Research Group on Risk in Finance and Insurance

2012

José M. Sarabia (Universidad de Cantabria, Spain)
“Title to be confirmed”.
December 11, 2012 - 12.00 h.

José M. Merigó (Manchester Business School, UK)
“Title to be confirmed”.
December 4, 2012 - 12.00 h.

Magnus Söderberg (Centre d'Économie Industrielle MINES ParisTech, France)
“Regulatory behaviour under threat of court reversal”.
November 19, 2012 - 12.00 h.

Emiliano A. Valdez (University of Connecticut, USA)
“Advances in data Analysis for actuarial applications”.
July 16 - 18, 2012 - 10.00 to 14.00 h.

Catherine Donnelly, (Heriot-Watt University)
"Good-deal bounds in a regime-switching diffusion market / Quantifying and allocating mortality risk in defined-benefit pension schemes"
July 9, 2012 - 12.00

Arelly Ornelas (Riskcenter IREA Universitat de Barcelona, Spain)
“Mortality risk in Mexico: a comparision of general population mortality and lifetables for insured lives”.
June 15, 2012 - 12.00 h.

Jaume Belles (Riskcenter IREA Universitat de Barcelona, Spain)
“The connection between distorsion risk measures and ordered weighted averaging operators”.
June 1, 2012 - 12.00 h.

Steven Vanduffel (Université Libre de Bruxelles, Belgium)
“Financial bounds for insurance claims and explicit representation of cost-efficient strategies”.
May 16 - 18, 2012 - 15.00 to 17.00 h.

Constantin Zopounidis (Technical University of Crete, Greece)
“Multiple criteria in finance and accounting”.
May 7 - 8, 2012 - 15.00 to 19.00 h.

Antonio Ferri (Riskcenter IREA Universitat de Barcelona, Spain)
“Solvency capital estimation and risk measures”.
April 27, 2012 - 12.00 h.

Armen Arakelyan (Universidad Carlos III, Spain)
“Liquidity in Credit Default Swap Markets”.
April 13, 2012 - 12.00 h.

Martín Lozano (Manchester Business School, UK)
“Estimation of asset pricing models: parameter efficiency and implications for asset allocation”.
March 30, 2012 - 12.00 h.

2011

Jean Pinquet (École Polytechnique - Paris, France)
“Catastrophic risks: flods”.
November 24, 2011 - 13.00 h.

Mario Wüthrich (ETH Zurich, Zurich - Switzerland)
“Risk margin for a non-life insurance run-off”.
November 18, 2011 - 12.00 h.

Richard Watt (University of Canterbury, Christchurch - New Zealand)
“Optimal Pricing of Academic Journals in a Two-Sided Model”.
November 11, 2011 - 11.00 h.

Svein-Arne Persson (Norwegian school of economics NHH - Bergem, Norway)
“Capital Requirement and Optimal Default in Insurance”.
October 24, 2011 - 12.00 h.

Jan Bernheim (Vrije Universiteit Brussel - Brussels, Belgium)
“Felicitometrics (How to get serious answers to the serious question ‘How have you been?’, subjective quality of life (QoL) as an individual experimental emergent contruct)”.
September 29, 2011 - 13.00 h.

Juan Miguel Londoño (Tilburg University, The Netherlands)
"The variance risk premium around the world”.
May 20, 2011 - 12.00 h.

Petra Steinorth (Ludwig-Maximilians-Universität Munich – Munich, Germany)
"Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits”.
April 6, 2011 - 12.00 h.

Matthias Keese (Ruhr Graduate School in Economics, University of Duisburg-Essen, Germany)
“Are you well prepared for long-term care? Assessing financial gaps in private German care provision”
April 4, 2011 - 12.00 h.

Ana Carmen Díaz (Universidad del País Vasco - País Vasco, Spain).
“The efficiency of performance-based-fee mutual funds”
March 16, 2011 - 12.00 h.

Alfonso Valdesogo (University of Luxembourg, Luxembourg).
“Asymmetric CAPM dependence for large dimensions: the canonical vine autoregressive Model”
February 16, 2011 - 12.00 h.

