Workshop Statistics & Risk Modeling

The workshop takes place at Ulm University, Germany, from Friday, June 13 to Saturday, June 14, 2014.

The aim of the conference is to bring together a range of researchers to present their work and exchange ideas.

There will be a registration fee of 50 EUR for all participants except invited speakers. While talks are on invitation only, there will be an open poster session on Friday afternoon.

Organizers

Georg Pflug and Robert Stelzer.

Registration

A registration form can be found here (pdf-file) or here (doc-file). If you wish to attend the workshop, please fill out the registration form and send it back to Eva Nacca via e-mail, fax (please use the fax number given in the form) or regular mail. In the form you can also specify whether or not you would like to present a poster within the designated session on Friday afternoon. Please note that the conference fee is 50 EUR (except for invited speakers) and should be paid by June 1, 2014. In case of any queries regarding the registration or the workshop itself, please feel free to contact Eva Nacca.

If you want to apply to present a poster, you have to register by May 25th. Presumably on May 30th notifications about the accepted posters will be emailed.

Programme

Friday, June 13, 2014

9:00-9:10	Opening
9:10-9:50	Georg Pflug (University of Vienna) Time consistent and infromation monotone risk functionals
9:50-10:30	Ulrich Stadtmüller (Ulm University) Maximal Non-Exchangeability: Consequences and Tests
10:30-11:00	Coffee Break
11:00-11:40	Ludger Overbeck (Giessen University) Heterogeneous Archimedean copula and t-copula with application in credit portfolio modeling
11:40-12:20	Hansjörg Albrecher (University of Lausanne) Risk Theory under Randomized Observations
12:20-13:30	Lunch
13:30-14:10	Nicole Bäuerle (Karlsruher Institut für Technologie) Risk-Sensitive Markov Decision Processes with Applications to Finance and Insurance
14:10-14:50	Carla Mereu (Ulm University) Utility maximization of DC pensions schemes with stochastic contributions
14:50-15:20	Coffee Break
15:20-16:00	Rama Cont (Imperial College London,) Close-Out Risk Evaluation: Integrating liquidity and market risk for complex portfolios.
16:00:16:40	Marcus Christiansen (Ulm University) Integral equations for moments and loss distributions in multistate life and health insurance models
19:30	Conference Dinner

 

Saturday, June 14, 2014

09:00-09:40	Peter Tankov (Université Paris Diderot) Asymptotic methods for portfolio risk management
09:40-10:20	Claudia Klüppelberg (Technische Universität München) Systemic risk through contagion in a core-periphery structured banking network
10:20-10:50	Coffee Break
10:50-11:30	Imma Curato (Ulm University) Fourier estimation of stochastic leverage using high frequency data
11:30-12:10	Ludger Rüschendorf (University of Freiburg) Optimality of claims with fixed payoff structure
12:10-12:20	Closing

Travel information

A site plan of the campus and detailed travel information can be found here.

The conference will take place in the "Senatssaal", Helmholtzstraße 16. The room is situated in the basement of the administration building Helmholtzstraße 16 which can be found on that map as "Universitätsverwaltung" (the left one of the two blue buildings in Helmholtzstraße). The best way to get there is by bus line 3 (coming from city centre and central station). The stop is "Botanischer Garten". From there you walk approximately 5 minutes to Helmholtzstraße 16.