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Titles and Abstracts

PLEASE NOTE THAT THIS EVENT HAS BEEN POSTPONED UNTIL FURTHER NOTICE

Below you will find the biographies, titles and abstracts of the seven speakers we have at our 14th annual Risk and Stochastics conference taking place on 30 April 2020 at LSE! 

Enrico Biffis (Imperial College)

Biffis

BiographyEnrico Biffis is Associate Professor of Actuarial Finance at Imperial College Business School and Associate Director for Development Finance at the Brevan Howard Centre for Financial Analysis. His areas of expertise are risk analysis and asset-liability management, with a focus on applications in the insurance and investment management sectors, as well as the design of predictive analytics and risk management tools for a variety of asset classes. Dr Biffis has collaborated extensively with leading financial institutions, regulators, governmental and non-governmental organizations, including the World Bank and the International Monetary Fund, and has been the recipient of grants and awards for his research on the modelling and hedging of large risks. Prior academic experience includes work as tenured faculty at the Robinson College of Business at Georgia State University, as visiting at Nanyang Business School's IRFRC and Bocconi Milan, and as an editor of ASTIN Bulletin – The Journal of the International Actuarial Association. Dr Biffis is a fellow of the Pensions Institute in London and the Munich Risk and Insurance Centre. He was recently awarded the Institute and Faculty of Actuaries' Brian Hey Prize and the Casualty and Actuarial Society's Charles A. Hachemeister Prize for his work on reinsurance data standards as part of the joint IFoA-CAS International Pricing Research Working Party.  Details on his current projects and writings can be found in the Research and Publications sections, SSRN, and Google Scholar.

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Corina Constantinescu-Loeffen (Liverpool)

 Corina

Biography - Corina Constantinescu is Professor of Mathematics and Director of the Institute for Financial and Actuarial Mathematics, in the Mathematical Sciences department of the University of Liverpool. She has recently coordinated a large European grant under the Marie Curie framework, on Risk Analysis, Ruin and Extremes (RARE), that connected 12 higher education institutions and over 60 researchers from all over the world working on extreme events and their applications to insurance modelling. Prior to being an academic, she worked as an actuary and led the life insurance department of one of the first private Romanian insurance companies. Her academic career spans the US, Austria, France, and Switzerland and she often travels to Europe, India, China, Australia and Japan on research visits or conference meetings. Given her practical perspective, many of her papers are published in actuarial journals, however she also publishes in applied probability journals. She serves as associate editor in a number of actuarial journals and is the eBriefs editor for Bernoulli Society for Mathematical Statistics and Probability. Her expertise is in analytical methods for deriving exact or asymptotic results for ruin probabilities, with light or heavy-tailed assumptions in complex insurance risk models. A more recent research interest is in correctly pricing car insurance in European countries in which the gender considerations have been removed from the underwriting process.

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Aditi Dandapani (École Polytechnique)

 Aditi

Biography - TBC

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Daniela Escobar (LSE)

Daniela (4) (3)

Biography Dr Daniela Escobar studied Mathematics at the University Complutense of Madrid (UCM), where she did her masters together with the Technical University of Madrid (UPM) on Statistics (Statistical and computational treatment of information). Dr Escobar did her PhD on robust pricing in insurance and energy markets under the supervision of Georg Pflug at the Department of Statistics and Operations Research, University of Vienna. Her research interests include robust pricing in different financial sectors, from insurance to electricity markets; sustainable finance and sustainable insurance; interest in risk measures, risk management, and discrete dynamic programming; and general incorporation of model ambiguity in different sectors of insurance and finance.

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Jo Kennedy (Warwick)

jo_kennedy

Biography Dr Jo Kennedy is an Associate Professor in Statistics having joined the department in 1998. She previously held positions at the University of Oxford and Bristol. In recent years her research activities have focused on interest rate derivatives with particular attention to the modelling requirements of market practitioners. She is co-author with Phil Hunt of Financial Derivatives in Theory and Practice, John Wiley & Sons, 2nd edition 2004. She gained her PhD in probability theory at the University of Cambridge having completed her undergraduate degree and MSc degrees at the University of Sydney.

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Zbigniew Palmowski (Wroclaw)

 Zbigniew Palmowski 2

Biography - TBC

Title - The Leland-Toft optimal capital structure model under Poisson observations

Abstract - We revisit the optimal capital structure model with endogenous bankruptcy first studied by Leland (1994) and Leland and Toft (1996). Differently from the standard case, where shareholders observe continuously the asset value and bankruptcy is executed instantaneously without delay, we assume that the information of the asset value is updated only at intervals, modelled by the jump times of an independent Poisson process. Under the spectrally negative L\'evy model, we obtain the optimal bankruptcy strategy and the corresponding capital structure. A series of numerical studies are given to analyse the sensitivity of observation frequency on the optimal solutions, the optimal leverage and the credit spreads. This is a joint work with J.L. Perez, B. Surya and K. Yamazaki.

Thorsten Rheinländer (Vienna)

 Thorsten Rheinländer

Biography - TBC

Title - On the volume distribution of the limit order book

Abstract - We derive a stochastic heat equation with multiplicative noise for the order volume distribution, and provide a solution via a local time functional. Moreover, we calculate the moments of this distribution whereby we encounter some tricky issues regarding multiplication of distributions. The fundamental solution of this equation enables us to study different times of trade which in turn involves some properties of the Jacobi Theta function.