|
Calendar of the meetings in 2019-2020 :
3rd Term : During this lockdown period, the frequency seminars will be reduced to once a month. They will take place via zoom, in France and Singapore. Thank you to the speakers to have accepted to proceed this way!
June 25, 2020 |
Treatment Effect Estimation with Missing Attributes
Abstract Talk
|
Prof. Julie JOSSE
Ecole Polytechnique
Visiting Researcher at Google Brain | April 30, 2020 |
Graphical Models, Sparsity and Structural
Learning for Extremes
|
Prof. Sebastian ENGELKE Research Center for Statistics University of Geneva, Switzerland | May 11-15, 2020 |
|
|
May 15, 2020
1pm - 2pm |
Round table on:
Key Issues and Challenges for Actuarial Science - Bringing Together Academics and Practitioners
Link: https://www.actuview.com/browse-sections-virtual-colloquium-videos-1-date.html Panelists:
- Corina CONSTANTINESCU (Prof., IFAM, Liverpool University) - Wesley CUI (Deputy General Manager of CICTIC-Prudential Life (CPL) China) - Philippe DOMART (Asia Pacific P&C, Head of Underwriting, PartnerRe) - Marie KRATZ (Prof.,ESSEC CREAR) - Henning WERGEN (Executive Manager of DAA, DAV´s actuarial academy, & Chairperson AAE Education Committee) |
|
2nd Term : March 30, 2020 |
Cancelled |
Prof. Emmanuel Bacry Ecole Polytechnique Palaiseau |
March 20, 2020 |
Cancelled (all campuses closed due to COVID 19) Trading Desk Behavior Modeling via LSTM for Fraud Detection | Marine NEYRET Data Lab - Inst. L. Bachelier Jaouad OUAGGAG Data Lab - Inspection Générale, Société Générale |
February 26, 2020 |
Robust Tests for White Noise and Cross-Correlation
Abstract Talk |
Prof. Liudas Giraitis
Queen Mary Univ.
London, UK | | February 20, 2020 |
Generative Models for Dynamic Graph Exploration
Abstract Talk | Prof. Fabrice Rossi University Paris-Dauphine Member of CEREMADE and MILES |
1st Term :
Seminars take place simultaneously at: |
- Essec Asia Pacific , at 6 :30 - 7:30pm - Essec La Défense ( Cnit) at 12:30 - 1:30 pm | | | October 4, 2019 |
Conditional calibration and the sage statistician
| Prof. Donald RUBIN Yau Center for Mathematical Sciences, Tsinghua University, China | October 21, 2019
|
Is climate change making extreme rains
more frequent, or bigger, or more dangerous?
|
Prof. Holger ROOTZEN Chalmers Univ. and Royal Sweedish Academy of science, Sweden | November 13, 2019
|
Spatial CART Classification Trees
|
Prof. Avner BAR-HEN
Chair of Statistics and Mass Data CNAM Paris |
November 18, 2019 |
Insurance Pricing in a Competitive Market
|
Prof. Arthur CHARPENTIER Université du Québec à Montreal (UQAM), Canada |
December 11, 2019
|
Solving Cyber Risk
|
Eireann LEVERETT
Cambridge Judge Business School, UK |
December 18, 2019
|
From quadratic Hawkes processes
to rough volatility and Zumbach effect
|
Prof. Mathieu ROSENBAUM
CMAP École Polytechnique Palaiseau |
Calendar of the meetings in 2018-2019 :
3rd Term : | Seminars take place simultaneously at: | - Essec Asia Pacific, Level 3, room 7, at 6 :30 - 7:30pm - Essec La Défense ( Cnit), Room 202, at 12:30 - 1:30 pm | |
May 2, 2019 |
Detecting clusters in the data from variance decompositions of its projections | Prof. Yannis YATRACOS Cyprus Univ. of Technology
|
May 23, 2019
Room 237 |
Unraveling clusters: a Markov random field approach, with an application to Indian Monsoon |
Prof. Sreekar VADLAMANI TIFR CAM Bangalore & Lund Univ., Stat. Dpt. |
June 17, 2019
| On the global convergence of gradient descent for non convex machine learning problems |
Dr. Francis BACH
INRIA |
July 5, 2019 |
Essential Concepts of Causal Inference:
A remarkable history and an intriguing future |
Prof. Donald RUBIN
|
2nd Term : January 17, 2019 |
Graphical Models for Extreme Events
|
Prof. Justin DAUWELS NTU Singapore |
January 30, 2019 | A Bayesian General Linear Modeling Approach to Cortical Surface fMRI Data Analysis
Abstract Talk | Prof. David BOLIN Chalmers Univ. Sweden | February 8, 2019 |
Internet Traces and the Analysis of Online Illicit Markets Cancelled Event | Prof. Quentin ROSSY Univ. Lausanne Switzerland |
February 27, 2019 |
Pricing of cyber insurance contracts in a network model
| Prof. Stefan WEBER Leibniz Univ. Germany | March 13, 2019 |
Double Robust Methods for Missing Data
| Prof. Shaun SEAMAN
Univ. of Cambridge
UK |
1st Term : October 16 , 2018 Room 202 12:30 - 1:30 pm |
Cyber Risk as registered at C3N
| Dr Edouard KLEIN Capitaine Gendarmerie Nationale Chargé de Projet R&D C3N, SCRC, PJGN | October 23 , 2018 Room 202 12:30 - 1:30 pm |
(Re)Insuring Cyber Risks
| Sébastien HEON Deputy Chief Underwriting Officer Cyber Solutions - SCOR | November 9, 2018 Room 202 12:30 - 1:30 pm |
Random Forests for Big Data
|
Prof. Jean-Michel POGGI LMO Paris-Sud Univ & Paris Descartes Univ. | November 27, 2018 Room 202 12:30 - 1:30 pm |
Binary classification in Extreme regions
|
Prof. Anne SABOURIN
LTCI, Télécom ParisTech Paris-Saclay Univ.
