Laboratoire Manceau
de Mathématiques
Equipe d'Accueil N° 3263
Membre de la Fédération de mathématiques des Pays de Loire
Faculté des Sciences et Techniques - Université du Maine
Program
2014 Le Mans Insurance & Finance Risk Colloquium Presentation Program Accomodation in Le Mans Contact Location

Thursday 6

- Morning

  1. 8h30-9h30 — Welcome coffee.
  2. 9h30-9h45 — Opening session.
  3. 9h45-10h30 — C. Hillairet : Ramsey rule with progressive utility in long term yield curves modeling.
  4. 10h30-11h15 — P. Protter : Liquidity suppliers and high frequency trading.
  5. 11h15-12h00 — S. Loisel : Impairment of financial assets and news from LoLitA.
  6. 12h00-13h30 — Lunch.

- Afternoon

  1. 13h30-14h45 — A. Macdonald : Survival analysis on pedigrees, A marked point process model.
  2. 14h45-15h30 — P. Bertail : Extreme values statistics for Markov chains with applications to Finance and Insurance.
  3. 15h30-16h00 — Coffee break.
  4. 16h00-16h45 — A. Charpentier : Non- and semi-parametric inference for risk measures.
  5. 16h45-17h30 — H. Albrecher : Insurance risk and the cost of capital.
  6. 17h30-18h15 — J. Garrido : Measuring risk when expected losses are unbounded.

Friday 7

- Morning

  1. 9h15-10h00 — M. Steffensen : Personal finance and life insurance under separation of risk aversion and elasticity of substitution.
  2. 10h-10h30 — Coffee Break.
  3. 10h30-11h15 — N. El Karoui : Two examples in population dynamics.
  4. 11h15-12h00 — P. Henry-Labordere : Numerical schemes for nonlinear PDEs arising in Finance.
  5. 12h00-13h30 — Lunch.

- Afternoon

  1. 13h30-14h15 — B. Djehiche : Risk aggregation and stochastic claims reserving in disability insurance.
  2. 14h15-15h00 — R. Biard : On the modeling of rare events in ruin theory.
  3. 15h00-15h45 — O. Lopez : Estimation and goodness-of-fit procedures in multivariate lifetime analysis.
  4. 15h45-16h30 — C. Dutang : Estimation of the tail dependence coefficient and probabilities of extreme failure sets.

Abstract booklet

PDF

Laboratoire Manceau de Mathématiques
Université du Maine - Faculté des Sciences et Techniques
Avenue Olivier Messiaen - 72085 Le Mans Cedex 9 (France)
Tel : +(33) 2 43 83 32 19
[ Contacts ]