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February 25
Optimal (re)insurance risk sharing: strategic behavior and competitive pricing
Tim Boonen, University of Amsterdam

February 10
Mixture of Experts Regression Models for Insurance Ratemaking and Reserving
Samson Tsz Chai Fung, University of Toronto, Canada

January 31
Non-stationarity and applications
Paul Doukhan, University Cergy-Pontoise

January 29
Modelling volatility with v-transforms
Alexander McNeil, University of York, UK

January 14
Portfolio optimization in fractional and rough Heston models
Nicole Baeuerle (Karlsruhe Institute of Technology, Germany)



Special event

October 10
100 ans de sciences actuarielles à HEC Lausanne!
Celebration of 100 years of actuarial science at the University of Lausanne
Conference by Michèle Rodoni, Swiss Mobiliar and Michel Denuit, Université Catholique de Louvain
Testimony of Marc Chuard, former president of the Swiss Association of Actuaries (SAA)

Round table on the future of actuarial science and its teaching with Silvia Basaglia (SLPS), Michel Dacorogna (PRS), Michel Denuit, Michèle Rodoni


November 22
Optimal Lifecycle Portfolio Choice with Natural Tontines under Systematic Longevity Risk
Irina Gemmo, ETH Zurich

November 8
Economic Valuation and Financial Management of an Insurance Firm
Claudia Ravanelli, University of Zürich

November 7
Who Trusts Insurance? Empirical Evidence from Seven Industrialised Countries
Christina Nicolas, Geneva School of Business Administration, University of Applied Sciences Western Switzerland (HES-SO), Geneva, Switzerland

August 16
Generalized Busemann inequality
Dmitry Zaporozhets, St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Science, St. Petersburg, Russia

June 7
Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
Jinxia Zhu, The University of New South Wales Business School, Sydney, Australia

May 28
Risk Assessment under Uncertainty
Steven Vanduffel, Vrije Universiteit Brussel, Belgium

May 22
A matrix approach to life insurance modelling
Mogens Bladt, University of Copenhagen, Denmark

May 3
Modeling insurance claims using integer-valued autoregressive processes
Yi Lu, Simon-Fraser University, Vancouver, Canada

April 24
Risk sharing, Robustness and Regulation
Paul Embrechts, ETH Zurich

April 23
On a construction of multivariate distributions given some multidimensional marginals
Didier Rullière, ISFA, Université de Lyon 1, France

April 5
For a few bitcoins more: Fraud risk assessment within blockchain transactions
Pierre-Olivier Goffard, ISFA, Université de Lyon 1, France

March 11
Compatibility of the classical ruin model and real data
Kristina Sendova, Western University, London, Ontario, Canada

March 8
Optimization of small deviations for mixed fractional Brownian motion with trend
Yuliya Mishura, Taras Shevchenko National University of Kyiv, Ukraine

Stratonovich stochastic differential equation with power nonlinearity: Girsanov's example revisited
Georgiy Shevchenko, Taras Shevchenko National University of Kyiv, Ukraine

February 21
On nested infinite occupancy scheme in random environment
Alexander Gnedin, Queen Mary University of London




October 29
Stochastic Models 1
Alexander Gushchin, Mikhail Lifshits, Yakov Nikitin, Oleg Rusakov (St. Petersburg University, Russia)


May 4
Insurance ERM - selected topics
Yuriy Krvavych (PricewaterhouseCoopers LLP, London)

April 20
Two-dimensional ruin probability for subexponential claim size
Sergey Foss (Heriot-Watt University, Edinburgh, UK)

February 16
Pareto Optimality and Robust Optimisation
Alexandru Asimit (Cass Business School, City University of London)

January 16
Stochastic partial differential equations with colored stable noise
Georgiy Shevchenko, Taras Shevchenko National University of Kyiv, Ukraine
Fractional irregularity
Yuliya Mishura, Taras Shevchenko National University of Kyiv, Ukraine




November 17
The value of a liability cash flow in discrete time subject to capital requirements
Filip Lindskog (Stockholm University, Sweden)

November 16
Price competition in general insurance markets: a dynamic game-theoretic approach
Athanasios A. Pantelous (Monash University, Victoria, Australia)

