaet Ulm) Stochastische Steuerung in der Versicherungsmathematik Das Problem der Bestimmung optimaler Dividendenaus- schüttungs- und Rückversicherungsstrategien, das in Teilen schon auf de Finetti (1957) zurückgeht, wurde in letzter Zeit wieder intensiv untersucht. Da die ursprüngliche Formulierung auf die optimale Steuerung eines stückweise deterministischen Markov Prozesses führt - was sehr schwierig ist - standen in letzter Zeit Diffusionsmodelle im Vordergrund. In dem Vortrag wird auf beide Formulierungen eingegangen und ein Zusammenhang zwischen den Optimierungsproblemen hergestellt. ===================================================================

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[VFN] [Econ-snde] Post-doc and PhD positions (fwd)
by VFN-L admin * Andreas Schamanek 26 Feb '02

26 Feb '02

---------- Forwarded message ---------- Date: Mon, 25 Feb 2002 10:44:07 +0100 From: Andrea Gaunersdorfer <andrea.gaunersdorfer(a)univie.ac.at> To: Vienna Finance Letters <vfn-l(a)fam.tuwien.ac.at> Subject: [Fwd: [Econ-snde] Post-doc and PhD positions] >From diks(a)fee.uva.nl Mon Feb 25 14:35:19 2002 Date: Fri, 22 Feb 2002 12:16:04 +0100 (CET) From: C.G.H. Diks <diks(a)fee.uva.nl> To: econ-snde(a)lists.fas.rutgers.edu Subject: [Econ-snde] Post-doc and PhD positions Dear all, A post-doctoral as well as a PhD position are available within the project `Information Flows in Financial Markets'. The project combines recent results from physics and nonparametric statistics to develop new methods for nonlinear analysis of multivariate financial time series. The research is multi-disciplinary of nature and potential candidates for the positions should have strong maths/stats qualifications. Details on the application procedure can be found below. For a description of the project, please follow the `Job Opportunities' link at http://www.fee.uva.nl/cendef/ With best regards, Cees Diks CeNDEF Department of Economics URL : http://www.fee.uva.nl/cendef University of Amsterdam email: diks(a)fee.uva.nl Roetersstraat 11 phone: +31 20 525 5329 1018 WB Amsterdam, The Netherlands fax : +31 20 525 4349 --- Post-doctoral position and PhD position Within the project Information Flows in Financial Markets. Project Asset prices are driven by expectations of market participants regarding future price developments. These expectations in turn are driven by the inflow of new information. Through the costs involved in information acquisition and the time required for processing this information and converting it into market orders, an interesting dynamics of the response to news arises, which can be described well in terms of information flows. In this project, recently developed information theoretical methods from physics and statistics will be used to investigate these information flows, and new methods will be developed which are tailored for financial time series. The project is embedded in the Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) research group of the Faculty of Economics and Econometrics at the University of Amsterdam. This young multidisciplinary research group provides an excellent and stimulating research environment. Post-doc position Description: Development of nonparametric information theoretic methods for quantifying nonlinear dependence in multivariate financial time series. Derivation of finite sample and asymptotic properties of statistics. Requirements: The succesful candidate for the Post-doc position has a strong background in mathematics/statistics, and a PhD degree in econometrics, statistics or a related field. Conditions: Initial appointment will be for two years, with possible extensions to a maximum of the project duration (5 years). Salary conform the UvA standard, is expected to be in scale 10 or 11 depending on the candidate's work experience. PhD position Description: Development and implementation of information theoretical time series analysis methods for multivariate financial time series. Data selection, data analysis and interpretation of results. Requirements: We seek a motivated individual with a Masters degree in econometrics, statistics or mathematics (or comparable qualifications). Also students who expect to obtain their Masters degree soon are invited to apply. Conditions: The PhD student will receive a position for a maximum period of 4 years. Monthly salary: 1445 EUR in the first year, increasing to 2063 EUR in the fourth year. Applications Applications for both positions should be directed to Personnel Department Faculty of Economics and Econometrics University of Amsterdam Roetersstraat 11 1018 WB Amsterdam The Netherlands and arrive no later than March 31, 2002. All applications should contain a cover letter and a CV. Applicants for the post-doc position should include a list of publications, a copy of one published paper, and two letters of recommendation. Applicants for the PhD position should include one letter of recommendation. Information Information can be obtained from Dr C. Diks (phone: +31 20 525 5329, e-mail: diks(a)fee.uva.nl) and from the CeNDEF homepage http://www.fee.uva.nl/cendef/ _______________________________________________ Econ-snde mailing list Econ-snde(a)lists.fas.rutgers.edu http://lists.fas.rutgers.edu/listserv-admin/listinfo/econ-snde

