-- From: Sandra Trenovatz <sandra(a)fam.tuwien.ac.at> --
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
------------------------------------------------------------------
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.
------------------------------------------------------------------
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
-- From: "Helmreich, Silvia" <silvia.helmreich(a)fh-vie.ac.at> --
****
Die Fachhochschule des BFI Wien bietet im März 2017 gemeinsam mit dem International Institute of Professional Education and Research (IIPER) eine
4-tägige Kurzausbildung „Certified Quantitative Risk Management (CQRM)“ an. Nach erfolgreicher Prüfung kann das anerkannte CQRM-Zertifikat erworben werden.
Nähere Informationen entnehmen Sie bitte diesem Link http://www.fh-vie.ac.at/Postgradual/Certified-Quantitative-Risk-Management
Für Rückfragen wenden Sie sich bitte an Mag.a Silvia Helmreich, Tel.: +43 1 720 12 86 – 972 E-Mail: silvia.helmreich(a)fh-vie.ac.at
***
In March 2017 the Fachhochschule des BFI Wien offers in cooperation with the International Institute of Professional Education and Research (IIPER) a
4-day short training program “Certified Quantitative Risk Management (CQRM)“. After successful examination you can acquire the recognized CQRM-certificate.
For further details please check the following link: http://www.fh-vie.ac.at/Postgradual/Certified-Quantitative-Risk-Management
Any open questions can be addressed to Silvia Helmreich, Tel.: +43 1 720 12 86 – 972 E-Mail: silvia.helmreich(a)fh-vie.ac.at
-- From: VFN-L admin * Andreas Schamanek <vfn-admin(a)fam.tuwien.ac.at> --
# Quantitative Methods in Finance 2017 Conference
12-15 December 2017
Hilton Hotel Sydney
http://www.qfrc.uts.edu.au/qmf/
## Focus
Pensions, Model Risk, Insurance, Regulation, Options, Credit Risk,
Risk Measurement, Systemic Risk, Liquidity, Commodities and other
areas of Quantitative Finance
## Plenary speakers include
Alexandre Antonov, Nick Bingham, Patrick Cheredito, Rama Cont, Jakša
Cvitanić, Min Dai, Mark Davis, Freddy Delbaen, Robert Elliott, Martino
Grasselli, Lane Hughston, Jan Kallsen, Constantinos Kardaras, Masaaki
Kijima, Dilip Madan, Alexander Melnikov, Marek Musiela, Ludger
Overbeck, George Papanicolaou, Philip Protter, Andrea Roncoroni,
Michael Schmutz, Michael Sørensen, Stefan Tappe
## Bruti-Liberati lecture
Nicolas Perkowski
## Pre Conference Workshop "Beyond the Classical Paradigm"
Speakers: Cheredito, Cont, Davis, Grasselli, Kardaras, Madan, Platen,
Protter, Tappe
## Organizers
Professor Eckhard Platen, Professor Erik Schlögl and the
Quantitative Finance Research Centre, University of Technology Sydney
***
-- From: "gutmann-center(a)wu.ac.at" <gutmann-center(a)wu.ac.at> --
Reminder - INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
Date: Tuesday, January 17, 2017 4:00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Vienna
Speaker: Prof. Kent Smetters
https://bepp.wharton.upenn.edu/profile/smetters/
Title: "A Sharper Ratio"
Abstract
Deriving a sufficient statistic for the standard Expected Utility (EU) problem with a risk-free asset and a risky asset following a non-Normal risk distribution has been a problem that has dogged economists since at least Samuelson (1970). This problem is only heightened by modern trading strategies that produce non-Normal returns and where the classic Sharpe Ratio is no longer sufficient. We prove a new lemma about root selection in a complex plane, allowing us to derive a minimal, sufficient statistic that requires less information than the original EU problem. Moreover, we prove that the sufficient statistic transforms non-Normal, non-identical risks into a Normally-distributed function space, while preserving the original EU ordering. As a result, the sufficient statistic supports parametric-based hypothesis testing, which we show is substantially more powerful than non-parametric hypothesis testing required for the EU problem.
About Kent Smetters
Kent Smetters is the Boettner Chair Professor at the University of Pennsylvania's Wharton School and a Faculty Research Fellow at the National Bureau of Economic Research. His research focuses on applied theory, optimal fiscal policy, personal finance and asset pricing. Previous policy positions include the Congressional Budget Office (1995 to 1998) as well as Deputy Assistant Secretary (Economic Policy) for the United States Treasury (2001-2002). He has published academic articles in leading journals, including American Economic Review, Journal of Political Economy, and The Quarterly Journal of Economics. Kent Smetters received his PhD in Economics from Harvard University.