David Pitt (Macquarie University - Sydney, Australia)
“Matrix-form recursive evaluation of the aggregate claims distribution revisited”.
January 12, 2011 – 13.00 h.

2010

Jose Penalva (Universidad Carlos III de Madrid and Banco de España)
“Loan monitoring, credit risk models and Central Bank supervision”
December 17, 2010 – 14.45 h.

Jens P. Nielsen (City University London)
“Nonparametric methods in operational risk”
May 7, 2010 – 12.30 h.

Richard Verrall (City University, London, UK)
“What is wrong with the chain-ladder technique?”
April 27, 2010 - 12.30 h.

Viviana Cruzado (Universidad Autónoma de Barcelona)
“Sensibilidad del riesgo agregado de mercado a variaciones en la matriz de correlaciones”
February 25, 2010 - 13.15 h.

Paal N. Henriksen (University of Oslo)
“Valuing target redemption notes by a stratified Longstaff Schwartz algorithm”
February 8, 2010 - 13.00 h.

Dimistris Karlis (Dept of Statistics, Athens University of Economics)
“Multivariate count data models”
February 4, 2010 - 10.00 h.

Xavier Freixas (Universitat Pompeu Fabra and Centre for Economic Policy Research-CEPR)
“Post crisis challenges to bank regulation”
February 4, 2010 - 15.30 h.

Paal N. Henriksen (University of Oslo)
“An Introduction to valuing target redemption notes”
January 25, 2010 – 13.00 h.

2009

Filppo di Pietro (Universidad de Bolognia & Universidad de Sevilla)
“Un enfoque no paramétrico para la medición del riesgo operacional en entidades financieras”
December 17, 2009 - 12.00 h.

David Pitt (University of Melbourne)
“Model Selection and claim frequency for workers' compensation insurance”
December 11, 2009 - 9.30 h.

Pierre Picard (École Polytechnique, Paris, France)
“Participating insurance contracts and the Rothschild-Stiglitz equilibrium puzzle”
November 6, 2009 - 12.30 h.

Raúl del Pozo (Universidad de Castilla-La Mancha)
“Los cuidados de larga duración bajo la teoría del ciclo vital: de cómo se reparten los roles en los servicios y en su financiación”
November 3, 2009 - 11.00 h.

Faustino Prieto (Universidad de Cantabria)
“Aportaciones de la estadística en Economía de la Complejidad”
October 20, 2009 - 11.15 h.

Katrien Antonio (University of Amsterdam)
“A hierarchical model for mocro-level stochastic loss reserving"
October 1, 2009 - 12.30 h.

Jean Pinquet (École Polytechnique & Université de Paris X)
“Long-term care insurance”
July 10, 2009 - 12.30 h.

Pilar Abad (Universidad Rey Juan Carlos)
“EMU and European goverment bond markets integration (II)”
May 22, 2009 - 12.30 h.

Pilar Abad (Universidad Rey Juan Carlos)
“EMU and European Goverment Bond Markets Integration”
February 12, 2009 - 12.00 h.

Kitt S. Petersen (University of Copenhagen)
“Bonus-Crediting in the Danish pension market”
February 12, 2009 – 13.00 h.

2008

Irene Albarrán (Universidad Carlos III de Madrid)
“La relatividad del concepto legal de dependiente: Efecto de la elección de distintos baremos de valoración europeos sobre la población española”
December 12, 2008 – 13.30 h.

Òscar Jordà (University of California, Davis, US)
“Path forecast evaluation”
September 8, 2008 – 12.30 h.

Emiliano A. Valdez (University of Connecticut)
“Actuarial applications of a hierarchical insurance claims model”
July 1, 2008 – 12.30 h.

Lisa M. Devine (Festinalente, Copenhagen, Denmark)
“Marketing of pension products”
May 23, 2008.

Angus S. MacDoanld (Heriot-Watt University)
“Genetics and insurance”
May 5, 2008 - 16.00-18.00 h.

Howard R. Waters (Heriot-Watt University).
”Continuous time Markov models to assess the effects of obesity, smoking and cholesterol-lowering drugs on heart disease and expected future lifetime”
May 5, 2008 - 16.00-18.00 h.

Andrés M. Alonso (Universidad Carlos III de Madrid)
“Clasificación de series temporales mediante densidades de predicción”
April 24, 2008 – 12.30 h.

