International Chair LabEx MME-DII & CREAR

Goal: to foster research in the field of quantitative risk management

Michel Dacorogna’s experience, both professional and academic, will be important to bring forward research subjects that present both theoretical challenges and practical relevance.

The program of this international chair is set to combine workshops, where Michel will present selected topics of his lecture on “the Economy of Risk in Insurance”, and a public conference on the lessons learned from his research on high frequency data in finance, field that Michel, among others, initiated thirty years ago. To favor exchanges with members of our research community (researchers, post-docs and PhD students), we will organize a one-day workshop in the framework of LabEx series seminars, where people will have the opportunity to present their own work along with Michel talking about the change of paradigm in the insurance industry.

We are looking forward to interesting interactions with colleagues from ESSEC and LabEx MME-DII to fully take advantage of Michel’s presence.

Contact: michel@dacorogna.ch

Office: ESSEC Nautile N311

Program

• Public Conference on "High Frequency Financial Data, 30 years later" by Michel Dacorogna(co-author of the book published by Academic Press: Introduction to High Frequency Finance) at Institut Henri Poincaré (IHP), Amphi Hermite, Friday May 4, 2018, 1pm to 2pm. At 2pm, you are cordially invited for a coffee break. This event is co-organized with the group BFA (Banque Finance Assurance) of SFdS, and supported by Institut des Actuaires and IEA-UCP. See the program.

• 1 day workshop on Risk Analysis and Management - Series of LabEx MME-DII seminars (place and date to be confirmed)

• 3 lectures by Michel Dacorogna on selected topics of "The Economy of Risk in Insurance", addressed mainly to PhD and Master Students, and also colleagues of the various institutions of LabEx-MME DII. These lectures will take place from 5:45 pm to 7:45 pm at ESSEC campus La Défense (CNIT), with also the support of Caritat, on:

  • Monday, April 16, 2018 (room 103): The Concept and Pricing of Risk

  • Monday, May 7, 2018 (room 104): The Concept of Capital and its Management

  • Monday, June 4, 2018 (room 104): The Modeling of Economic Scenarios

See the program (with the bibliography, also enclosed). Note that it is possible to attend each lecture independently, although they are part of the course 'The Economics of Risk in Insurance'

Organization: Mohamed BEN ALAYA (LabEx MME-DII & Univ. Rouen, LMRS), Jean-Michel COURTAULT (LabEx MME-DII & Univ. Paris 13, CEPN), Marie KRATZ (LabEx MME-DII & ESSEC CREAR), Yang LU (LabEx MME-DII & Univ. Paris 13, CEPN)

Other activities:

• At ESSEC Cergy Campus:

  • 'Café Risk Management', Monday April 9, 2018, Cafeteria (piano area), 12-2pm, with Michel Dacorogna and 3 MSc from the Risk & Actuarial track: Clara Adiceom, Jia-Cheu Tat, and Adrien Condamin

• • Round table on Risk Management, Tuesday April 24, 2018, 6-7:30pm. Panelists: Michel Dacorogna, Emmanuel Dubreuil (Partner at PwC, ESSEC Actuary 91), and Jean-Marie Nessi (Nessi Consulting & Head of Caritat). Moderators: Marie Kratz (ESSEC Prof., Director of the Risk & Actuarial Track) & Yunjing Xu (ESSEC Actuary, 2017)

• At MSH Paris Nord: Michel Dacorogna is also an invited speaker at the Financial Econometrics Workshop organized by CEPN (Dpt of Economics, Univ. Paris 13) & LabEx MME-DII on June 8, 2018