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CATS update

CATS e-News                             Issue 6,  October - November 2010




Welcome to the October - November edition of CATS e-news.
Our highlight of this period was our celebration of CATS 10th anniversary with an event on 29th October. Full details can be found below. It was lovely to bring together so many members and friends of CATS.

Upcoming soon: Swenja Surminski will be a giving a lecture at the a event Preparing for stormy weather identifying and managing climate risks being held on 16th March from 6pm at the Wolfson Theatre, LSE. There are limited places available, so if you are interested in attending, please contact Lyn Grove by 22nd February.

With thanks to Esther Heyhoe for helping put this issue together.

Conferences, workshops, presentations etc...  October & November

David Stainforth attended a Collaborative meeting with The Centre for Ice and Climate, Niels Bohr Institute in Copenhagen on 4th - 6th October. The main focus was the interpretation of in the context of recent discussions on difficulties in constraining climate sensitivity and the implicit assumptions of linearity therein.

Joe Daron gave a talk to Masters Students at the University of Exeter, in Falmouth about International Climate Policy as part of an MSc course in Energy Policy and Sustainability on Wednesday 6th October.

Hailiang Du gave a talk entitled 'Nowcasting with Indistinguishable States' at the DARC: Data Assimilation at the University of Reading on Wednesday 6th October.

Ana Lopez attended the Climate Tipping Points workshop organised by Tim Lenton and Peter Cox at the Isaac Newton Institute for Mathematical Sciences on 18th - 21st October. The workshop consisted of a series of seminars and discussion sessions exploring approaches to detect the proximity of  shifts or bifurcations in climate and ecological systems with the goal of developing early warning systems.

CATS celebrated its 10th anniversary with an afternoon of talks and evening reception on 29th October. The talks covered a broad range of CATS’ research – from climate model uncertainty, ocean systems, valuation and risk in the finance sector, and robust decision making in insurance. Speakers were Tim Palmer (European Centre for Medium-Range Weather Forecasts), Max Fehr (LSE), Ralph Rayner (ImarEST; Consortium for Ocean Leadership; LSE), and Richard Max-Lino (Quest4 Consulting Ltd. Full details of the event and a copy of the CATS anniversary brochure can be found on the CATS events webpage.

Arthur Petersen and Ana Lopez both gave presentations at the Circle-2 workshop on CCVIA uncertainties which took place in Stockholm 11th - 12th November. The workshop was organised by SMHI (Sweden) and KvK (Netherlands) within the CIRCLE2 ERA-Network. Arthur Petersen's talk was entitled: 'Guidances: lessons from PBL' and Ana Lopez': 'Is probabilistic climate change information necessary to inform adaptation?'

Falk Niehoerster attended the Climate Change Question Time meeting on 24th November. The Isaac Newton Institute and the Willis Research Network, in conjunction with the Knowledge Transfer Network in Industrial Mathematics and the Centre for Science and Policy convened an elite group of climate experts to answer questions from finance and insurance professionals.




















Papers & other outputs

Papers recently finished:

Ana Lopez co-edited 'Modelling the impacts of Climate Change on Water Resources' with Fai Fung and Mark New and contributed two chapters, "Emerging approaches to climate risk management' (co-authored with R. Wilby, Fai Fung and Mark New) and "A case study of Water Resource Management in South West England" (author). The book was published by Wiley-Blackwell in November.

P Barrieu, H Bensusan, N El Karoui, C Hillairet, S Loisel, C Ravanelli & S Yahia "Understanding, modelling and managing longevity risk: key issues and main challenges" to appear in Scandinavian Actuarial Journal

Other outputs:

Jim Baker had a letter published in the Economist in October "Seeing REDD".