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[VFN] Tagung Kreditrisikomanagement
by lucius＠bwg.at 24 Feb '02

24 Feb '02

Das Forum für Bankmanagement der BWG unter Leitung von Prof. Dr. Peter Steiner veranstaltet am 28.2.2002 eine Konferenz zum Thema "Kreditrisikomanagement". Die Veranstaltung findet im Reitersaal der OeKB, Wien 1, Strauchgasse 3 statt und wird um 8.45 von Dir. Ittner, OeNB eröffnet. Die Teilnahme ist kostenlos. Programm 8.45 ? 9.00 Begrüßung und Eröffnung Direktor Mag. Andreas Ittner, OeNB 9.00 ? 10.00 "Risikomaße und Risk-Value-Modelle" Prof. Dr. Peter Steiner / Dr. Roland Mestel, Universität Graz 10.00 ? 10.30 Kaffepause 10.30 ? 11.00 "Dynamic Capital Structure Choice" Dr. Thomas Dangl, TU Wien / Prof. Dr. Josef Zechner, Universität Wien 11.30 ? 12.30 "Credit Risk Mitigation in Derivatives Business - Practical Implications" Dirk Erdmann / WestLB 12.30 ? 14.00 Mittagspause 14.00 ? 15.00 "Auswirkungen von Basel II auf die Kreditwirtschaft" Prof. Dr. Walter S.A. Schwaiger, Technische Universität Wien 15.00 ? 15.30 Kaffeepause 15.30 ? 16.30 "Kreditrisikomanagement mit Hilfe von Margensimulationen" Mag. Thomas Jerolitsch / ecofinance Graz Anmeldungen elektronisch über die homepage der BWG, www.bwg.at, Serviceleistungen / wissenschaftliche Abteilungen / Forum für Bankmanagement / Veranstaltungen. Rückfragen an Fr. Elisabeth Zivota, E: office(a)bwg.at, T: (01) 533 50 50. ______________________ Prof.(FH) Mag. Otto Lucius Österreichische Bankwissenschaftliche Gesellschaft Wallnerstraße 3, 1010 Wien T +431 533 50 50 F +431 531 27 247 E office(a)bwg.at

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[VFN] Gutmann Center of Competence - Announcement: Public Lecture with Klaus Spremann
by Zeiner Sonja 13 Feb '02

13 Feb '02

Announcement: Talk with Prof. Klaus Spremann, Universität St. Gallen Date: 07.03.2002 Time: 04:00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin Title of the talk: Strategische und taktische Geldanlage für den langen Horizont - worauf muss der Privatanleger achten? Abstract: Grundlegende Fragen der Asset Allocation, des Einsatzes von Optionen und der Art und Intensität von Aktivität beim Portfolio Management für Privatanleger registration: until 04.03.2002 under sonja.zeiner(a)gutmann.at or phone: 502 20-357

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[VFN] Conference in South Africa
by Christopher Summer 09 Feb '02