| | December 11, 2018 Room 202 12:30 - 1:30 pm |
From Information System Security to Data Anonymization |
Prof. Isabelle WATTIAUInformation Systems ESSEC Business School | | December 20, 2018 Room 202 12:30 - 1:30 pm |
Cyber Defence - two cases of practical attacks
in business communications
Abstract Talk |
Patrick LEGAND XIRIUS Informatique |
Calendar of the meetings in 2017-2018: Focus on Cyber Risk & Security: seminars co-organized with Olga Klopp (ESSEC CREAR) and Olivier Romain (Prof. UCP, ETIS) April 10 , 2018 Room 202 12:30 - 1:30 pm |
ASSESSMENT OF ONLINE OFFENCES
| Colonel Cyril PIAT Centre de Lutte contre la Criminalité Numérique PJGN Ministère de l'Intérieur | May 3, 2018 Room 104 12:30 - 1:30 pm |
CYBER RISKS AND BIG DATA : FROM DATA BREACH TO ALGORITHM
Abstract Talk | Florian PONS Actuaire Certifié Cyber Risques / Retraite Collective Senior Consultant Cognizant Business Consulting France | May 4, 2018
Institut Henri Poincaré
Amphi Hermite
13:00 - 14:00 | Public Conference on
An event co-organized by LabEx MME DII & ESSEC CREAR & SFdS BFA, with the support of IEA UCP and Institut des Actuaires | Dr. Michel DACOROGNA
International Chair LabEx MME-DII & CREAR
| May 24, 2018 Room 104 12:30 - 1:30 pm |
WHO ARE YOU ? BIOMETRICS, OPPORTUNITIES AND RISKS
| Dr. Anne BOUVEROT
CEO/Director General /Chair & Board member & Angel Investor | June 15, 2018 Room 202 12:30 - 1:30 pm |
THREAT AWARENESS:FROM MYTHS TO REALITY
| Axel CASTADOT
Deputy Head of the division 'Knowledge & Anticipation'
ANSSI-COSSI | June 28, 2018 Room 202 12:30 - 1:30 pm | A SECURITY COMPONENT OF THE BUSINESS: INSURING CYBER RISK | Bernard SPITZ Président de la Fédération Française de l'Assurance (FFA) |
July 26-27, 2018 | 4th SAS ERM & ESSEC CREAR Conference
Call for papers: Please send the topic, together with a brief outline of the presentation, as well as the brief biography of the presenter(s) to us, at erm2018 at actuaries.org.sg (with cc to: kratz at essec.edu) by April 20, 2018 | Singapore Actuarial Society & ESSEC CREAR |
Focus on Data Science: seminars co-organized with Olga Klopp (Prof. ESSEC, CREAR) and Salma Jamal (Actuary IA, KPMG) The goal of this series of seminars focused on “Data Science” is to learn about and ‘demystify’ Data Science, with concrete illustrations:
- How to define ‘data science’? What is new?What are the techniques developed so far?
- Black box or rigorous science? What has been proved (mathematically) so far?
- What are the usages of data science, in particular in companies? What are the limits?
- What are the future challenges, for academics and for companies, in particular for financial institutions?
Experts from different areas of data science (academics or professionals) will provide a synoptic and clear view on their domain, with illustrations on real data or examples.
September 29, 2017EEE - La Défense Room 202 12:30 - 1:30 pm |
MACHINE LEARNING: NEW CHALLENGES AND OPPORTUNITIES
|
Dr. Francis BACH INRIA |
October 6, 2017 EEE - La Défense Room 104 12:30 - 1:30 pm |
BIG DATA: NEW CHALLENGES AND OPPORTUNITIES
| |
October 13, 2017
EEE - La Défense Room 202 12:30 - 1:30 pm |
AN ACTUARY'S VIEW ON THE BIG DATA AND THE DATA SCIENCE, AN ECOSYSTEM OF POLITICAL AND SOCIO- ECONOMIC TRANSITION
Abstract Talks: M.Juillard / A.Olympio / G. Peubez / F. Picard | Marc JULLIARD (Soc.Générale Insurance), Anani OLYMPIO (CNP Assurances), Gontran PEUBEZ (Deloitte Paris), Dr. Florence PICARD (Institut des Actuaires) |
November 7, 2017
EEE - La Défense Room 202 12:30 - 1:30 pm
|
ARTIFICIAL INTELLIGENCE AND MACHINE LEARNING: DEMYSTIFICATION AND ACTUARIAL CASES STUDIES
|
Dr. Frank CUYPERS Salma JAMAL Actuary, KPMG France |
November 24, 2017
EEE - La Défense Room 103 12:30 - 1:30 pm |
INSURANCE: RISK POOLING & PRICE SEGMENTATION USING INFORMATION IN A 'BIG DATA' CONTEXT
|
Prof. Arthur CHARPENTIER Univ. Rennes 1 |
December 20, 2017EEE - La Défense Room 202 12:30 - 1:30 pm |
HIGH DIMENSIONAL CHANGE POINT ESTIMATION VIA SPARSE COINTEGRATION
|
Prof. Richard SAMWORTH Cambridge University UK | Room 202 12:30 - 1:30 pm |
DATA SCIENCES CHALLENGES
AND LIMITATIONS IN THE REAL WORLD
|
Dr. Marcin DETYNIECKI Head of Data Science and R&D Data Innovation Lab GIE AXA | January 31, 2018 |
ZIGZAG EXPANDED NAVIGATION PLOTS IN R: THE R PACKAGE ZENPLOTS |
Prof. Marius HOFERT Statistics & Actuarial Science dpt University of Waterloo CANADA |
February 7, 2018
Room 202 12:30 - 1:30 pm |
DATA SCIENCE FROM THE R&D PERSPECTIVE: DISCUSSION WITH LEADERS OF DATA SCIENCE TEAMS AT RTE AND SANTE PUBLIQUE Abstract | Dr. Vincent LEFIEUX Directeur du Pôle Data Science RTE Dr. Yann LE STRAT Directeur D.A.T.A. SANTE PUBLIQUE |
February 20, 2018
Room 202 12:30 - 1:30 pm | HOW TO MAKE ENTERPRISES USE DATA SCIENCE TO GENERATE BUSINESS VALUE LEVERAGING ENTERPRISE ARCHITECTURE AND BIG DATA ARCHITECTURE ?
