Past meetings


You may also visit the site of the WG Risk from 2009 to 2012:
http://isds-department.essec.edu/research/working-group-on-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
    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
    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
    room 261
     La Défense 
    12:30 pm

    THE FOUNDATIONS OF THE VALUATION OF INSURANCE LIABILITIES



      
    Abstract                                                                                     Talk 
                     
              Philipp KELLER
           Partner Financial Risk                    Management
    Insurance DELOITTE
    Switzerland
             May 25
    EEE - La Défense 
    Room 102
    12:30 pm


    RISK MANAGEMENT IN THE LOW INTEREST 
                                  RATE ENVIRONMENT      


    Abstract                     

     Matthias AELLIG 
    Group Chief Risk Officer
     SWISS LIFE Group
    Switzerland
           May 4
    EEE - La Défense 
    Room 220
    12:30 pm
     
                  BENCHMARK APPROACH TO FINANCE




     Abstract                                                                           Talk
     
                Eckhard PLATEN
    Professor & Director 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
    EEE - La Défense 
    Room 220
    12:30 pm
     
    IFRS9 & IFR4 PHASE II:
    MAIN CHANGES AND IMPACTS ON THE INSURANCE SECTOR 


     Abstract                                                                          Talk
     
         Michael DONIO
    Director of the Actuarial & Datas Sciences Department
    SIA Partners
          
              March 24 
    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
    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
    EEE - La Défense 
    Room 202
    12:30 pm
                                          
    ACTUARIAL TECHNIQUES in INTERNATIONAL 
                    FINANCIAL REPORTING STANDARDS
                    


     Abstract                            Video                                     Talk
        
                Cyril KANONY
               
                PwC | Associé 
                                 Capital Markets &                       Accounting Advisory Services 


    December 17, 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


    To listen to the seminar: www.youtube.com/watch?v=oms9htDo_3k


    Calendar of the meetings  in 2014-2015:



    3rd Term

         
          June 24, 2015
    EEE - 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, 2015
    EEE - 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, 2015
    EEE - La Défense 
    Room 103
    12:30 pm

                HIGH-FREQUENCY DATA MODELING USING                                            HAWKES PROCESSES
     
     Abstract
     
     Prof. Valérie 
     CHAVEZ-DEMOULIN
    HEC Lausanne
    Switzerland
           
           
           May 6, 2015
    EEE - 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
     
     Abstract                                                                                        Talk 
     
        Prof. Robert TAYLOR
    University of ESSEX, UK
          
          March 4, 2015
    EEE - 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 CROISIER
    VP Product Manager
    RSD

        February 12, 2015 
    EEE - La Défense 
    Room 203
    12:30 pm
         
             MODELLING THE RISK BEHAVIOR OF DECISION MAKERS 
     WITH  UTILITY FUNCTIONS



     Abstract                                                                                        Talk
        
         Emilie MUZEREAU
    Senior 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

     
     Abstract                                                                                       Talk
     
         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, 2014
    EEE - La Défense 
    Room 203
    12:30 pm 

     
                  SWITCHING COSTS IN COMPETITIVE HEALTH                                                           INSURANCE MARKETS                    

      
     
    Prof. Karine LAMIRAUD
        
    Economics Department
    ESSEC - CREAR
     
      November 19, 2014
    EEE - La Défense 
    Room 203
    12:30 pm
     

               THE ENDOGENOUS DYNAMICS OF MARKETS: 
    PRICE IMPACT AND FEEDBACK LOOPS AND INSTABILITIES

     
     Abstract 
                                                                                          Talk

    Prof. Jean-Philippe BOUCHAUD
    Chairman at Capital Fund Management  
    &  Ecole Polytechnique Paris
     
    November 5, 2014
    EEE - La Défense 
    Room 203
    12:30 pm
     

    QUANTITATIVE APPROACHES TO MODEL UNCERTAINTY

     Abstract                                                                                      Talk


    Dr. Andrew SMITH  
    Partner, Deloitte
    London, UK
     
     October 23, 2014
    EEE - La Défense 
    Room 103
    12:30 pm
     
                         
                            MULTIVARIATE ARCHIMAX COPULAS                

     Abstract                                                                                      Talk
     
    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?