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at>
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at<http://www.gutmann-center.at>
Please contact gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at> if you do not wish to receive any further invitations from us!
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-- From: VieCo2017 <vieco2017(a)univie.ac.at> --
Dear colleagues,
please allow us to draw your attention to the
"*Vienna-Copenhagen Conference on Financial Econometrics*"
March 9-11, 2017, Vienna
http://vieco2017.univie.ac.at/
The Vienna-Copenhagen event is a natural (and happy) continuation of the
past bi-annual Humboldt-Copenhagen events.
We are glad to be able to continue our recent tradition of top level
financial econometrics discussions and interchanges in an informal and -
we hope - highly welcoming atmosphere.
The deadline for registration
<http://vieco2017.univie.ac.at/conference-registration/> is *January
31st*, 2017.
Please circulate this information to colleagues who might be interested.
We look forward to seeing many of you in Vienna!
Best regards,
Nikolaus Hautsch (U Vienna)
Anders Rahbek (U Copenhagen)
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-- From: "gutmann-center(a)wu.ac.at" <gutmann-center(a)wu.ac.at> --
INVITATION
The WU Gutmann Center wishes you Merry Christmas and a Happy New Year and cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
Date: Tuesday, January 17, 2017 4:00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Vienna
Speaker: Prof. Kent Smetters
https://bepp.wharton.upenn.edu/profile/smetters/
Title: "A Sharper Ratio"
Abstract
Deriving a sufficient statistic for the standard Expected Utility (EU) problem with a risk-free asset and a risky asset following a non-Normal risk distribution has been a problem that has dogged economists since at least Samuelson (1970). This problem is only heightened by modern trading strategies that produce non-Normal returns and where the classic Sharpe Ratio is no longer sufficient. We prove a new lemma about root selection in a complex plane, allowing us to derive a minimal, sufficient statistic that requires less information than the original EU problem. Moreover, we prove that the sufficient statistic transforms non-Normal, non-identical risks into a Normally-distributed function space, while preserving the original EU ordering. As a result, the sufficient statistic supports parametric-based hypothesis testing, which we show is substantially more powerful than non-parametric hypothesis testing required for the EU problem.
About Kent Smetters
Kent Smetters is the Boettner Chair Professor at the University of Pennsylvania's Wharton School and a Faculty Research Fellow at the National Bureau of Economic Research. His research focuses on applied theory, optimal fiscal policy, personal finance and asset pricing. Previous policy positions include the Congressional Budget Office (1995 to 1998) as well as Deputy Assistant Secretary (Economic Policy) for the United States Treasury (2001-2002). He has published academic articles in leading journals, including American Economic Review, Journal of Political Economy, and The Quarterly Journal of Economics. Kent Smetters received his PhD in Economics from Harvard University.
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at>
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at<http://www.gutmann-center.at>
Please contact gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at> if you do not wish to receive any further invitations from us!
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-- From: summerschoolmathfi <summerschoolmathfi(a)cmap.polytechnique.fr> --
Dear all,
we are glad to forward the announcement of the conference
Advances in Financial Mathematics
10-13 Jan 2017, Paris
https://fin-risks2017.sciencesconf.org/
Organized in the framework of the research partnership Chaire Risques
Financiers
Organizing committee: A. Alfonsi, L. Bergomi, N. El Karoui, E. Gobet, P.
Henry-Labordère, B. Jourdain, B. Lapeyre, G. Pagès, M. Rosenbaum and
N.Touzi
With best regards
the European Summer School in Financial Mathematics organising committee
-- From: "gutmann-center(a)wu.ac.at" <gutmann-center(a)wu.ac.at> --
Reminder: INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
Date: Monday, December 5, 2016 4:00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Vienna
Speaker: Prof. Elroy Dimson
https://www.london.edu/faculty-and-research/faculty/profiles/dimson-e#.V2fc…
Title: "Does Hiking Damage Your Wealth?"
Abstract
Investors are preoccupied with the impact on financial markets of changes in central-bank interest rates. We use over a century of daily US returns together with 85 years of UK data to examine the immediate effect of rate hikes and cuts on stock and bond markets. We also look globally at the impact of interest rate changes on equity and bond returns using annual data for 21 countries from 1900 to 2015. Using a trading strategy that avoids look-ahead bias, we compare returns over entire interest rate hiking and easing cycles for equities, bonds, bills, currencies, and risk premia. We analyze long-term returns from industry sectors and factors such as size, value, carry and momentum, and also study real asset returns since 1900 on precious metals, collectibles and real estate. In all cases, hiking cycles damage your wealth compared to easing cycles.