Abstract Talk |
Céline LESCOP Lead Architect Data Innovation Lab - GIE AXA
|
March 9, 2018
Room 202 12:30 - 1:30 pm |
TEXT MINING : ARTIFICIAL INTELLIGENCE OR ARTIFICIAL EFFICIENCY?
Abstract Talk |
Prof. Romuald ELIE UPEM - ENSAE Antoine LY Consulting Actuary and Datascientist, R&D
MILLIMAN |
March 30, 2018 Room 103 12:30 - 1:30 pm |
BLOCKCHAIN OR DISTURBED TRUST
| Serge SOUDOPLATOFF Entrepreneur Cofunder of Sooyoos, Scanderia, and Mentia
|
Calendar of the meetings in 2016-2017: 3rd Term : April 19, 2017 EEE - La Défense Room 202 12:30 - 1:30 pm |
Hidden Regular Variation under Full and Strong Asymptotic Dependence |
Prof. Sidney RESNICK Cornell University USA | April 28, 2017 EEE - La Défense Room 202 12:30 - 1:30 pm | Market risk methodologies, volatility, processes, and Backtesting
|
Dr. Gilles ZUMBACH White Oak Asset Management Genève, Switzerland | May 11, 2017 EEE - La Défense Room 202 12:30 - 1:30 pm |
Risk Management at AXA: Technical and Behavioral Aspects
|
Alban De MAILLY NESLE Group CRO AXA |
May 31, 2017 EEE - La Défense Room 202 12:30 - 1:30 pm |
Tailoring heavy tails for a truncated scenario
|
Prof. Maria Isabel FRAGA ALVES CEAUL, Faculty of Sciences University of Lisbon Portugal |
June 15, 2017 EEE - La Défense Room 103 12:30 - 1:30 pm |
Improved Adaptive Multilevel Monte Carlo and Applications to Finance
Abstract |
Prof. Mohamed BEN ALAYA Université Paris 13 |
2nd Term : focus on Financial Risk & Regulation Co-organized with Prof. Laurence Lescourret (CoE Capital Markets & Regulation) January 11, 2017 EEE - La Défense Room 104 12:30 - 1:30 pm |
Solvency II: a risky business?
| Prof. Karel VAN HULLE KU Leuven and Goethe University Frankfurt Member of the IRSG of EIOPA Member of the PIOB | January 24, 2017 EEE - La DéfenseRoom 220 12:30 - 1:30 pm | The price of being a SIFI (Systemically Important Financial Institution) | | Feb. 23, 2017 EEE - La Défense |
Cancelled |
| March 8, 2017EEE - La Défense Room 103 12:30 - 1:30 pm |
An Implicit Backtest for Expected Shortfall
via a Simple Multinomial Approach
| Prof. Marie KRATZ (Actuaire IA) ESSEC Business School, CREAR Paris-Singapore | EEE - La Défense Room 103 12:45 - 1:45 pm |
Market Risk Modelling after Basel III: New Challenges for Banks and Supervisors
|
Prof. Jean-Paul LAURENT
Université Paris 1
PRISM & Labex Refi |
1st Term : focus on Reserving Dec. 7, 2016EEE - La Défense Room 103 12:30 - 1:30 pm |
Chain Ladder Prediction Error Formulae and their Interpretation Abstract Talk | Dr. Ancus RÖHR Head of Non-life Actuarial | Dec. 1, 2016
SCOR Auditorium
8:30 am - 7pm | « Lois scientifiques et modèles mathématiques: de la physique à l’actuariat » Colloque SCOR - Institut des Actuaires | | Nov. 10, 2016
EEE - La Défense Room 203 12:30 - 1:30pm | Claims Run-Off Uncertainty: The Full Picture | Prof. Mario WÜTHRICH ETH Zürich, RiskLabSwitzerland
| Oct. 20, 2016ESSEC- Cergy Room KLAB 6:00 pm | Financial Risk : Black Swan or Opportunities ? - Conference (45 mn): "Changing paradigm in financial institutions" by M. Dacorogna
- Round Table (1h)
- Cocktail and launching of E3AR
- Program
| Prof. Laurent BIBARD (ESSEC) Dr. Michel DACOROGNA (DEAR-Consulting) Dr. Emmanuel DUBREUIL (PwC) Prof. Marie KRATZ (ESSEC) Kezhan SHI (AXA) | EEE - La Défense Room 203 12:30 - 1:30 pm | An Introduction to Stochastic Reserving