      
     Abstract                                                                                      Talk
     
     Dr Pablo KOCH
    Director of the Center for Finance and Insurance (CFI) University of Zurich, Switzerland 



    Calendar of the meetings  in 2013-14:



    3rd Term:


    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 




     Abstract                                                                                      Talk

    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


     Abstract                                                                                      Talk
             
            Prof. John NOLAN
    American University, 
    Washington, D.C. 
    (USA) 
     
      May 19, 2014
    EEE - La Défense 
    Room 103 

               MEASURING ASSOCIATION AND DEPENDENCE BETWEEN 
                                                RANDOM VECTORS 


    Abstract                                                                                       Talk
      
            Prof. Johan SEGERS
    ISBA - Institut de statistique, biostatistique et sciences actuarielles
    Université catholique de Louvain 

        
     May 5, 2014
    EEE - La Défense 
    Room 103

     
        
             
    MULTIVARIATE STRESS TESTING FOR SOLVENCY 

     
    Abstract                                                                                      Talk
     
          
    Prof. Alexander MCNEIL
    Heriot-Watt University
    Edinburgh (UK)
      
        
    April 28, 2014
    EEE - La Défense
    Room 203
     
        DEPENDENCE MODELLING WITH HEAVY-TAILED DISTRIBUTIONS


     Abstract                                                                                       Talk
     
            Prof. Bikramjit DAS
    SUTD 
    Singapour

     April 9, 2014
      EEE-La Défense 
           Room 103
     
    FORECASTING MESOTHELIOMA MORTALITY FOR THE UK 

     
     Abstract                                                                                       Talk
     
    Prof. Bent NIELSEN 
    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

     Abstract                                                                                                         Talk
     
      Alexandre LE MAISTRE 
    Risk Manager, MACSF
        
      March 19, 2014
    EEE - La Défense 
    Room 102

    MEASURING NONLINEAR GRANGER CAUSALITY IN MEAN



    Abstract                                                                                                            Talk
     
    Prof. Abderrahim TAAMOUTI
    University Carlos III of Madrid (Spain) 

    March 5, 2014
    EEE - La Défense
    Room 203 
     
       LONG MEMORY PROPERTIES OF CHAOTIC INTERMITTENCY MAPS


     Abstract                                                                                                         Talk
     
    Prof. Rajendra BHANSALI
    University of Liverpool (UK)

    February 19, 2014
    EEE - La Défense 
    Room 138
     
     LIQUIDITY RISK ESTIMATION IN CONDITIONAL VOLATILITY MODELS


     Abstract                                                                                                         Talk
     
       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



     Abstract                                                                                                        Talk

            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
     HEC Montreal (Canada)
     
    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 


    Abstract                                                                                                Talk
     
    Dr. CARMEN STEFANESCU
    ESSEC
     
    December 5, 2013
    EEE - La Défense 
    Room 103

     
     THE RISK FREE RATE: AN INESCAPABLE CONCEPT? 

     
    Abstract                                                                                             Talk
         
      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 
    IIM Bangalore


    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



    Abstract                                                                                   Talk

           Dr. Yahia SALHI
      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 

     Abstract                                                                                              Talk

    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:


     
    3rd Term:
        
                   

    June 24-26, 2013
    Lyon - France 

    Invitation to the:



    Description                                                                                                      Program


    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


     Abstract                                                                                     Talk

    Romain SPEISSER 
    Actuary 
    ESSEC



    May 31, 2013

    EEE, Room 203
     
     
    HISTORICAL PERSPECTIVE AND PROSPECTIVE OF REGULATION IN INSURANCE 



     Abstract        

    Vincent RUOL
    Actuary, 
    Inspector of Social Affairs


    May 22, 2013

    EEE, Room 104


    MULTIPLE DEPENDENCIES OF RISKS: MODELS FOR ACTUARIAL PRACTISE
     
     
    Abstract                                                                                     Talk

    Christoph HUMMEL
    Dr, Head of non-life & Modelling, 
    Secquaero Advisors


    April 22, 2013

     

        
    EEE, Room 220

    THE REARRANGEMENT ALGORITHM: 
    A NEW TOOL FOR COMPUTING BOUNDS ON RISK MEASURES


    Abstract                                                                                      Talk

    Giovanni PUCCETTI 
    Professor 
    University of Firenze
     
    April 9, 2013

    Invitation to the:
          Conference AssurFinance 2013
            organized with the support of CREAR

    Description                                                              Scientific Program
     
        ActuariaCnam


                                            
    2nd Term:


    March 22, 2013

     

     

    EEE, Room 101


    CAPITAL REQUIREMENTS WITH DEFAULTABLE SECURITIES



     Abstract                                                                                   Talk

    Walter FARKAS 
    Professor 
    University of Zürich & ETH

    February 28, 2013

     

     

    EEE, Room 102



    STATIC AND (SYMMETRY BASED) SEMI-STATIC REPLICATION STRATEGIES IN ACTUARIAL SCIENCE

     Abstract                                                                                   Talk


    Michael SCHMUTZ 

    University of Bern
     
       February 18, 2013
    EEE - Room 138


      SHARING THE LONGEVITY RISK BETWEEN ANNUITANTS        
    AND ANNUITY PROVIDER
     
     Abstract                                                                                  Talk 

    Annamaria OLIVIERI
    Professor
             University of Parma 


    February 4, 2013
    EEE - Room 138

             
              
    INTEGRATED RISKS & CAPITAL MANAGEMENT


     Abstract                                                                                  Talk 

     Naji FREIHA
    Actuary
    Head of Risks 
    & Capital   Adequacy
                    DEXIA Group

    January 24, 2013      
     
     
    EEE - Room 203


    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? 