November 8
On joint occupation times of spectrally negative Lévy processes with a general tax structure
Xueyuan Wu (The University of Melbourne, Australia)

October 27
About new approximations of the Value at Risk, Expected Shortfall and the distribution of bivariate aggregate claims
Robert Mnatsakanov (West Virginia University, Morgantown, USA)

October 26
Means Testing Public Pensions under Population Ageing
George Kudrna (CEPAR, UNSW Sydney, Australia)

October 16
Some Analytical Solutions for the Problem of Aggregation of Dependent Risks
Jose Maria Sarabia Alegria (The University of Cantabria, Santander, Spain)

July 7
Unraveling the predictive power of telematics data in car insurance pricing
Katrien Antonio (K.U. Leuven, Belgium and the University of Amsterdam)

May 12
A family of premium principles based on mixtures of TVaRs
Miguel Angel Sordo Diaz (Universidad de Cadiz, Spain)

May 5
Ruin probabilities in risk models with dependent and phase–type distributed claims and inter-arrivals
Mogens Bladt (National University of Mexico and University of Copenhagen, Denmark)

May 3
Dividends with Tax and Capital Injection in a Spectrally Negative Lévy Risk Model
Hanspeter Schmidli (University of Cologne, Germany)

April 10
Another Look at Risk Measures in a Credibility Framework
Georgios Pitselis (University of Piraeus, Greece)

April 4
Discretization error for the maximum of a Gaussian field
Jean-Marc Azaïs (Université de Toulouse, France)

March 7
The distribution of the supremum for spectrally asymmetric Lévy processes
Zbigniew Michna (University of Wrocław, Poland)

March 1er
Optimal barriers in a modified surplus process
Başak Bulut Karageyik (Hacettepe University, Ankara, Turkey)

February 28
Bridging Asymptotic Independence and Dependence in Spatial Extremes Using Gaussian Scale Mixtures
Thomas Opitz (Biostatistics and Spatial Processes, INRA, Avignon, France)

January 17
Pricing Pension Buy-outs
Ayse Arik (Hacettepe University, Ankara, Turkey)




December 16
Variable annuities with high water mark withdrawal benefit
Patrick Cheridito (ETH Zurich)

November 11
The Chain Ladder Reserve Uncertainties Revisited
Alois Gisler (ETH Zurich)

November 2
A new perspective on multiple curve models
Thorsten Schmidt (University of Freiburg, Germany)

July 6
On a risk model with periodic capital injections at Erlang intervals
Eric C.K. Cheung (The University of Hong Kong)
Periodic capital injections based on the claim frequency
JK Woo (The University of Hong Kong)

July 4
Optimal Dividend pay-out with Risk Sensitive Preferences
Nicole Baeuerle (Karlsruhe Institute of Technology, Germany)

June 21
Asymmetric Information in Automobile Insurance: Evidence from Driving Behavior (joint with EPFL)
Alexander Mürmann (Vienna University of Economics and Business)

June 10
Estimation of the expected shortfall given an extreme component under conditional extreme value model
Rafal Kulik (University of Ottawa, Canada)

May 30
CTE-based capital allocation for some multivariate models
Raluca Vernic (Ovidius University, Constanta, Romania)

May 20
Stochastic Control Methods for Optimal Government Debt Management
Abel Cadenillas (University of Alberta, Canada)

May 18
A mixed Poisson cluster model and conditional limit theorems for Poisson compounds
Tomasz Rolski (The University of Wroclaw, Poland)

April 4
Market consistent valuations in imperfect markets
Hirbod Assa (University of Liverpool)

March 18
A reinsurance risk model with state dependent coverage
Esther Frostig (University of Haifa, Israel)

March 14
Valuing equity-linked death benefits in jump-diffusion models
Elias Shiu (The University of Iowa, Iowa City, USA)

March 4
How is elicitability relevant for backtesting?
Johanna F. Ziegel  (University of Bern)

February 17
Models for extremal dependence derived from skew-symmetric families
Simone Padoan (Bocconi University, Milan)

