Workshop on
Workshop Mathematical Methodologies for Operational Risk
April 16-17-18, 2007
EURANDOM, Eindhoven, The Netherlands
Sponsored by the EUROPEAN COMMISSION
New and Emerging Science and Technology (NEST)
Project MATHFSS
Programme & Abstracts| Speakers & Participants |Registration | Practical Information
SUMMARY
This is the second workshop on risk and related methods. The first had the title "Risk Measures & Risk Management for High-Frequency Data" and was held on March 6-8, 2006. The details can be found on http://www.mathfss.org/reports.htm
Both workshops are funded under the MATHFSS which is funded project on the wider NEST programme of the EU Sixth Framework. The MATHFSS is of considerable interest because it is one of the few programmmes in which mathematical centres in the EU have a joint funded project.
It was always the intention in the second workshop to concentrate on the wider risk management issues. In the original contract the text says:
"A holistic approach to risk management .... should draw on the best and most relevant mathematical and statistical areas, whether from the financial perspective or the physical"
Thus, in this workshop the committee has decided to deliberately mix together scientists from overall risk methodology, financial risk, general reliability and software reliability. The overall theme is risk metrics and measurement and we trust that common ground can be found.
There will be plenty of time for discussion including a special "Round Table" .
Carina |
Andersson |
Lund University |
Pauline |
Barrieu |
London School of Economics |
Tim |
Bedford |
University of Strathclyde |
Fevzi |
Belli |
University Paderborn |
Michel |
Chaudron |
Eindhoven University of Technology |
Frank |
Coolen |
Durham University |
Michael |
Grottke |
Duke University |
Dimitrios |
Konstantinides |
University of the Aegean |
Julien |
Chiquet |
Université de Technologie de Compiègne |
Martin | Newby | City University London |
Fabrizio |
Ruggeri |
IMT Milano |
Duane |
Steffey |
Statistical and Data Sciences Exponent Inc. |
Florentina |
Suter |
University of Bucharest |
Simon |
Wilson |
Trinity College Dublin |
Michael |
Wiper |
Universidad Carlos III de Madrid |
Jeannette |
Woerner |
Universität Göttingen |
David |
Wooff |
Durham University |
Henry |
Wynn |
London School of Economics |
Monday April 16, 2007
09.00 | Registration | ||
09.30 | Opening | Welcome by Prof.dr. O.M. Boxma, Scientific Director EURANDOM | |
Software Reliability 1 | |||
09.45-10.30 | Simon Wilson | Decision theory approaches to the optimal time to test or Bayesian analysis of beta testing | |
10.30-11.15 | David Wooff | Managing software testing risk via a Bayesian graphical approach | |
11.15-11.45 | Break | ||
11.45-12.30 | Michael Wiper | Bayesian software reliability models using metrics information | |
12.30-14.00 | Lunch | ||
Risk measurement and metrics | |||
14.00-14.45 | Duane Steffey |
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14.45-15.30 | Pauline Barrieu |
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15.30-16.00 | Break | ||
16.00-16.45 | Jeanette Woerner | Analysis of market microstructure; risk introduced by model missspecification | |
16.45-17.30 | Tim Bedford | Measuring societal risk | |
Tuesday April 17, 2007
Risk and Reliability | ||
9.30-10.15 | Frank Coolen | Imprecise probability and risk assessment |
10.15-11.00 | Julien Chiquet | Modelling degradation processes through a Piecewise deterministic Markov process |
11.00-11.30 | Break | |
11.30-12.15 | Martin Newby | Optimal Non-Periodic Inspection for a Multivariate Degradation Model |
12.15-13.00 | Henry Wynn | Algebraic methods for system reliability bounds |
13.00-14.00 | Lunch | |
Software reliability 2 | ||
14.00-14.45 | Carina Andersson | An industrial case study of a selection method for software reliability growth models |
14.45-15.30 | Michel Chaudron | Effects of Defects in Software Models |
15.30-16.00 | Break | |
16.00-18.00 | ROUND TABLE | chair H. Wynn |
18.30 | Workshop Dinner |
Wednesday April 18, 2007
Financial Risk | |||
09.45-10.30 | Dimitrios Konstantinides | Risk Models with extremal subexponentiality | |
10.30-11.00 | Break | ||
Software reliability 2 | |||
11.00-11.45 | Fevzi Belli | Interaction systems and their vulnerabilities- a holistic approach to modeling and testing | |
Software reliability 3 | |||
11.45-12.30 | Florentina Suter |
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12.30-13.30 | Lunch | ||
13.30-14.15 | Michael Grottke |
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14.15-15.00 | Fabrizio Ruggeri | Some Bayesian models for software reliability | |
15.00 | Closing |
There is no registration fee.
PLEASE REGISTER BY FILLING IN THE FORM
Hotel
EURANDOM made preliminary group reservations in
hotel Hampshire
Inn, Stratumsedijk 23d/f, Eindhoven. Special price single room 83*
euro, double room 93*
euro(breakfast included) * excl. tourist tax 3,50 euro
per night
If you want EURANDOM to make a reservation, indicate the requested nights in the registration page.
For privat bookings we suggest to consult the web pages of the Tourist Information Eindhoven, Postbus 7, 5600 AA Eindhoven.
Lunches/dinner
April 16-17-18 lunches are being organised; free of costs for all participants, if ordered on the registration form.
On Tuesday evening, April 17 there will be a workshop dinner. For non-invitees an amount of 30 euro is requested, to be paid at arrival in cash (preferably exact amount in euros).
Contact
For more information please contact Mrs. Lucienne Coolen, workshop officer of EURANDOM, at coolen@eurandom.tue.nl
ORGANIZERS
Tim Bedford tim.bedford@strath.ac.uk, Alessandro Di Bucchianico A.d.Bucchianico@tue.nl, Jef Teugels jef.teugels@wis.kuleuven.ac.be and Henry Wynn H.Wynn@lse.ac.uk .
This page is maintained by Lucienne Coolen