Italian Statistical Society (SIS)

Association for Mathematics Applied to Economics and Social Sciences (AMASES)

Perspectives on financial and actuarial modelling

June 7,  2016 - University of Salerno, Fisciano Campus  
Satellite Workshop of the
48th Scientific Meeting of the Italian Statistical Society  (SIS)

The workshop

The workshop aims at promoting the scientific debate on the application of advanced mathematical and statistical models to solve relevant financial and actuarial problems. The approach is interdisciplinary since we encourage contributions and attendance from researchers and practitioners involved in different fields including actuarial sciences, statistics, data science, finance, financial econometrics. The programme will include 8 keynote invited talks as well a contributed poster session.

Invited speakers

Heriot-Watt University, Edinburgh

Michel Dacorogna

SCOR SE · Group Risk Management

Giampiero Gallo

University of Florence

Paolo Giudici

University of Pavia

Sébastien Laurent

Aix-Marseille Université

Ermanno Pitacco

University of Trieste

Marco Riani

University of Parma

Mogens Steffensen

University of Copenhagen

Chairs

Michele La Rocca, Marilena Sibillo, Giuseppe Storti 
(University of Salerno)

Registration

Registration is free but compulsory through the online registration form or at the conference venue on June 7. The deadline for submitting a poster is May 25, 2016. Notification of acceptance will be sent by email by May 31, 2016.
CLICK HERE TO REGISTER

Important Dates

Poster submissions: April 15 - May 25 2016 via the online form
Acceptance decision: May 31 2016

Programme

downolad(pdf)
June 7, 2016
8.30 Registration starts
9.30 Welcome address
10.00-10:45 Sebastién Laurent (Aix-Marseille Université)
Cholesky GARCH model, theory and application to conditional beta
10.45-11.30 Iain Currie (Heriot-Watt University, Edinburgh)
Forecasting with inadequate data: the piggyback model (2x2)
11.30-12.00 Coffee Break
12.00-12.45 Giampiero M. Gallo (University of Florence)
Median response to shocks: a model for VaR spillovers in East Asia
12.45-13.30 Ermanno Pitacco (University of Trieste)
Mortality at very old ages. Some remarks and hints for actuarial modeling
13.30-15.00 Lunch and Poster Session
15.00-15:45 Mogens Steffensen (University of Copenhagen)
On the separation of preferences for risk and substitution
15.45-16.30 Marco Riani (University of Parma)
Robust methods for financial models
16.30-17.00 Coffee Break
17.00-17.45 Michel Dacorogna (SCOR SE · Group Risk Management)
Approaches and techniques to validate internal model results
17.45-18.30 Paolo Giudici (University of Pavia)
CoRisk: measuring systemic risk with big data and correlated networks
18.30-19:00 Closing remarks
Achille Basile, President of the Italian Association for Mathematics Applied to Economics and Social Sciences (AMASES)
Nicola Torelli, President of the Italian Statistical Society (SIS)

Venue

Aula delle Lauree "Gabriele De Rosa"
Facoltà di Economia, Scienze Politiche, Sociali e della Comunicazione
Università degli Studi di Salerno

Accomodation

find accomodations at this link