09 Feb '02

INTERNATIONAL CONFERENCE ON MATHEMATICS IN FINANCE TO BE HELD IN SOUTH AFRICA, AUGUST 2002. Date: 4 - 9 August, 2002. Venue: Berg-en-Dal, Kruger National Park, South Africa. Scope: The main objective of the conference is to bring together academics, practitioners and graduate students who are working in the broad field of financial mathematics. It is envisaged that participants who are at the forefront of the area will reflect on current open problems and relevant challenges and that they will indicate directions for future research. It is hoped that the interplay between theory and practice, as well as issues relating to the dissemination of knowledge and the teaching in this field, will be discussed. The conference will focus on various aspects within the field, with special attention given to the interaction between the different areas, and in particular emphasizing the role of mathematics and statistics. Topics that would be covered include among others: * Stochastic models * Modern methods of risk analysis * Quantitative and computational models and methods * Methods of financial mathematics; in particular the role of measure theory, functional analysis and modern stochastics in Finance Key note speakers: The following is a list of key note speakers who have indicated that they will attend: * Tomas Bjork (Department of Finance, Stockholm School of Economics) * Freddy Delbaen (Department of Mathematics, ETH, Zurich) * Paul Embrechts (Department of Mathematics, ETH, Zurich) * David Heath (Department of Mathematical Sciences, CMU) * Alexander McNiel (Department of Mathematics, ETH, Zurich) * Gennady Samorodnitsky (School of Operations Research and Industrial Engineering, Cornell University) Hosts: Potchefstroom University for CHE The University of Pretoria The University of the Witwatersrand, Johannesburg. Organising Committee: Riaan de Jongh (Potchefstroom University for CHE) Koos Grobler (Potchefstroom University for CHE) Hardy Hulley (University of the Witwatersrand) Keith Mitchell (University of the Witwatersrand) Barbara Swart (University of Pretoria) Johan Swart (University of Pretoria) David Taylor (University of the Witwatersrand) Information: http://www.mif.up.ac.za E-mail: mif(a)math.up.ac.za

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[VFN] Lectureship at LSE
by Christopher Summer 05 Feb '02

05 Feb '02

Vacancy at London School of Economics Department of Statistics Lecturer Salary range: £22,401 to £26,327 pa inc. We are looking for someone with a background in applied probability, stochastics or statistics who would like to pursue the use and development of these skills in insurance, finance or actuarial science. Applications are invited for a career-track appointment as a lecturer in the Department of Statistics. The Department runs a large actuarial science degree and the successful candidate would be expected to be involved in the teaching of actuarial subjects as well as contributing to the research of the Department. Applications are invited for this post for appointment from September 2002. For an application pack please contact 020 7955 6183, or e-mail: recruitment(a)lse.ac.uk <mailto:recruitment@lse.ac.uk>quoting reference 17/01/AC The closing date for applications is 22 February 2002. http://www.lse.ac.uk/depts/statistics

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[VFN] Master of Science in Finance (in Zurich/Switzerland) (fwd)
by VFN-L admin * Andreas Schamanek 05 Feb '02

05 Feb '02

---------- Forwarded message ---------- Date: Mon, 4 Feb 2002 16:42:26 +0100 From: Uwe Schmock <schmock(a)math.ethz.ch> Subject: Master of Science in Finance (in Zurich/Switzerland) Announcement ------------ The ETHZ (Swiss Federal Institute of Technology Zurich) and the University of Zurich are jointly launching the new degree program *** Master of Science in Finance *** It is an intense two-semester program of courses followed by a master's thesis. Mandatory courses: - Mathematical Foundations in Discrete and Continuous Time - Financial Economics (incl. Corporate Finance) - Empirical Methods for Finance - Financial Institutions and Financial Markets - Financial Theory and Asset Pricing - Derivatives and Financial Engineering - Insurance Analytics Specializations (choose A or B): (A) Quantitative Finance and Risk Management - Risk Management - Term Structures and Credit Risk Models - Quantitative Methods for Risk Management (B) Asset Management - Asset Allocations and Performance Measurement - Theory of Banking and Financial Intermediation - Behavioral Finance or Empirical Methods Optional Courses: - Computational Methods for Quantitative Finance - Real Options and Commodities - International Finance - Incomplete Markets: Further Developments - Economics of Insurance (Other courses may be taken upon request.) Language: The entire program will be taught in English so that international as well as Swiss graduate students can attend. Target students: Undergraduates with an economics and/or a science background (mathematics, physics, engineering) and practitioners who feel that they need additional and more specialized training in financial economics and in quantitative methods for finance. Please visit http://www.msfinance.ch/ for a list of the teaching faculty members, a more detailed description of the curriculum, the application procedure and further details. Please tell your colleagues and students about the new program; feel free to forward this email. You can use the two slides at http://www.msfinance.ch/misc/MSc_Finance_Slides.pdf in your class. With best regards, Uwe Schmock (Director MSc Finance Program) Financial and Insurance Mathematics: http://www.math.ethz.ch/finance/ Master of Science in Finance: http://www.msfinance.ch/ RiskLab: http://www.risklab.ch/ Home page: http://www.math.ethz.ch/~schmock/

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VFN-L February 2002