Workshop on

Risk Measures & Risk Management General Aspects

May 9-10-11, 2005

EURANDOM, Eindhoven, The Netherlands

Programme & Abstracts| Speakers  & Participants |Registration | Practical Information


The workshop focuses on the theoretically interesting and important topic: risk measures and risk management. The workshop will bring together 30-40 leading and/or young researchers from academia and from practice. Topics that will be discussed are

·       Axiomatic aspects: General desirable properties of risk measures such as coherence, convexity, and consistency.

·       Performance of specific risk measures such as Value-at-risk, expected shortfall, volatility.

·       Applications of risk measures in (re-) insurance and finance, portfolio optimization

·       Computational and statistical aspects: Practical determination and estimation of risk measures

·       Credit risk

·       Interest risk and interest rate models

Risk and risk management are the most important concerns for financial institutions and insurance companies. Regulators and managers of financial institutions are interested in developing appropriate risk measures for dealing with complex portfolios. Recently, considerable interesting work in this area has been done in both finance and actuarial science. It is obvious that closer contact and discussions between these two groups will be beneficial to all researchers as well as to the society.

A first special feature of this workshop is that it brings together experts from financial engineering with academics specialized in actuarial science. It is our sincere hope that this workshop will shed light on the intricate interplay between actuarial science and finance. Another is that - apart from a large number of leading experts worldwide - we have made a special effort to involve a fair number of young and promising researchers.

We believe that with this synergetic effort, the workshop will be able to provide sound theoretical results as well as a feasible empirical testing framework. The gathering will definitely contribute to the development of financial and insurance risk management in a significant way.


Alexandre ADAM, AFM-team BNP-Paribas, France
Hansjörg ALBRECHER, Technical University of Graz, Austria
Mark H.A. DAVIS, Imperial College, London, UK 
Freddy DELBAEN, ETH Zuerich, Switzerland 
Michel DENUIT, Université Catholique de Louvain, Belgium 
Robert J. ELLIOTT, University of Calgary, Canada 
Tom FISCHER, Heriot-Watt University, Edinburgh, Scotland
Hans FÖLLMER, Humboldt University, Berlin, Germany 
Marco FRITTELLI, Firenze University, Italy 
Hans GERBER, Université de Lausanne, Switzerland 
Marc GOOVAERTS, Catholic University Leuven, Belgium 
Werner HÜRLIMANN, International Risk Management Group, Basel, Switzerland 
Ioannis KARATZAS, Columbia University, New York U.S.A.
Zinoviy LANDSMAN, University of Haifa, Israel 
Helmut MAUSSER, Algorithmics Inc., Toronto, Canada 
Thomas MIKOSCH, University of Copenhagen, Denmark 
Wlodzimierz OGRYCZAK, Warsaw Institute of Technology, Poland 
Jostein PAULSEN, University of Bergen, Norway 
Georg PFLUG, University of Vienna, Austria 
Svetlozar RACHEV, University of Karlsruhe, Germany 
Alexander SCHIED, Technical University of Berlin, Germany 
Hanspeter SCHMIDLI, University of Cologne, Germany 
Dmitrii SILVESTROV, Malärdalen University, Sweden 
Dirk TASCHE, Technical University of Munich, Germany 
Hailiang YANG, University of Hong Kong



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Last up-dated 24-02-09

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