The Risk and Stochastics Day is an annual event, which was scheduled for the first time for the spring of 2007. The event featured high profile speakers from the UK and overseas, presenting recent advances in the area of risk and stochastics.
The Risk and Stochastics Day 2007, part funded by the British Academy, took place on 19th March 2007 and was the first in a series of annual events aiming to communicate current advances in stochastic methods for measurement and management of risk in the areas of insurance, finance and their interface.
The event featured the following invited speakers from home and abroad:
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Hans Föllmer (Humboldt University, Berlin)
Convex risk measures and the dynamics of their penalty functions (PDF)
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Stewart Hodges (University of Warwick)
Good-deal bounds (PDF)
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Monique Jeanblanc (University of Evry)
Old results as new tools for credit risk (PDF)
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Mogens Steffensen (University of Copenhagen)
Decisions and design in life insurance (PDF)
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Angelos Dassios (LSE)
Quantiles of Lévy processes and applications in finance (PDF)
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Adrian Gfeller (LSE)
Dynamic Greeks and model risk (PDF)
Short abstracts for all of the talks, along with a mini-biography for each speaker, can be found here|.
They presented results from their research reflecting the ongoing merger of insurance and finance into a comprehensive concept of risk management. They especially considered the problems of risk measurement and modelling and the design of exotic products based on risks at the frontier of finance and insurance.
Queries can also be directed to the Chair of the organising Committee, Umut Cetin|, the Postgraduate Administrator Natalie Dawkins| or by fax: +44 (0) 20 955 7416.
To find out more about the forthcoming risk and stochastics day 2008|