Part.2. The One-Year View of Risk and Beyond | | Oct. 13, 2016 EEE - La Défense Room 103 12:30 - 1:30 pm | An Introduction to Stochastic Reserving using Bootstrapping
Part. 1. The Lifetime View of Reserve Risk | |
Calendar of the meetings in 2015-2016: 3rd Term: focus on topics related to low interest rates and new investment strategies Co-organization: Dr. Michael Schmutz (FINMA, Switzerland)
July 3-8, 2016 Hôtel Le Majestic, La Baule, France |
Concluding International "RARE" Conference on
Risk Analysis, Ruin theory & Extremes |
Information
|
June 22, 2016 EEE - La Défense Room 220 12:30 pm |
PRACTICAL CHALLENGES OF RISK BASED SOLVENCY FRAMEWORKS IN LOW INTEREST RATE ENVIRONMENT
|
Isa CAKIR Independent Actuary Switzerland |
June 13, 2016 11:00 am - 1:00 pm 3rd ISNPS Avignon |
Invited Session "Extreme risks", 3rd ISNPS Avignon
| M. Thomas Chalmers University P. Soulier Université Paris Ouest J. Hüsler Bern University M. Kratz Essec Crear | June 8, 2016 room 261 La Défense 12:30 pm |
THE FOUNDATIONS OF THE VALUATION OF INSURANCE LIABILITIES
|
Philipp KELLER Partner Financial Risk Management Insurance DELOITTE Switzerland | May 25, 2016 EEE - La Défense Room 102 12:30 pm
|
RISK MANAGEMENT IN THE LOW INTEREST RATE ENVIRONMENT
|
Matthias AELLIG Group Chief Risk Officer SWISS LIFE Group Switzerland | | May 4, 2016 EEE - La Défense Room 220 12:30 pm |
BENCHMARK APPROACH TO FINANCE
Abstract Talk |
Prof. Eckhard PLATENDirector of the Chair in Quantitative Finance University of Technology Sydney, Australia |
Note also some interesting events that CREAR supports: - Colloquium on Risk, Extremes and Contagion organized by 2 PhD students from Nanterre Univ., Charles Tillier and Paul de Buyer, on May 25-26 at Nanterre Univ.
2nd Term : focus on the new IFRS rules and their impact on the financial and insurance sectors Co-organization: Prof. Luc PAUGAM (ESSEC CREAR, Accounting & Auditing Management dpt)
April 13, 2016 EEE - La Défense Room 220 12:30 pm | IFRS9 & IFR4 PHASE II: MAIN CHANGES AND IMPACTS ON THE INSURANCE SECTOR
|
Michael DONIO Director of the Actuarial & Datas Sciences Department SIA Partners | March 24, 2016 EEE - La Défense Room 103 12:30 pm |
DO INVESTORS PAY SUFFICIENT ATTENTION TO BANKS' OTHER COMPREHENSIVE INCOME ?
Abstract Talk |
Luc PAUGAM
Associate Professor ESSEC CREAR |
March 1, 2016
EEE - La Défense Room 202 12:30 pm
|
DO FOREIGN CASH HOLDINGS GENERATE UNCERTAINTY FOR MARKET PARTICIPANTS ?
Abstract |
Michel MAGNAN Professor Concordia University Montréal, Canada |
February 16, 2016EEE - La Défense Room 202 12:30 pm | ACTUARIAL TECHNIQUES in INTERNATIONAL FINANCIAL REPORTING STANDARDS
|
Cyril KANONY Capital Markets & Accounting Advisory Services |
1st Term : December 17, 2015, EEE (La Défense), Atrium: The chair Edgar Morin on Complexity, directed by Prof. Laurent Bibard, organizes a round table on: "Managing increasingly complex risks in an increasingly stochastic world " animated by Laurent Bibard, Professor of Philosophy (ESSEC), Michel Dacorogna, Doctor in Science (Physics) and Scientific advisor to the Chairman of SCOR, Marie Kratz, Professor of Probability and Statistics (ESSEC) and Actuary.
The Working Group on Risk – CREAR has the pleasure to participate in this event, with the support of the IDS department of ESSEC, the group BFA (SFdS), Institut des Actuaires & Labex MME-DII.