February 5
Cause-Specific Mortality & Biological Ageing: How Do They Relate?
Séverine Arnold (Department of Actuarial Science (DSA), HEC Lausanne)

February 3
A Marked Cox Model for IBNR Claims: Theory and Application
X. Sheldon Lin (University of Toronto, Canada)

January 27
Extremes of Gaussian processes with a trend
Sinisa Stamatovic (University of Montenegro, Podgorica)

January 26
The use of proxy-models for risk measurement of life insurance portfolios (joint with EPFL)
Guido Grützner  (Secquaero Advisors AG, Zurich)

January 22
Exploring the Dependence between Mortality and Market Risks (joint with Operations Department, HEC Lausanne and EPFL)
Michel Dacorogna (SCOR SE, Switzerland)




November 13
Risk Management of Policyholder Behavior in Equity-Linked Life Insurance
Anne MacKay (ETH Zurich)

October 30
Micro level stochastic loss reserving for general insurance: a multi-state approach with flexible payment distributions
Katrien Antonio (K.U. Leuven, Belgium)

October 29
Risks Aggregation in multivariate Pareto Distributions
Jose Maria Sarabia (University of Cantabria, Santander, Spain)

October 13
Robustness of regulatory risk measures in aggregation and optimization (EPFL-DSA joint seminar)
Ruodu Wang (University of Waterloo, Ontario, Canada)

October 9
Nonlinear reserving in life insurance: aggregation and mean-field approximation
Boualem Djehiche (KTH Stockholm)

August 21
A continuous-time model for the mortality surface of multiple populations
Petar Jevtic (McMaster University, Hamilton, Canada)

July 3
Valuation of Guaranteed Minimum Maturity Benefits in variable annuities with surrender options
Jonathan Ziveyi (University of New South Wales, Sydney, Australia)

July 2
Some fractional extensions of the Poisson process
Enzo Orsingher (Sapienza University of Rome, Italy)

June 5
An Introduction to the Benchmark Approach
Eckhard Platen (University of Technology, Sydney, Australia)

April 24
Worst Case Scenario Optimisation - A Review
Olaf Menkens (Dublin City University, Ireland)

March 18
David Veredas (ECARES, Solvay Brussels School of Economics and Management, Université libre de Bruxelles, Belgium)

March 6
The diameter of a random elliptical cloud
Philippe Soulier (Université Paris Ouest Nanterre, France)

March 4
Extremal negative dependence concepts
Giovanni Puccetti (University of Florence, Italy)

December 12
Model Risk Cultures
Andreas Tsanakas (Cass Business School, London City University)




December 12
Model Risk Cultures
Andreas Tsanakas (Cass Business School, London City University)

December 1st
Set-valued portfolios and set-valued risks
Ilya Molchanov (University of Bern)

November 28
Expected Shortfall revisited
Pablo Koch (University of Zürich)

November 26
An M-estimator of spatial tail dependence
Andrea Krajina (University of Göttingen)

November 21
Interest Rates Term-Structures Models based on the Stochastic Process « J-Process »
Yacin Jerbi (Université de Monastir, Tunisie)

November 14
Taming Your Data: a Practitioner’s Viewpoint
Pedro Fonseca (Systemorph AG, Zürich)

November 11
The application of Quality Control Risk Measure (QCRM) to Solvency II and ORSA (Own Risk Solvency Assessment): A practical vision
Maria Victoria Rivas Lopez (Mutua Madrileña, Spain)

November 4
Timescaling results for Markov modulated infinite-server systems and OU processes
Michel Mandjes (University of Amsterdam)

October 10
Confidence Bands for Distribution Functions and the Law of the Iterated Logarithm
Lutz Dümbgen (University of Bern)

October 3
On Dynamic Spectral Risk-Measures
Martijn Pistorius (Imperial College London, UK)

September 25
Legal Quote and SST
Stéphane Moine (AXA Winterthur) (EPFL-DSA joint seminar)

September 17
Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series
Thomas Mikosch (University of Copenhagen, Denmark)

September 15
Systemic risk through contagion in a core-periphery structured banking network
Claudia Klüppelberg (Technische Universität München (TUM)) - EPFL-DSA joint brownbag seminar