Papers in preparation include:

Recently submitted:


Young, RMB, Binter, R & Niehoerster, F "Limits of i-shadowing in a perfect model rotating annulus" submitted to Physica D


Oreskes,N, Stainforth,DA & Smith, LA "Adaptation to Global Warming: Do Climate Models Tell Us What We Need to Know?" submitted to Philosophy of Science


Barrieu, PM & Fehr, MW “Integrated EUA and CER price modeling and application for spread option pricing” submitted to Operations Research


Barrieu, PM & Tobelem,S “A new methodology for asset allocation under model risk” submitted to Quantitative Finance


Barrieu, PM & Sinclair Desgagne, B. “Economic Policy when Models Disagree” submitted to Econometrica                               

Maruri-Aguilar, H., Senz-de-Cabezn, E. and Wynn, H. P.  "the Betti numbers of polynomial hierarchical models for experimental designs" submitted to Annals of Mathematics and Artificial Intelligence

Bates, R.A., Maruri-Aguilar, H and Wynn, H.P. "Smooth supersaturated models" submitted to Journal of Statistical Planning and Inference



In revision:       


Smith, LA. & Du, H.L."Parameter estimation using Ignorance" in revision for Physics Review Letters


Du, HL  & Smith, LA   "Improvement in Full Probability Forecasting at Seasonal Lead-times" in revision for QJRMS


Smith, LA, Tredger, E., Stainforth, D.A. &  Lopez, A. "On the Relevance of Model Averages for Science Based Policy" in revision for GRL


Khare, S & Smith, LA  "Data assimilation: A fully nonlinear approach to ensemble formation using Indistinguishable States"  in revision for Monthly Weather Review

Maruri-Aguilar, H and Wynn, H. P. "D-Optimality of Sobol Sequences for Haar Wavelet Models" under revision for Journal of Statistical Theory and Practice

Giovagnoli, A and Wynn, H. P. "(U,V)-ordering and a duality theorem for risk aversion and Lorentz-type ordering. Under revision for Statistical Papers





















Research progress and activities

Leonard Smith and Falk Niehoerster started a closer collaboration with the project of Myles Allen in Oxford ( In this collaboration they use the distributed computing environment of the project to test the robustness of results of Bowen&Ranger 2009 ("Mitigating climate change through reductions in greenhouse gas emissions: The science and economics of future paths for global annual emissions", Grantham Policy Brief, December 2009). The goal is to estimate the extent to which the probability distributions based on simulations with simple climate models (MAGICC) are robust when compared to results of using more complex climate models (GCMs). In the context of this collaboration Dan Rowland from Oxford joined CATS as a visitor.

Arthur Petersen was involved in the co-ordination of a Dutch governmental evaluation of the quality of the regional chapters of the IPCC AR4 WG II report (on impacts, adaptation and vulnerability). The report “Assessing an IPCC Assessment: An Analysis of Statements on Projected Regional Impacts in the 2007 Report” was published by the Netherlands Environmental Assessment Agency in July. A news piece on the report was published in Nature, Volume 466-Number 7303, on 08 July 2010 "Few fishy facts found in climate report".

Max Fehr, Pauline Barrieu and Umut Cetin continue their work on a model for risk neutral futures price dynamics in the European Unions Emissions Trading Scheme (EU ETS). Historical price dynamics suggest that both allowance prices for different compliance periods and CER prices for different compliance periods are significantly related. To obtain a realistic price dynamics we take into account the specific details of the EU ETS compliance regulations, such as banking and the link to the Clean Development Mechanism (CDM), and exploit arbitrage relationships between futures on EU allowances and Certified Emission Reductions.

Falk Niehoerster, Nicola Ranger, and Leonard Smith continue work on Hurricanes: the predictability of Hurricane frequency and intensity is investigated on seasonal to multi-decadal timescales. Comparison and verification of different statistical approaches are conducted in addition to expert elicitation. The goal is to generate scenarios of future development of Hurricane activities for adaptation decision making.

Roman Binter, Hailiang Du, Falk Niehoerster and Leonard Smith work on Seasonal to Decadal Predictability: The predictability of important atmospheric phenomena is investigated in seasonal to decadal (s2d) predictions produced in the multi-model framework of the ENSEMBLES project. Impact relevant indices like the sea surface temperature (SST) in the main development region for hurricanes (MDR) and the Nino3.4 index (related to the El Nino phenomenon) as well as the global mean temperature (GMT) are currently the focus of the analysis.