This round table is based on a paper by M. Dacorogna and M. Kratz under the title “Living in a Stochastic World and Managing Complex Risks”. The full paper is available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2668468
Calendar of the meetings in 2014-2015:
3rd Term
June 24, 2015EEE - La Défense Room 104 12:30 pm
|
SEEKING FOR SUSTAINABILITY WITH ADEQUACY OF SOCIAL SECURITY PENSION SYSTEMS UNDER THE PRESSURE OF POPULATION AGEING ---JAPAN'S EXPERIENCE |
Prof. Junichi SAKAMOTO Nomura Research Institute
|
June 5, 2015EEE - La Défense Room 344 12:30 pm
|
IMPAIRMENT TESTING UNDER IAS 36: ISSUES AT STAKE
Abstract Talk |
Prof. Luc PAUGAM
ESSEC, CREAR
&
Prof. Olivier RAMOND Université Paris-Dauphine |
May 20, 2015EEE - La Défense Room 103 12:30 pm |
HIGH-FREQUENCY DATA MODELING USING HAWKES PROCESSES
Abstract |
Prof. Valérie CHAVEZ-DEMOULIN HEC Lausanne Switzerland |
May 6, 2015EEE - La Défense Room 103 12:30 pm |
FINANCIAL CRISES AND THE STATE OF THE REAL ECONOMY: AN EXTREME VALUE APPROACH
Abstract |
Dr. Stefan T.M. STRAETSMAN Professor of Finance Maastricht University Nederlands | April 8, 2015 EEE - La Défense Room 104 12:30 pm |
HANDLING OF GLM CONVERGENCE ISSUES
FOR INSURANCE DATA
Abstract | Michael NOACK Senior Consultant ADDACTIS Worldwide |
2nd Term (WG Risk- CREAR & the Econometrics & Forecasting seminar of the IDS Department) Co-organization: Prof. Guillaume Chevillon (ESSEC CREAR) March 26, 2015 EEE - La Défense Room 104 12:30 pm |
TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF NON-STATIONARY VOLATILITY |
Prof. Robert TAYLOR
University of ESSEX, UK |
March 4, 2015EEE - La Défense Room 202 12:30 pm
|
INFONOMICS: HOW TO USE ACCOUNTING PRINCIPLES TO BETTER ALIGN INFORMATION RISK, COST AND VALUE OVER TIME
Abstract Talk |
Stéphane CROISIERVP Product Manager RSD |
February 12, 2015 EEE - La Défense Room 203 12:30 pm |
MODELLING THE RISK BEHAVIOR OF DECISION MAKERS WITH UTILITY FUNCTIONS
|
Emilie MUZEREAUSenior Analyst at the Center of Expertise in Economic and Modelling Studies GDF-Suez |
January 28, 2015
EEE - La Défense Room 202 12:30 pm |
CONTAGION IN SUBPRIME MORTGAGE DEFAULTS: A COMPOSITE LIKELIHOOD APPROACH
|
Prof. Andreas HEINEN
(THEMA-UCP) | January 15, 2015 EEE - La Défense Room 203 12:30 pm
|
ROBUST SEQUENTIAL LEARNING WITH APPLICATIONS TO THE FORECASTING OF AIR QUALITY AND OF EXCHANGE RATES
|
Prof. Gilles STOLTZ CNRS Researcher at GREGHEC & Affiliate Professor at HEC |
1st Term: December 15-17, 2014 Abbaye de Royaumont
|
International Conference:
Extremes events in Finance
Presentation of the conference |
Organized by Prof. François LONGIN (ESSEC, CREAR) With the support of CREAR |
December 11, 2014EEE - La Défense Room 203 12:30 pm
|
SWITCHING COSTS IN COMPETITIVE HEALTH INSURANCE MARKETS
| Prof. Karine LAMIRAUD
Economics DepartmentESSEC - CREAR |
November 19, 2014EEE - La Défense Room 203 12:30 pm |
THE ENDOGENOUS DYNAMICS OF MARKETS: PRICE IMPACT AND FEEDBACK LOOPS AND INSTABILITIES
Abstract Talk |
Prof. Jean-Philippe BOUCHAUDChairman at Capital Fund Management & Ecole Polytechnique Paris |
November 5, 2014EEE - La Défense Room 203 12:30 pm |
QUANTITATIVE APPROACHES TO MODEL UNCERTAINTY
|
Dr. Andrew SMITH Partner, Deloitte London, UK |
October 23, 2014EEE - La Défense Room 103 12:30 pm |
MULTIVARIATE ARCHIMAX COPULAS
|
Prof. Anne-laure FOUGÈRES Institut Camille Jourdan Univ. Lyon 1
|
October 8, 2014 EEE - La Défense Room 220 12:30 pm
|
EXPECTED SHORTFALL: A POLICYHOLDER RISK MEASURE?
|
Dr Pablo KOCH Director of the Center for Finance and Insurance (CFI) University of Zurich, Switzerland |
Calendar of the meetings in 2013-14: June 20, 2014 11:10 am - 12:10 pm |
Workshop on "SMALL DATA" Organized by CREAR-ESSEC & BFA-SFdS
Hotel Marriott Saint Jacques 17 Boulevard Saint-Jacques - 75014 PARIS
|
Dr. Jérôme Collet EDF Prof. Marie Kratz ESSEC, CREAR Dr. Peter Middelkamp SWISS RE Zürich Frédéric Schwach SCOR Dr. Idriss Tchapda Djamen BNP Paribas
|
June 5, 2014 EEE - La Défense Room A104 |
STABLE DISTRIBUTIONS: MODELS FOR HEAVY TAILED DATA
|
Prof. John NOLANAmerican University, Washington, D.C. (USA) |
May 19, 2014 EEE - La Défense Room 103 | MEASURING ASSOCIATION AND DEPENDENCE BETWEEN
|
Prof. Johan SEGERS ISBA - Institut de statistique, biostatistique et sciences actuarielles
Université catholique de Louvain |
May 5, 2014EEE - La Défense Room 103
|
MULTIVARIATE STRESS TESTING FOR SOLVENCY
| Heriot-Watt University Edinburgh (UK) |
