The 2015 Risk and Stochastics Conference will take place on Wednesday 22 and Thursday 23 April 2015. This conference celebrates the 70th year of Professor Ragnar Norberg and acknowledges his academic achievements; in particular, his legacy at LSE, which is primarily but not solely due to the Risk and Stochastics enterprise, which he was instrumental in founding and which has conspicuously placed the School on the world map in the areas of modern actuarial and financial mathematics and their interface.
The speakers at this conference are contemporaries and long-standing associates of Ragnar and offer insights gained from many years of experience and expertise.
Venue:
Royal Statistical Society
12 Errol Street
London
EC1Y 8LX
This conference is organised and funded by the Department of Statistics at the London School of Economics (LSE)
Conference home page|
Titles and abstracts of talks|
Conference photos|
Day One: Wednesday 22 April 2015
09:15 – 09:45: Registration and coffee
09:50 – 10:00: Welcome and introduction
10:00 – 11:00: Christian Hipp
Optimal control for insurers: the bivariate case
11:00 – 12:00: Hans Föllmer
Mathematical aspects of systemic risk
12:00 – 12:30: Coffee break
12:30 – 13:30: Tomas Björk
Dynamic equilibrium models with time inconsistent preferences
13:30 – 14:45 Lunch
14:50 – 15:50: Knut Kristian Aase
What type of pensions would most people prefer?
(Life insurance and pension contracts II: the life cycle model with recursive utility)
15:50 – 16:50: Odd Olai Aalen
Causal inference and survival analysis: a new look at old tools
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Day One (evening)
18:00 – 18:45: Drinks reception in the Staff Dining Room at LSE (Old Building, Houghton Street)
18:45 – 21:00: Evening buffet reception in the Staff Dining Room at LSE (Old Building, Houghton Street)
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Day Two: Thursday 23 April 2015
09:15 – 09:45: Registration and coffee
09:50 – 10:00: Welcome and introduction
10:00 – 11:00: Monique Jeanblanc
Enlargement of filtration in a discrete time setting
(The title and content of this talk was updated on 17 April 2015)
11:00 – 12:00: Søren Asmussen
Exponential family techniques in the lognormal left tail, with applications to portfolio VaR
12:00 – 12:30: Coffee break
12:30 – 13:30: Freddie Delbaen
Monetary utility functions with the CxLS (convex level sets) property
13:30 – 14:45 Lunch
14:50 – 15:50: Nick Bingham
The work of Ragnar Norberg
15:50 – 16:35: Round table discussion – history, present and future
16:35– 16:40: Closing words by Ragnar Norberg