Workshop on

Risk Measures & Risk Management General Aspects

May 9-10-11, 2005

EURANDOM, Eindhoven, The Netherlands

 (Tentative) PROGRAMME

Monday May 9, 2005

08.30-09.20 Registration  
09.20-09.30 Welcome Frank den Hollander, Scientific Director EURANDOM
09.30-10.10 Convex risk measures and robust projections H. Föllmer
10.10-10.50 From stochastic dominance to convex and coherent risk measures W. Ogryczak
10.50-11.10 Coffee/Tea  
11.10-11.50 Optimal Dividends in the Brownian Motion Model with Credit and Debit Interest H. Gerber
11.50-12.30 Model uncertainty, risk measures, and optimal strategies A. Schied
12.30-14.00 Lunch  
14.00-14.40 Differentiability of risk measures: Applications, problems, remedies T. Fischer
14.40-15.20 Axiomatic aspects, performances and applications of risk measures in actuarial science M. Denuit
15.20-15.40 Coffee/Tea  
15.40-16.20 Distortion risk measures and economic capital W. Hürlimann
16.20-17.00 Elliptical families and tilting: premium, allocations, from family to copulas Z. Landsman
17.00-17.40 Decision principles derived from risk measures M. Goovaerts

Tuesday May 10, 2005

09.00-09.40 Current Topics in Credit Risk M. Davis
09.40-10.20 Basel II extended: The multi-factor version of the Basel II credit portfolio model D. Tasche
10.20-10.40 Coffee/Tea  
10.40-11.20 Lhedging and a problem of Brownian Motion F. Delbaen
11.20-12.00 Hedging Deposit Accounts : new perspectives A. Adam
12.00-12.40 Momentum strategies using risk-adjusted stock ranking criteria S. Rachev
12.40-14.00 Lunch  
14.00-14.40 Option pricing for pure jump processes with Markov switching compensators R. Elliott
14.40-15.20 Optimal consumption strategy in a discrete-time model with credit risk H. Yang
15.20-15.40 Coffee/Tea  
15.40-16.20 A Unified View of Hedging and Risk Management S. Pal
16.20-17.00 VaR Contributions in a Conditional-Independence Credit Framework H. Mausser
17.00-17.40 Some thoughts about copulas and extremes T. Mikosch
18.00 Dinner starting with an aperitif in Restaurant 'Listers' Kleine Berg 57h, Eindhoven, Tel. 040-2913300 (for details on location consult: 

Wednesday May 11, 2005

09.00-09.40 Optimisation Problems in Non-Life Insurance H. Schmidli
09.40-10.20 Asymptotic Analysis of Measures of Variation H. Albrecher
10.20-10.40 Coffee/Tea  
10.40-11.20 Statistical estimation in insurance models J. Paulsen
11.20-12.00 Reinsurance Analyser D. Silvestrov
12.00-12.40 Acceptability, risk capital and risk deviation functionals: Primal and dual properties for one- and multiperiod models G. Pflug
12.40-14.00 Lunch  
14.00-16.00 ROUND TABLE

Last modified: 24-02-09
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