April 28, 2014 |
DEPENDENCE MODELLING WITH HEAVY-TAILED DISTRIBUTIONS
| SUTD Singapour |
April 9, 2014 EEE-La Défense Room 103 | FORECASTING MESOTHELIOMA MORTALITY FOR THE UK
| Nuffield College & Department of Economics at University of Oxford |
2nd Term:
March 26, 2014 EEE - La Défense Room 103
|
A PROPOSAL OF INTEREST RATE DAMPENER FOR SOLVENCY II: FRAMEWORK INTRODUCING A THREE FACTORS MEAN REVERSION MODEL
|
Alexandre LE MAISTRE Risk Manager, MACSF |
March 19, 2014EEE - La Défense Room 102 |
MEASURING NONLINEAR GRANGER CAUSALITY IN MEAN
|
Prof. Abderrahim TAAMOUTI University Carlos III of Madrid (Spain) | |
LONG MEMORY PROPERTIES OF CHAOTIC INTERMITTENCY MAPS
Abstract Talk |
Prof. Rajendra BHANSALIUniversity of Liverpool (UK) |
February 19, 2014 EEE - La Défense Room 138 | LIQUIDITY RISK ESTIMATION IN CONDITIONAL VOLATILITY MODELS
| Prof. Serge DAROLLES Université Paris Dauphine | February 5, 2014 EEE - La Défense Room 138 |
IMPROVING THE EFFICIENCY OF THE EUROPEAN ETF MARKET: IMPLICATIONS FOR REGULATORS, PROVIDERS AND INVESTORS
|
Thierry RONCALLI Head of Research & Development Lyxor Asset Management & Evry University | January 22, 2014 EEE La Défense Room 103 |
RETURN DECOMPOSITION OVER THE BUSINESS CYCLE
Abstract Talk
|
Prof. Tolga CENESIZOGLU | January 10, 2014 SCOR 5 avenue Kléber 75016 Paris Auditorium |
Invitation to the: SCOR & IDEI Conference on Extreme Events and Uncertainty in Insurance and Finance
| | January 8, 2014 EEE - La Défense Room 103 |
DETECTING AND FORECASTING LARGE DEVIATIONS AND BUBBLES IN A NEAR-EXPLOSIVE RANDOM COEFFICIENT MODEL
Abstract Talk | Prof.Guillaume CHEVILLON ESSEC, CREAR |
1st Term:
December 12, 2013 EEE - La Défense Room 103 |
THE DYNAMICS OF TRADING IN COMMODITY FUTURES
|
Dr. CARMEN STEFANESCU ESSEC |
December 5, 2013 EEE - La Défense Room 103 |
THE RISK FREE RATE: AN INESCAPABLE CONCEPT? | Dr. Michel DACOROGNA SCOR |
November 22, 2013
EEE - La Défense Room 220
|
SPECIAL SESSION ON PENSION FUNDS
FACING THE FUTURE : INDIAN PENSION SYSTEMS
STRATEGIC PENSION FUND MANAGEMENT
|
Prof. Shubhabrata DAS
Dr. Mohamed TALFI Univ. Catho. Lyon
|
November 14, 2013 EEE - La Défense Room 103 |
PARTIAL SPLITTING OF LONGEVITY AND FINANCIAL RISKS: THE LONGEVITY NOMINAL CHOOSING SWAPTIONS
| ISFA, Chaire "Management de la Modélisation",
BNP PARIBAS Cardif |
1. Extreme Quantile and Simulation of rare events
October 30, 2013 EEE - La Défense Room 220 |
MARKOV CHAIN MONTE CARLO FOR COMPUTING RARE-EVENT PROBABILITIES FOR HEAVY-TAILED RANDOM
|
Prof. Henrik HULT
Stockholm University |
October 21, 2013 EEE - La Défense Room 203
|
SIMULATION AND ESTIMATION OF EXTREME QUANTILES AND EXTREME PROBABILITIES Abstract Talk |
Dr. Arnaud GUYADER
Université Rennes 2 |
October 2, 2013
EEE - La Défense
Room 220 | TOWARD A 'NEW' APPROACH TO ESTIMATION OF HIGH QUANTILES Abstract Talk |
Cees de VALK
CenTER Tilburg University
|
Calendar of the meetings in 2012-13:
June 24-26, 2013
Lyon - France |
| |
June 13, 2013
EEE , Room 138
|
EVALUATION OF THE RISK OF A PANDEMIC AND CONSTRUCTION OF A PARTIAL INTERNAL MODEL HEALTH INSURANCE UNDER SOLVENCY II
|
Romain SPEISSER
Actuary
ESSEC
|
May 31, 2013
EEE, Room 203
|
HISTORICAL PERSPECTIVE AND PROSPECTIVE OF REGULATION IN INSURANCE
| Actuary, Inspector of Social Affairs | |
MULTIPLE DEPENDENCIES OF RISKS: MODELS FOR ACTUARIAL PRACTISE
| Dr, Head of non-life & Modelling,
Secquaero Advisors | EEE, Room 220 |
THE REARRANGEMENT ALGORITHM:
A NEW TOOL FOR COMPUTING BOUNDS ON RISK MEASURES
| |
April 9, 2013 |
Invitation to the:
Conference AssurFinance 2013
organized with the support of CREAR
Description Scientific Program |
ActuariaCnam |
2nd Term:
|
CAPITAL REQUIREMENTS WITH DEFAULTABLE SECURITIES
|
University of Zürich & ETH |
|
STATIC AND (SYMMETRY BASED) SEMI-STATIC REPLICATION STRATEGIES IN ACTUARIAL SCIENCE
| |
February 18, 2013EEE - Room 138
|
SHARING THE LONGEVITY RISK BETWEEN ANNUITANTS AND ANNUITY PROVIDER |
Annamaria OLIVIERI University of Parma |
February 4, 2013 EEE - Room 138
|
INTEGRATED RISKS & CAPITAL MANAGEMENT
|
Naji FREIHA Actuary Head of Risks & Capital Adequacy DEXIA Group |
|
THERE IS A VaR BEYOND USUAL APPROXIMATIONS
Abstract Talk |
Marie KRATZ
Professor
ESSEC Business School |
1st Term:
December 17, 2012
EEE - Room 201
|
EXPLICIT DIVERSIFICATION BENEFIT FOR DEPENDENT
RISKS
Abstract Talk |
Leila ELBAHTOURI
Actuary
SCOR Paris |
November 30, 2012
EEE - Room 220
|
IS EXPECTED SHORTFALL A BETTER RISK MEASURE
THAN VaR?