About Elroy Dimson
Elroy Dimson chairs the Newton Centre for Endowment Asset Management at Cambridge Judge Business School, and is Emeritus Professor of Finance at London Business School. He is a Non-Executive Director of FTSE International, is on the Steering Committee of the Financial Economists' Roundtable, and is an Advisory Council member for Financial Analysts Journal. He is a Fellow of the Royal Historical Society and of The Risk Institute, and Honorary Fellow of CFA UK and of the Institute of Actuaries. His PhD is from London Business School. Books include Triumph of the Optimists, the Global Investment Returns Yearbook 2016, the Global Investment Returns Sourcebook 2016(all with Paul Marsh and Mike Staunton), Endowment Asset Management(with Shanta Acharya), and Financial Market History (with David Chambers, forthcoming). Publications since 2015 on active ownership (Review of Financial Studies), real assets (Journal of Financial Economics), financial history (Journal of Financial and Quantitative Analysis), endowment strategy (Financial Analysts Journal), long-horizon investing (five book chapters), case studies on manager selection and on stocks for the long run (both Harvard Business School).
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at>
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at<http://www.gutmann-center.at>
Please contact gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at> if you do not wish to receive any further invitations from us!
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-- From: "gutmann-center(a)wu.ac.at" <gutmann-center(a)wu.ac.at> --
INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
Date: Monday, December 5, 2016 4:00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Vienna
Speaker: Prof. Elroy Dimson
https://www.london.edu/faculty-and-research/faculty/profiles/dimson-e#.V2fc…
Title: "Does Hiking Damage Your Wealth?"
Abstract
Investors are preoccupied with the impact on financial markets of changes in central-bank interest rates. We use over a century of daily US returns together with 85 years of UK data to examine the immediate effect of rate hikes and cuts on stock and bond markets. We also look globally at the impact of interest rate changes on equity and bond returns using annual data for 21 countries from 1900 to 2015. Using a trading strategy that avoids look-ahead bias, we compare returns over entire interest rate hiking and easing cycles for equities, bonds, bills, currencies, and risk premia. We analyze long-term returns from industry sectors and factors such as size, value, carry and momentum, and also study real asset returns since 1900 on precious metals, collectibles and real estate. In all cases, hiking cycles damage your wealth compared to easing cycles.
About Elroy Dimson
Elroy Dimson chairs the Newton Centre for Endowment Asset Management at Cambridge Judge Business School, and is Emeritus Professor of Finance at London Business School. He is a Non-Executive Director of FTSE International, is on the Steering Committee of the Financial Economists' Roundtable, and is an Advisory Council member for Financial Analysts Journal. He is a Fellow of the Royal Historical Society and of The Risk Institute, and Honorary Fellow of CFA UK and of the Institute of Actuaries. His PhD is from London Business School. Books include Triumph of the Optimists, the Global Investment Returns Yearbook 2016, the Global Investment Returns Sourcebook 2016(all with Paul Marsh and Mike Staunton), Endowment Asset Management(with Shanta Acharya), and Financial Market History (with David Chambers, forthcoming). Publications since 2015 on active ownership (Review of Financial Studies), real assets (Journal of Financial Economics), financial history (Journal of Financial and Quantitative Analysis), endowment strategy (Financial Analysts Journal), long-horizon investing (five book chapters), case studies on manager selection and on stocks for the long run (both Harvard Business School).
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at>
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at<http://www.gutmann-center.at>
Please contact gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at> if you do not wish to receive any further invitations from us!
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-- From: "Brauneis, Alexander" <Alexander.Brauneis(a)aau.at> --
Sehr geehrte Damen und Herren,
das Programm des 31. Workshops der Austrian Working Group on Banking & Finance am 25. und 26. November in Klagenfurt kann unter folgender Adresse abgerufen werden:
http://www.uni-klu.ac.at/fin/downloads/AWG_31_Programm_04112016.pdf
Herzliche Grüße,
Alexander Brauneis
********************
Dr. Alexander Brauneis
Associate Professor
Department of Finance and Accounting
Alpen-Adria-University Klagenfurt
Universitaetsstrasse 65-67
A - 9020 Klagenfurt
+43 463 2700 4022
alexander.brauneis(a)aau.at
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