September 4
Exponential Stopping of Brownian Motion and Applications to Valuing Equity-linked Products
Hailiang Yang (The University of Hong Kong)

August 25
Applications of the Likelihood Ratio Identity
Benjamin Yakir (The Hebrew University of Jerusalem, Israël)

August 18
From Regression Models to p-Slepian Processes
Wolfgang Bischoff (Katholische Universität Eichstätt-Ingolstadt, Germany)

June 30
A look at perpetuities via asymptotically homogeneous in space Markov chains
Dmitry Korshunov (Sobolev Institute of Mathematics, Novosibirsk and Moscow State University, Russia)

May 20
Statistical estimation of density functionals for stationary m-dependent sequences
Oleg Seleznjev (University of Umea, Sweden)

May 19
Insurance Linked Securities: Introduction and Overview
Andreas Gadmer (SIGNAL IDUNA Reinsurance Ltd, Zug)

May 16
The role of the survivor dividend in notional defined contribution pension systems
Carmen Boado Penas (University of Liverpool)

May 9
Dividend maximization under incomplete information and associated SDEs
Michaela Szölgyenyi (Universität Linz, Austria)

April 28
Risk Measures within a Credibility Framework
Georgios Pitselis (University of Piraeus, Greece and K.U. Leuven, Belgium)

April 4
Extreme value statistics for truncated Pareto type distributions
Jan Beirlant (K.U. Leuven, Belgium)

January 24
A multivariate counting process with simultaneous jumps and its application to insurance modeling
Daniela Selch (TU Munich)

January 24
Dynamic factor-copula models
Matthias Scherer (TU Munich)

January 13
From osteoporosis to q-algebraic equations
Philippe Barbe (CNRS)




December 6
Extremogram and Ex-Periodogram for heavy-tailed time series
Thomas Mikosch (University of Copenhagen, Denmark)

October 21
Parameter estimation in the models with long-range dependence
Yulyia Mishura (Taras Shevchenko National University of Kyiv, Ukraine)

October 4
Optimal switching for the survival probability and for the optimal dividend payment
Nora Muler (University Torcuato Di Tella, Buenos Aires)

September 26
Asymptotically Stable Dynamic Risk Assessments
Karl-Theodor Eisele (IRMA and Université Louis Pasteur de Strasbourg)

June 21
How to best approximate the distribution of aggregated heavy tailed risks?
Marie Kratz (ESSEC Business School, Cergy-Pontoise, France)

June 21
Minimization of ruin probabilities by optimal investment under transaction costs
Stefan Thonhauser (Université de Lausanne)

June 20
Computations of the risk measures of variable annuity guaranteed benefits
Runhuan Feng (University of Illinois)

June 18
Behavioral Optimal Insurance and its Resolution of a Socioeconomic Enigma
Phillip Yam (Chinese University of Hong Kong)

June 18
Deterministic optimal consumption and investment in a stochastic model with applications in insurance
Marcus C. Christiansen (University of Ulm)

June 17
On subexponential tails for the suprema of negatively driven Levy process
Dmitry Korshunov (Sobolev Institute of Mathematics, Novosibirsk, Russia)

June 17
A Proposal on How the Regulator Should Set Minimum Interest Rate Guarantees in Participating Life Insurance Contracts
Joël Wagner (Universität St.Gallen)

June 17
The Natural Banach Space for Version Independent Risk Functionals
Alois Pichler (University of Vienna, Austria)

May 17
Aging Process and Stochastic Mortality Modelling
Xiaoming Liu (University of Western Ontario)

April 26
Filtering: Numerical solutions and applications in finance
Thorsten Schmidt (TU Chemnitz)

March 26
On clusters of high exceedances and excursions of Gaussian processes
Jürg Hüsler (University of Bern)

March 15
A partial internal model for longevity risk
Thomas Moller (PFA Pension and University of Copenhagen )

March 8
Dividend barrier strategies in a renewal risk model with generalized Erlang interarrival times
Yulyia Mishura (Taras Shevchenko National University of Kyiv, Ukraine)