     Abstract                                                                                   Talk

    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



    November 19, 2012 
    EEE - Room 203

     

    Conference on RISK, INSURANCE AND LONGEVITY 
    organized with the support of the BFA group (SFdS) 
    and the Institute of Actuaries 

     Program                                 Abstracts                                 Talks


    ESSEC 
    & SWISSLIFE

    October 26, 2012
    EEE -  Room 220

     
    DEMYSTIFYING BLACK SWANS : 
    FIRE SALES, PRICE IMPACT AND ENDOGENOUS RISK

     Abstract                                                                                 Talk

    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 
     Abstract                                                                                  Talk 


    Michel DACOROGNA
    Dr., Group Deputy CRO
    SCOR

            


    Calendar of the meetings  in 2011-12: 


    3rd Term:


    June 21, 2012


    La Défense EEE  

    room 104


    PrObEx AND MODEL - CALIBRATING DEPENDENCIES AMONG RISKS IN NON-LIFE 


    Abstract

    Davide CANESTRARO
    Dr., SCOR Zürich

    May 24, 2012

    La Défense EEE
    room 138

    H
    IGH DIMENSIONAL RISK AGGREGATION: A HIERARCHICAL APPROACH WITH COPULAS


    Abstract

    Philipp
    ARBENZ

    Dr., SCOR Zürich


    May 9, 2012


    La Défense EEE  

    room 138


    DISENTANGLING CRASHES FROM TAIL



    Abstract

    Sofiane ABOURA

    Professor
    Univ. Paris Dauphine



    2nd Term:


    March 28, 2012

    La Défense EEE
    room 101



    RISK MODELS-AT-RISK



    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

           


      March 7, 2012          

    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
    Univ
    ersity 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 B
    RUNETON

    Dr., NaXys, Namur Univ., Belgium; Formerly Risk Analyst at SCOR Swizerland, Financial modelling team


    Calendar of the meetings  in 2010-11:



    3rd Term: 


    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

    INVITATION TO THE

    Conference on Mathematical Modeling of Systematic Risk

     see: http://www.proba.jussieu.fr/pageperso/ramacont/SystemicRiskParis2011/
     


    May 19, 2011


    La Défense EEE

    room 201


    MODEL INDEPENDENT BOUNDS UNDER CALIBRATION CONSTRAINTS: A STOCHASTIC CONTROL APPROACH


    Abstract



    Nizar TOUZI

    Professor


    Ecole Polytechnique, Palaiseau


    May 5, 2011


    La Défense EEE


    room 101

     



    CREDIT STRESS LOSS


    Susanne EMMER

    Dr., UBS, Zürich

    April 21,
    2011
    La Défense EEE room 101


    TOWARDS MODERN RISK MANAGEMENT



    Abstract


    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


    seminar organized with the support of SCOR

    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
     


    1st Term: 



    December 16, 2010


    La Défense EEE


    room 236



    SOME MULTIVARIATE RISK INDICATORS: ESTIMATION AND APPLICATION TO RESERVE ALLOCATION


    V
    éronique

    MAUME-DESCHAMPS
    Professor
    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
     
                                                    see the attachments


    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
     EEE - room 138

    ON ALARM SYSTEMS. APPLICATIONS FOR INSURANCE COMPANIES AND FOR HEALTH SURVEILLANCE INSTITUTE

    Marie KRATZ

    Professor
    Essec Business School

    February  4, 2010

    EEE - room 104

    INFORMAL PRESENTATION

    Guillaume CHEVILLON

    Professor
    Essec Business School


    January 28, 2010
    EEE - room 201


    EMPIRICAL MODEL DISCOVERY

    Sir David F. HENDRY

    Nuffield College, Oxford

    January 21, 2010

    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
    EEE - room 138


    EXTREMES AND DEPENDENCE IN THE CONTEXT OF SOLVENCY II FOR INSURANCE COMPANIES


    Arthur CHARPENTIER

    Professor

    University Rennes 1

    & Ecole Polytechnique

     
    December 3, 2009

    CONFERENCE RISK (RISK INTELLIGENCE SYMPOSIUM & KNOWLEDGE)

    organized by OTC Conseil & Univ. Paris Ouest

     
    Caisse des dépôts et consignations - Paris
    November 19, 2009
    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