Falk Niehoerster and Leonard Smith work on SVD on ICE - Linearity questions in climate modelling: The question of linearity in general circulation model (GCM) simulations of global warming as a function of a increasing atmospheric CO2 concentration is another focus. The assumption that climate response is "linear" is widely used and multiply defined. Indeed, the assumption of linearity is crucial for several applications of climate science including pattern scaling. The extent to which linearity approximations hold is evaluated in large (~2^9)) initial condition ensembles (ICE). These simulations consider the equilibrium response of HadSM3 to three different levels of CO2 concentration increase. By comparing the singular value decomposition (SVD) and the leading singular vectors of the three initial condition ensembles we evaluate not only the relevance of the linearity assumption, but also the robustness of the principal pattern of temperature change. See poster presented at IMSC, "SVD on ICE - On the linearity of climate change simulation with GCMs"


























Visiting Academics

Arthur Petersen (Munich Re Programme Visiting Professor) visited LSE from 29th October - 1st November.

Mark Berliner, Professor of Statistics at Ohio State University, has joined CATS as a Visiting Senior Fellow. We look forward to working with him in the near future.


  Other News

Congratulations to CATS Visiting Fellow Jerome Ellepolla on the birth of his son Alexandre Mahinda Maurice born on 2nd October!



Where are they now?
Our regular end piece of where ex-CATS members are now.

Roland Young, who was a Research Officer at CATS last year, is back in Oxford where he did his D.Phil., working as a postdoc in Peter Read's group. He has moved from studying the rotating annulus to studying the dynamics of giant planet atmospheres (specifically Jupiter and Saturn) using general circulation models.

Anna Andrianova completed her PhD at CATS, thesis title: "Incorporating weather forecasts into the energy markets". Anna now works as a Coal and freight Options trader for RWE, an energy company that owns Npower and is the biggest utility company in Germany. RWE trades Gas, Power, Coal, Freight, Oil and CO2. It trades physical assets and also paper markets. They also optimise the running of power stations and invest in pipe lines and infrastructure around the world.

Ron Bates is currently working at Rolls Royce. He was a senior Research Fellow in the Department of Statistics and CATS from 2003 to 2008, working with Henry Wynn on a number of European and EPSRC funded projects.

Neil Bathia completed his PhD earlier this year, thesis title: "Factor modelling for high dimensional time". He is currently doing a postdoc with Prof. Peter Hall in the Maths department at the University of Melbourne and he is working on problems in high dimensional data analysis and model selection.

Roman Binter is finishing his phd thesis, and began work with Penson GHCO at the beginning of May. We hope to organise a proper leaving do for Roman this space!

Jochen Broecker is now a visiting fellow at CATS. He works at the Max Planck Institute for Physics of Complex Systems in Dresden. We are very happy to announce that Jochen got married on 24th April!
Jochen was a Research Officer at CATS from 2003 to 2007, working on a number of projects including the EU project ENSEMBLES and the EPSRC project DIME.

Liam Clarke is working at the Financial Services Authority, London.
He was a Research Officer at CATS from 2003 to 2008, working on the EPSRC funded project REMIND and then the NERC funded project NAPSTER.

Reason Machete is currently a Research Assistant in Mathematical Modeling for the Digital Economy in the Mathematics Department at the University of Reading. He was a Research Assistant in CATS from 2007 to 2010, working on a number of different CATS projects.

Milena Cuellar is now an Adjunct Assistant Professor at CUNY Bronx's Community College. She's teaching Math to first year college students.
She completed her PhD at CATS funded by NGT. Thesis title: "Time series analysis, model parameters estimation."

Edward Tredger completed his PhD in 2009, thesis title: "What can Insurers learn from Climate Models?" Edward is now working at Defra.

Hugo Maruri-Aguilar is now lecturing in the Statistics Department at Queen Mary, University of London. He was a Research Officer on the EPSRC funded project, MUCM, from 2006 to 2009, working with Henry Wynn.

Antje Weisheimer is at the European Centre for Medium Range Weather Forecasting (ECMWF) in Reading, and we're very pleased to announce that she has just had a new baby! Antje was an EC Marie Curie Postdoctoral Fellow at CATS from 2002 to 2003. She was working on predictability in large climate models.



Roland Young

Anna Andrianova


Jochen Broecker


Liam Clarke


Milena Cuellar


Hugo Maruri-Aguilar