January 18
Capped American Lookback
Andreas Kyprianou (University of Bath)

January 16
Unifying standard multivariate copulas families (with tail dependence properties)
Arthur Charpentier (Université Rennes 1)




December 4
On the distribution of infimum of reflected processes: Gaussian and Lévy case
Krzysztof Debicki (University of Wrocław, Poland)

November 23
Optimal Allocation of Diversification Benefits
Michiel Janssen (University of Amsterdam)

November 16
Asymptotic Optimal Investment under Interest Rate for a Class of Subexponential Distributions
Julia Eisenberg (Vienna University of Technology, Austria)

November 2
Regime switching and portfolio optimization in continuous time
Jörn Sass (University of Kaiserslautern, Germany)

October 29
Monte Carlo methods and financial applications
Markus Hofer (Graz University of Technology, Austria)

September 26
Large deviation for fractional Poisson processes
Claudio Macci (Università di Roma Tor Vergata)

June 20
On the Excursion Probabilities of Gaussian Random Fields
Yimin Xiao (Michigan State University, USA)

June 19
Pauline Barrieu (LSE)

May 29
On moments based matrix-exponential approximations of the Pollaczek-Khinchine formula
Florin Avram (Départment de Mathematiques, Université de Pau, France)

May 25
The Risk of Model Misspecification and its Impact on Solvency Measurement in the Insurance Sector
Hato Schmeiser (University of St. Gallen)

May 18
Decision Principles in Insurance based on Risk Measures
Marc Goovaerts (K.U. Leuven, Belgium)

April 20
Financial risks of variable annuities from a banking perspective
Philipp Mayer (ING, Brussels)

April 3
Useful martingales for stochastic storage processes with Lévy-type input and decomposition results
Offer Kella (The Hebrew University, Jerusalem)

March 29
Two-dimensional workload processes and two-dimensional insurance processes
Onno Boxma (Eindhoven University of Technology, The Netherlands)

February 9
Multivariate Piecewise Linear Interpolation of a Random Field
Oleg Seleznjev (University of Umea)




December 9
Variable Annuities as Life Insurance Packages: A Unifying Approach to the Valuation of Guarantees
Annamaria Olivieri (University of Parma)

November 11
Modeling hierarchical dependencies with nested Archimedean copulas
Marius Hofert (ETH Zürich)

November 9
Runs Associated with Spacings
Alexei Stepanov (Izmir University of Economics, Turkey)

November 2
Risk margin for a non-life insurance run-off
Mario Wüthrich (ETH Zürich)

October 28
Optimal Risk Transfer with Multiple Reinsurers
Alexandru V. Asimit (Cass Business School, City University London)

October 17
Markov bridges, bisection and variance reduction
Søren Asmussen (Aarhus University, Denmark)

October 14
Abel, Tauber, Mercer, Karamata and Subexponential Distributions
Paul Embrechts (ETH Zürich)

October 14
Stochastic and geometric representations
Wolf-Dieter Richter (Universität Rostock)

October 7
The occupation times for the Levy risk model
Xiaowen Zhou (Concordia University, Montreal)

September 30
Interval Estimation for Risk Measure and Copulas
Liang Peng (Georgia Institute of Technology)

September 23
Statistical Aspects of Log-Concave Distributions
Lutz Dümbgen (University of Bern)

September 6
Group Self-annuitisation Schemes and Systematic Mortality Risk
Michael Sherris (Australian School of Business)

August 5
Solving optimal stopping problems for Lévy processes by fluctuation theory
Erik Baurdoux (London School of Economics)

July 8
Asymptotics for Risk Capital Allocations based on Conditional Tail Expectation
Qihe Tang (The University of Iowa)

July 5
Tail Probabilities of Randomly Weighted Sums
Rajat Subhra Hazra (Indian Statistical Institute, Calcutta)

May 27
Dividend optimization in de Finetti's model with ruin constrain
Christian Hipp (Karlsruhe Institute of Technology)

May 26
An approach to calculating asymptotic variance of Bayesian estimators
Alex Novikov (University of Technology, Sydney)