|
Dirk TASCHE
Dr., FSA London
|
November 23, 2012 EEE - Room 103 |
THE ASYMPTOTIC RUIN PROBLEM IN HEALTH
CARE INSURANCE WITH INTEREST Abstract Talk | Franck ADEKAMBI Professor
School of Statistics & Actuarial Sciences
University of the Witwatersrand
Johannesburg, South Africa | EEE - Room 203
|
Conference on RISK, INSURANCE AND LONGEVITY
organized with the support of the BFA group (SFdS) and the Institute of Actuaries |
ESSEC
& SWISSLIFE |
October 26, 2012
EEE - Room 220
|
DEMYSTIFYING BLACK SWANS :
FIRE SALES, PRICE IMPACT AND ENDOGENOUS RISK
|
Rama CONT
Dr., CNRS & Imperial College
London
|
October 12, 2012
SCOR
auditorium Kléber
(5 av. Kléber - 75116 Paris) |
ADDING TIME DIVERSIFICATION TO RISK DIVERSIFICATION,
THE CASE FOR EQUALIZATION RESERVES FOR NATURAL CATASTROPHES
Seminar organized with the support of SCOR |
Michel DACOROGNA Dr., Group Deputy CRO
SCOR |
Calendar of the meetings in 2011-12:
3rd Term: |
PrObEx AND MODEL - CALIBRATING DEPENDENCIES AMONG RISKS IN NON-LIFE
Abstract |
Davide CANESTRARO
Dr., SCOR Zürich |
May 24, 2012
La Défense EEE
room 138 |
HIGH DIMENSIONAL RISK AGGREGATION: A HIERARCHICAL APPROACH WITH COPULAS
Abstract |
Philipp ARBENZ
Dr., SCOR Zürich |
May 9, 2012 La Défense EEE |
DISENTANGLING CRASHES FROM TAIL
Abstract |
Sofiane ABOURA
Professor
Univ. Paris Dauphine |
2nd Term:
March 28, 2012
La Défense EEE
room 101
|
Abstract |
Bertrand MAILLET Head of Research ABN AMRO &MCF University Orléans |
March 14, 2012
La Défense EEE
room 237 |
RECOGNITION AND MEASUREMENT RISKS IN FINANCIAL STATEMENTS
Abstract |
Wolfgang DICK
Professor
ESSEC Business School
| La Défense EEE room 102 |
MULTIPLE CHANGE-POINT DETECTION IN A POISSON PROCESS WITH APPLICATIONS TO NON-LIFE INSURANCE
Abstract |
Olivier LOPEZ
Professor
ISUP-LSTA,
UPMC Paris 6 |
February 7, 2012
La Défense EEE
room 236 |
RISK PROCESSES WITH PREMIUM ADJUSTED TO SOLVENCY TARGETS
Abstract
|
Corina CONSTANTINESCU
Professor
University of Liverpool |
January 18, 2012
La Défense EEE
room 236 |
PORTFOLIO OPTIMIZATION VERSUS RISK-BUDGETING ALLOCATION
Abstract |
Thierry RONCALLI
Head of Research & Development
Lyxor Asset Management
& Evry University |
1st Term:
December 14, 2011
SCOR auditorium
La Defense |
RISK MANAGEMENT IN
INSURANCE: WHAT TECHNICAL SOLUTIONS TO ANSWER THE HUGE MODELING REQUIREMENTS? Seminar organized with the support of SCOR |
Pierre MIEHE
Deputy CEO
ACTUARIS International |
November 30, 2011
La Défense EEE
room 101 |
RISK MEASUREMENT AND ITS
LIMITS IN ASSET MANAGEMENT
Abstract |
Jean-Gabriel ATTALI
Dr., Consultant, Formerly Strategy Analyst at Exane Derivatives |
November 16, 2011
La Défense EEE
room 104 |
ON DIFFICULTIES OF RISK
MODELLING AND PORTFOLIO ANALYSIS
Abstract |
Paul DEHEUVELS
Professor
UPMC Paris 6 |
November 2, 2011
La Défense EEE
room 101 |
EXTREMAL EVENTS IN A BANK
OPERATIONAL LOSSES
Abstract
|
Daniel ZAJDENWEBER
Professor
Univ. Paris X Nanterre |
October 20 , 2011
La Défense EEE
room 101 |
DIVERSIFICATION BENEFIT IN GAUSSIAN
AGGREGATION TREES
Abstract
|
Jean-Philippe BRUNETON
Dr., NaXys, Namur Univ., Belgium; Formerly Risk Analyst at SCOR Swizerland, Financial modelling team |
Calendar of the meetings in 2010-11:
June 16, 2011
La Défense EEE
room 138
|
RISK NEUTRAL VALUATION IN INSURANCE
|
Blaise BOURGEOIS
Head of Life Product Risks AXA, Group Risk Management |
June 7, 2011
IHP Paris | Conference on Mathematical Modeling of Systematic Risk
see: http://www.proba.jussieu.fr/pageperso/ramacont/SystemicRiskParis2011/ | |
May 19, 2011 La Défense EEE |
MODEL INDEPENDENT BOUNDS UNDER CALIBRATION CONSTRAINTS: A STOCHASTIC CONTROL APPROACH
Abstract | Professor Ecole Polytechnique, Palaiseau
|
May 5, 2011
La Défense EEE
room 101 | |
Susanne EMMER
Dr., UBS, Zürich |
April 21, 2011
La Défense EEE room 101
| |
Giles BRENNAND
Professor & Independent Consultant
The Chinese University of Hong-Kong
|
April 7, 2011
La Défense EEE room 236
|
DEFAULT LIQUIDITY AND CRISES: AN ECONOMIC FRAMEWORK
Abstract
|
Jean-Paul RENNE
Doctor
Banque de France |
2nd Term: (there will be only a few meetings since I will be working abroad; we will meet again on a regular basis on the 3rd term). |
March 24, 2011
SCOR auditorium
La Défense
|
ON REFRACTED STOCHASTIC PROCESSES AND THE ANALYSIS OF INSURANCE RISK |
Hansjoerg ALBRECHER
Professor
HEC Lausanne |
February 3, 2011
La Défense EEE
room 104 |
Discussion on the paper by Albrecher et al.
