Mathematics of Risk

Jan de Gier

  • 20 November 2017 - 8 December 2017
    8:00 am - 5:00 pm

Organisers: Kostya Borovkov (University of Melbourne), Kais Hamza (Monash University), Masaaki Kijima (Tokyo Metropolitan University), Alex Novikov (University of Technology Sydney), Peter Taylor (The University of Melbourne)

Program Description:
The proposed program will mostly address, but will not be limited to, the aspects of mathematical modelling and subsequent analysis of risks related to activities in the financial industry and, more generally, economics. We also expect that major attention will be paid to studying the mathematical theory that can be used to model more general types of risk, related to chronic and long-term hazards and extremes, as well as the interplay between them.

The program consists of three weeks:

1. Week 1 (20 – 24 November) will include four five-hour workshops for PhD students, research workers and industry specialists (each run over a period of two days, for the convenience of the part-time participants) on the topics of the program.

On 20 and 21 November, M. Kratz will present a workshop on “Extreme Value Theory –  Applications to Risk Analysis”, and M. Zhitlukin will give a workshop on “Financial measures of risk and performance”. On 23 and 24 November, Z. Palmowski will present a workshop on “Ruin probabilities: exact and asymptotic results”, and M. Kabanov will give a workshop on “Clearing in financial networks”.

Please click on the workshop name to access and download a PDF file with the slides used in the respective lectures. 

2. Week 2 (27 November – 1 December): in that week, we will run a conference on the topics of the program. Please go to the conference page to register.

3. Week 3 (4 – 8 December) will mostly be devoted to research collaboration, starting on Monday morning and ending on Friday at noon. We expect that there will be informal talks that will be placed in the morning. Afternoons are reserved for collaboration.

Selection of confirmed participants:

  • Yuri Kabanov (University of Franche-Comté)
  • Alex Novikov (University of Technology Sydney)
  • Masaaki Kijima (Tokyo Metropolitan University)
  • Zbigniew Palmowski (Wroclaw University of Science and Technology)
  • Marie Kratz (ESSEC Business School, CREAR, France)

Program Details and Materials:
Program Structure. (Please click image to enlarge)

Click here for Workshop Outlines in Week 1.

Registration:

  • Deadline: 30 September 2017
  • Registration is by invitation only
  • Only one registration is required. Please add all events to the Event Cart before checkout

Participant list:
– Masaaki Kijima (Tokyo Metropolitan University)
– Martin Larsson (Department of Mathematics, ETH Zurich)
– Michael Zhitlukhin (Steklov Mathematical Institute)
– Yuri Kabanov (Université de Franche-Comté)
– Zbigniew Palmowski (Wrocław University of Science and Technology)
– Marie Kratz (ESSEC Business School)
– Ljudmila Vostrikova (University of Angers, Department of Mathematics)
– Budhi Surya (Victoria University of Wellington, New Zealand)
– Jie Xiong (University of Macau)
– Kazutoshi Yamazaki (Kansai University)
– Eugene Feinberg (Department of Applied Mathematics and Statistics, Stony Brook University)
– Jun Sekine (Division of Mathematical Science for Social Systems, Graduate School of Engineering Science, Osaka University)
– Takashi Shibata (Tokyo Metropolitan University)
– Katsumasa Nishide (Hitotsubashi University)
– Kais Hamza (School of Mathematical Sciences, Monash University)
– Kostya Borovkov (University of Melbourne)
– Peter Taylor (University of Melbourne)
– Daniel Dufresne
– Aihua Xia (University of Melbourne)
– Yan Dolinsky (Monash University)
– Thomas Taimre (The University of Queensland, Australia)
– Boris Buchmann (Australian National University)
– Gregoire Loeper (Monash University)
– Alexander Buryak (NAB, MRQS)
– Alexander Novikov (UTS)
– Koji Anamizu (Tokyo Metropolitan University)
– Hitomi Ito (Tokyo Metropolitan University)
– Nakamura Eri (Tokyo Metropolitan University)
– Yusuke Komatsu (Tokyo Metropolitan University)
– Yasuhiro Shimizu (Tokyo Metropolitan University)
– Kyoko Yagi (Tokyo Metropolitan University)
– Tadao Oryu (Tokyo Metropolitan University)
– Evgeny Prokopenko (Sobolev Institute of Mathematics, Novosibirsk, Russia)
– Peter Spreij (Universiteit of Amsterdam, Radboud University Nijmegen)
– Jeremy Baker (Monash University)
– Aaron Chong (University of Melbourne)
– Tianshu Cong (Melbourne University)
– Gurtek Ricky Gill (University of New South Wales)
– Qingwei Liu (University of Melbourne)
– Jin Sun (University of Technology Sydney)
– Priyanga Dilini Talagala (Monash University)
– Hui Yao (Alice) (University of Queensland)
– Junyu (Adam) Nie (RSFAS, CBE, ANU)
– Eduard Biche (Monash University)
– Kaustav Das (Monash University)
– Meng Shi (Monash University)
– Yunxuan Liu (Monash University)
– Yuqing Pan (University of Melbourne)
– Wei Ning (Monash University)
– Jason Leung (University of Melbourne)
– Igor Vladimirov (Australian National University)
– Libo Li (University of New South Wales)
– Peter Straka (University of New South Wales)
– Michael Callan (Monash University)
– Jaden Li (University of Technology Sydney, Macquarie Bank)
– Juri Hinz (University of Technology Sydney)
– Fima Klebaner (Monash University)
– Nicholas Read (University of Melbourne)

 


ASSOCIATED EVENTS

MATRIX Wine and Cheese Afternoon 21 November 2017

Workshop 20 – 24 November 2017

Conference 27 November – 1 December 2017

The program is supported by the ARC Centre of Excellence for Mathematical & Statistical Frontiers (ACEMS), University of Technology Sydney, and the School of Mathematical Sciences, Monash University. The workshops in Week 1 are partially supported by the M. Belz Fund. The conference in Week 2 is supported by the Australian Mathematical Sciences Institute (AMSI) and Australian National University.