2007

José M. Sarabia (Universidad de Cantabria)
“Distribuciones bidimensionales basadas en especificación condicional: ejemplos y aplicaciones”
December 14, 2007 – 12.30 h.

Peter Holm Nielsen (University of Copenhagen and PFA insurance)
“Foundations of mathematical finance in retirement plans”
November 9, 2007 - 16.00 h.

Raimond Maurer (Finance Department, Goethe-University Frankfurt am Main))
”Money in motion: dynamic portfolio choice in retirement”
October 25, 2007 - 12.30 h.

Andres M. Alonso (Universidad Carlos III de Madrid)
”Clasificación de series temporales mediante densidades de predicción”
July 9, 2007 - 11.00 h.

Jean Pinquet (Université de Paris-X Nanterre & École Polytechnique)
“Point-Record incentives, asymmetric information and dynamic data”
July 9, 2007 - 12.00 h.

Irene Lagraede (University of Oslo, Norway)
”Fraud detection in several types of insurance products”
May 15, 2007 – 11.00 h.

W. Jean Kwon (St. John's Univerisity, New York, USA)
”A multi-line insurance fraud recognition system: a government-led approach in Korea”
May 14, 2007 - 13.30 h.

W. Jean Kwon (St. John's Univerisity, New York, USA)
”Islamic principle and Takaful insurance” (based on the book "Risk Management and Insurance: Perspectives in a Global Economy” Blackwell, 2007)
May 14, 2007 -16.30 h.

Raluca Vernic (Ovidius University of Constanta, Romania)
“The skew-normal distribution with applications in insurance”
May 14-17, 2007 – 13.00 h.

Silvana Stefani (Università di Milano– Bicocca)
“A continuous time model for correlated energy price processes”
April 26, 2007 – 13.00h.

Jean-Philippe Boucher (Université Catholique de Louvain, Université de Montreal)
“Heterogeneity models in insurance pricing”
March 16, 2007 – 11.00 h.

2006

Raluca Vernic (Ovidius University of Constanta)
“The skew-normal distribution with applications in insurance”
June 16, 2006 - 12.00-13.00 h.

Bjorn Sundt (Oslo)
“Recursions for convolutions and compound distributions with actuarial applications”
June 16, 2006 - 13.00-14.00 h.

Montserrat Guillén (University of Barcelona)
“Multivariate experience rating”
June 6, 2006.

Ana M. Pérez-Marín (University of Barcelona)
“Customer lifetime duration analysis in insurance"
June 6, 2006.

Jean-Philippe Boucher (UCL, Belgium)
“Semiparametric and parametric models for panel count data”
June 6, 2006.

Aïda Solé (University of Barcelona)
“Life expectancy with migration and insurance cost of Long-term care”
June 6, 2006.

Kamal Mustafa (University of Barcelona)
“Disability typologies from the disability survey”
June 6, 2006.

Mercè Claramunt (University of Barcelona)
“Some results in risk theory in a generalized Erlang(n) risk process”
June 6, 2006.

Björn Sundt (Storebrand, Norway)
“Recursions for convolutions and compound distributions with actuarial applications”
June 6, 2006.

Mercedes Ayuso (University of Barcelona)
“Selection bias and auditing policies for insurance claims”
June 6, 2006.

Lluís Bermudez (University of Barcelona)
“Detecting automobile insurance fraud using a skewed link model”
June 6, 2006.

Miguel Santolino (University of Barcelona)
“Predicting the personal injury compensation awarded by courts"
June 6, 2006.

Cati Bolance (University of Barcelona)
“On the interplay between modern smoothing techniques and extreme value theory with applications to RSA data”
June 6, 2006.

Raluca Vernic (Ovidius University, Rumania)
“The skew-normal distribution with applications in insurance”
June 6, 2006.

Raimondo Manca (U Roma, La Sapienza, Italy)
“Reunión para European project on pension harmonization”
May 26, 2006 - 12.00-14.00 h.

Jean-Philippe Boucher (UCL, Belgium)
“Count data models for insurance claims data. Applications and examples”
May 24, 2006 - 16.00-17.30 h.