"Explicit ruin formulas wit dependence among risks",
Insurance: Mathematics and Economics 48 (2011) 265-270
|
Laila ELBAHTOURI
Actuary SCOR |
January 2011
La Défense EEE
room 104 | RISK MANAGEMENT CONSIDERATIONS FOR THE CANADA PENSION PLAN: A CASE STUDY
|
Doug ANDREWS
Senior lecturer & Actuary
University of Southampton
& Fellow of the IA & Canadian IA, SOA |
January 19, 2011
Cergy campus
room N305
|
LIMIT LAWS FOR SUMS OF WEAKLY DEPENDENT DATA WITH INFINITE VARIANCES
Abstract |
Olivier WINTENBERGER
Professor
University Paris Dauphine |
January 12, 2011
La Défense EEE room 202
|
Discussion on projects by groups | |
December 16, 2010 La Défense EEE room 236 |
SOME MULTIVARIATE RISK INDICATORS:
ESTIMATION AND APPLICATION TO RESERVE ALLOCATION
| ISFA Lyon |
December 2, 2010
La Défense EEE
room 237
|
HOW THE TRADING TECHNOLOGY CHANGES THE MARKET MICROSTRUCTURE
Abstract
|
Désiré BINAM
Dr., Consultant Front-Office |
November 25, 2010
La Défense EEE
room 334
|
PREDICTION FOR TIME SERIES AFTER CATASTROPHIC EVENTS
|
Philippe SOULIER
Professor
University of Paris Nanterre
|
November 4, 2010
La Défense EEE
room 237 |
- Discussion on some projects
- Invitation to the Finance Department Seminar on :
November 8, 2010 4:30 pm - ESSEC Campus Cergy Pontoise (room N 305) by
Heitor ALMEIDA (Univ. Illinois),
AGGREGATE RISK AND THE CHOICE BETWEEN CASH AND LINES OF CREDIT
Abstract
| |
October 14, 2010
La Défense
room 236 |
VARIOUS WAYS TO SUMMARIZE A CURVE WITH A NUMBER :
ESTIMATION AND APPLICATIONS
Abstract |
Cristina BUTUCEA
Professor
University of Marne La Vallée
|
Calendar of the meetings in 2009-10:
2nd Term:
April 9, 2010
Institut Henri Poincaré (IHP) 75005 Paris
9am-5pm |
WORKSHOP ON "FINANCIAL REGULATION"
Conference organized by M. Bardos and M.Kratz for the BFA (Banque Finance Assurance) group of SFdS, with the support of the WG Risk
see the program
|
BFA (Banque Finance
Assurance) group, SFdS
& Working Group on Risk
|
April 1, 2010
La Défense EEE
room 236 |
ASSESSING THE RECESSION RISK ANTICIPATED BY FINANCIAL MARKETS
|
Laurent FERRARA
Dr., Banque de France
& University Paris Ouest
|
March 19, 2010
Conference IDEI / Scor |
CONFERENCE IDEI/SCOR
"INTEGRATION OF EXTREMAL EVENTS IN QUANTITATIVE
RISK MANAGEMENT"
|
IDEI/SCOR |
February 18, 2010
La Défense EEE
room 138 |
ON ALARM SYSTEMS. APPLICATIONS FOR INSURANCE COMPANIES AND FOR HEALTH SURVEILLANCE INSTITUTE
|
Marie KRATZ
Professor
Essec Business School |
February 4, 2010
La défense EEE
room 104 |
INFORMAL PRESENTATION |
Guillaume CHEVILLON
Professor
Essec Business School
|
January 28, 2010
La Défense EEE room 201 |
EMPIRICAL MODEL DISCOVERY
|
Sir David F. HENDRY
Nuffield College, Oxford |
January 21, 2010
La Défense EEE
room 104 |
THERE WILL BE A NEXT CRISIS SURPRISING US SOMEDAY - HOW CAN WE BE PREPARED TO SURVIVE
IT?
|
Michel M. DACOROGNA
Dr., Head of SCOR Group Financial Modeling |
1st Term:
December 17, 2009 La Défense EEE room 138 |
EXTREMES
AND DEPENDENCE IN THE CONTEXT OF SOLVENCY II FOR INSURANCE COMPANIES
|
Arthur
CHARPENTIER
Professor
University Rennes 1
& Ecole
Polytechnique
|
|
CONFERENCE RISK (RISK INTELLIGENCE SYMPOSIUM & KNOWLEDGE)
organized by OTC Conseil & Univ. Paris Ouest
|
Caisse des dépôts et consignations - Paris
| N305 (campus Cergy)
|
INFORMAL PRESENTATION
| Fernando OLIVEIRA
Professor
Essec Business School
| November 3, 2009
Le Club (campus Cergy) |
DISTINGUISHING EXTREME VS. AVERAGE EFFECTS IN NASCENT
FIRMS: AN ORGANIZATIONAL RISK APPROACH TO RESOURCES
| Fabrice CAVARRETTA Professor
Essec Business School
| October 29, 2009
N305 (campus Cergy) |
DISCUSSION ON THE OBJECTIVES OF THIS WORKING GROUP
| |
|