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Joint Risk & Stochastics and Financial Mathematics seminar series

One should really think of Statistics as a discipline which can be used to support other disciplines

The series aims to promote communication and discussion of research in the mathematics of insurance and finance and their interface, to encourage interaction between practice and theory in these areas, and to support academic students in related programmes at postgraduate level. 

LSE maps and directions

All are welcome to attend these seminars. If you are attending from outside LSE please notify statistics@lse.ac.uk, so that we can ensure you have access to the seminar room.  


Current seminars in Lent Term 2020

Thursday 30th January, 12pm - Blanka Horvath 

Title: Data Anonymisation, Outliers Detection and Fighting Overfitting with Restricted Boltzmann Machines.

 

Abstract: We propose a novel approach to the anonymisation of datasets

through non-parametric learning of the underlying multivariate

distribution of dataset features and generation of the new

synthetic samples from the learned distribution. The main objective

is to ensure equal (or better) performance of the classifiers and regressors trained on synthetic datasets in comparison with the same

classifiers and regressors trained on the original data. The ability to

generate unlimited number of synthetic data samples from the

learned distribution can be a remedy in fighting overfitting when

dealing with small original datasets. When the synthetic data generator

is trained as an autoencoder with the bottleneck information

compression structure we can also expect to see a reduced number of

outliers in the generated datasets, thus further improving the

generalization capabilities of the classifiers trained on synthetic

data. We achieve these objectives with the help of the Restricted

Boltzmann Machine, a special type of generative neural network that

possesses all the required properties of a powerful data anonymiser.

 

Based on joint work with Alexei Kondratyev and Christian Schwarz.

Thursday 13th February, 12pm - Soren Christensen

More information will be updated nearer the time. 

Thursday 27th February, 12pm - Andreas Sojmark

More information will be updated nearer the time. 

Thursday 12th March, 12pm - Eduardo Ebi Jaber

More information will be updated nearer the time. 

Thursday 26th March, 12pm - Pamela Saliba

More information will be updated nearer the time. 

Past seminars in Michaelmas Term 2019/20

For all Michealmas Term seminars, please click here