May 20
On Gerber-Shiu functions and optimal dividend distribution for a Levy risk-process in the presence of a penalty function
Florin Avram (Université de Pau)

May 18
(Elementary) Renewal Theorem for Dependent Interarrival Times
Oleg Klesov (National Technical University of Ukraine)

May 13
Large deviation principles for telegraph processes and random flights
Claudio Macci (University of Rome)

May 6
What Symbolic Computation can offer risk theory and why you cannot find it in Maple or Mathematica
Markus Rosenkranz (University of Kent)

April 8
Multivariate option pricing models: some extensions of the alpha-VG model
Florence Guillaume (EURANDOM, Eindhoven, Netherlands)

March 18
Ruin probabilities for a regenerative Poisson gap generated risk process
Romain Biard (Université de Lyon 1 and UNIL)

March 11
Partially identified models and random sets
Ilya Molchanov (University of Bern)

February 18
Electronic Stock Exchanges: Price Dynamics and Automated Trading Strategies
Rudolf Riedi (Ecole d'ingénieurs et d'architectes de Fribourg)

February 11
Change Point Analysis of Extreme Values
Jozef L. Teugels (Katholieke Universiteit Leuven & EURANDOM)

January 28
The Distribution of the Inhomogeneous Discounted Compound Poisson Process
Riccardo Gatto (University of Bern)



Le Département de sciences actuarielles a profité du Centenaire de HEC pour organiser le premier Forum de la prévoyance professionnelle qui a eu lieu le vendredi 4 novembre 2011 à l'Université de Lausanne.

Voici un aperçu du programme de cette journée de conférences: 

International : 
La renaissance de la primauté de prestations ? 

Risque «longévité» : 
Qu’en est-il ? 

Perspectives économiques : 
Que nous réserve le futur ? 

Normes comptables internationales : 
Quels impacts ? 

Pistes de réforme de la prévoyance professionnelle 

Et les politiques, qu’en pensent-ils? 
L’avis d’un spécialiste: intervention de M. Pascal Couchepin ancien Conseiller fédéral 

Avec la participation de 
Serge Charbonneau (Canada) : actuaire, associé chez Morneau Sobeco 
Michel Denuit (Belgique) : professeur, UCL (Université Catholique de Louvain) 
Claude Richard : Directeur général Retraites Populaires




December 17
Exploratory Plots in the Analysis of Extremes
Bikramjit Das (ETH, Zürich)

November 26
Teaching Actuarial Mathematics: Hints from Life Annuities
Ermanno Pitacco (University of Trieste)

November 25
Dynamics of dependence properties for random times
Rachele Foschi (Universita degli Studi di Roma La Sapienza, Department of Mathematics)

November 25
Improving Longevity and Mortality Risk Models using Common Stochastic Long-Run Trends
Séverine Gaille (Université de Lausanne)

November 25
An alternative Bayesian modeling for dependent mortality
Pasquale Cirillo (University of Bern)

November 12
Discrete Term Structure Modeling using the Span Deflator and the Ehrenfest Urn
Hans Bühlmann (ETH, Zürich)

November 10
Control improvement for jump-diffusion processes with applications
Nicole Bäuerle (University of Karlsruhe, Germany)

November 3
Multivariate Extremal Density Expansions and Residual Tail Dependence Structures
Melanie Frick (University of Siegen, Germany)

October 8
European integration of financial markets
Catalin Starica (University of Neuchatel)

May 21
From Climate Variability to Weather Risk: The Case of Winter Tourism in Austria
Christoph Toeglhofer (Joanneum Research Graz)

February 19
Optimal Consumption in a Brownian Model with absorption and a finite time horizon
Peter Grandits (Vienna University of Technology)




December 18
On a method to calculate the Vega matrix
Philipp Mayer (Graz University of Technology, Austria)

September 11
On extensions of the delayed renewal risk model
Jae-Kyung Woo (University of Waterloo, Canada)

September 4, 2009
On a Gerber-Shiu type function in dual Sparre Andersen risk models and its applications
Eric Cheung (University of Waterloo, Canada)

September 4, 2009
Large deviation for fractional Poisson processes
Claudio Macci (Università di Roma Tor Vergata)


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