Buongiorno
Tra marzo e maggio 2020, Francesco Caravenna e Maurizia Rossi terranno il
corso di dottorato:
*"Topics from the Gaussian World"*
presso il Dipartimento di Matematica e Applicazioni dell'Università di
Milano-Bicocca.
La prima lezione avrà luogo giovedì 5 marzo alle 14:30-17:00 in aula
U5-3014. Per maggiori informazioni si veda la pagina
http://staff.matapp.unimib.it/~fcaraven/did1920/phd/index.html
Tutti gli interessati sono invitati a partecipare
un cordiali saluto
--
Gianmario Tessitore
Dipartimento di Matematica e Applicazioni
Università degli Studi di Milano-Bicocca
Con preghiera di diffusione
Il Qfinlab, laboratorio di finanza quantitativa del Dipartimento di Matematica del Politecnico di Milano, sta valutando la possibilità di bandire assegni di ricerca su tematiche relative alla finanza quantitativa (calcolo stocastico, portfolio allocation, pricing, ma non solo), all'econometria e/o all'utilizzo di tecniche machine learning in finanza. Eventuali persone interessate possono inviare il loro cv all'indirizzo qfinlab(a)polimi.it<mailto:qfinlab@polimi.it> .
Per informazioni sul gruppo, si rimanda a www.qfinlab.polimi.it<http://www.qfinlab.polimi.it/>
Cordialmente
Daniele Marazzina
Si avvisa che il giorno Lunedì 10 Febbraio alle ore 15:30 presso l’Università di Milano-Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- aula 4026) si terrà il seguente seminario:
Speaker: Karim Barigou (University of Lyon)
Title: Fair valuation of insurance liabilities: interplay between actuarial judgement and market-consistency
Abstract:
Insurance liabilities are in most cases (only) partially replicable by traded assets. This may be due to the fact that the payoffs of the underlying insurance contracts are defined in terms of a combination of hedgeable and unhedgeable claims (e.g. unit-linked insurance) or due to the existence of traded insurance-linked securities of which the payoff is correlated with the payoff of the insurance liability (e.g. CAT bonds). Since not all insurance claims can be perfectly replicated by traded assets, we face the problem of valuating claims in incomplete markets (i.e. markets in which some claims are not perfectly hedgeable).
The main goal of this presentation is to introduce different valuation frameworks for the determination of a fair valuation for insurance liabilities. The objective of this valuation is to merge the traditional actuarial valuation based on pooling and diversification with a market-consistent approach based on hedging and replication. In particular, we define a fair valuation as a valuation which is market-consistent (marked-to-market for hedgeable claims) and actuarial (marked-to-model for claims independent of financial market evolutions).
Among the different fair valuation frameworks, we introduce and investigate the class of `hedge-based valuations'. Under this approach, one unbundles the unhedgeable insurance claim in a hedgeable part and a remaining part. The fair value of the claim is then set equal to the sum of the respective values of the hedgeable and the unhedgeable parts, where the hedgeable part is valuated by the financial price of its underlying hedge, while the value of the remaining part is determined via an actuarial approach.
Tutti gli interessati sono invitati a partecipare.
Cordiali saluti,
Valeria
*******************************************************************************************
Valeria Bignozzi
Dipartimento di Statistica e Metodi Quantitativi
Università di Milano-Bicocca
Edificio U7 – 4° Piano
Via Bicocca degli Arcimboldi, 8
20126 Milano
e-mail: valeria.bignozzi(a)unimib.it <mailto:valeria.bignozzi@unimib.it>
*******************************************************************************************
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Cari colleghi
con l'invito a volerne dare la massima diffusione, vi segnalo che,
all'interno di un progetto congiunto UniBo-UniFi-UniPd
denominato "Dinamiche stocastiche in ambienti disordinati ed applicazioni
nelle scienze ",
è uscito il bando per un assegno di ricerca su "Processi stocastici su
strutture aleatorie e applicazioni"
con sede presso il Dipartimento di Matematica "Tullio Levi-Civita "
dell'Università di Padova.
La descrizione e i dettagli per l'ammissione sono indicati di seguito.
The Department of Mathematics "Tullio Levi-Civita" of the University
of Padova invites applications
for a Research fellowship of the duration of 12 months in the framework of
a joint project
with the University of Bologna and the University of Firenze,
with subject "Stochastic processes on random structures and applications".
Successful candidates will be recent PhDs in Mathematics, or graduates with
a Master's degree,
who have suitable and documented academic and professional experience.
The gross amount of the research fellowship contract is 21.100 euro.
The deadline for application is 2nd March 2020.
To submit application please refer to the page
https://www.math.unipd.it/news-files/2020/20200302-bianchi-bando.pdf
For additional information, please contact:
Alessandra Bianchi at bianchi(a)math.unipd.it
Marco Lenci at marco.lenci(a)unibo.it
Francesca Nardi at francescaromana.nardi(a)unifi.it
<bianchi(a)math.unipd.it>--
Alessandra Bianchi
Dip. di Matematica
Università di Padova
Via Trieste, 63 - 35121 Padova, Italy
phone: +39 049 827 14 06
fax: +39 049 827 14 28
e-mail: bianchi(a)math.unipd.it
http://www.math.unipd.it/~bianchi/
*Xavier Venel,* Paris School of Economics
Sequential Competition and the Strategic Origins of Preferential Attachment
<http://mailsender.luiss.it/lists/lt.php?id=cRpRAgYLSAQFAw1OVAVUAQAH>
Thursday 6 February 2020, 12 noon
Room 207
Department of Economics and Finance
Luiss
Viale Romania, 32
*******************************************************
Marco Scarsini
Dipartimento di Economia e Finanza
Luiss
Viale Romania 32
00197 Roma, ITALY
URL: http://docenti.luiss.it/scarsini/
Ricevo e inoltro per potenziali interessati.
---------- Forwarded message ---------
Subject: Fwd: [forumppg] XXIV Brazilian Probability School /São Paulo
School of advanced science
Date: 2020-02-04 12:02
From: Patrícia Gonçalves <mophinha(a)gmail.com>
To: Chiara Franceschini <chiara.franceschini(a)tecnico.ulisboa.pt>
Can you distribute this in Italy? Thanks!
----
*XXIV EBP/ São Paulo School of advanced science on singular stochastic
partial differential equations and their applications*
It is a pleasure to announce the XXIV EBP/ São Paulo School of
advanced science on singular stochastic partial differential equations and
their applications. The São Paulo school is divided into two parts and will
happen in the weeks of July 28 to August 8, 2020 at Campinas University. In
the first week there will be two introductory mini courses (stochastic
calculus and rough paths) that lay the foundations for the courses of the
second week. In the latter ones newly developed theories and their latest
developments in the field of singular SPDEs and related areas will be
taught. The program will be complemented with several plenary talks,
invited talks, a poster session and a visit to the LNLS laboratories, where
the only particle accelerator of Latin America is located. The school will
give full financial support for around 100 students (50 from Brazil and 50
from abroad). More informations under https://www.ime.unicamp.br/spas2020/
.
The XXIV EBP will coincide with the second week of the São Paulo School. As
in previous years, the XXIV EBP will consist of two mini courses, plenary
talks, contributed talks and poster sessions, all presented in a relaxed
atmosphere. This will be our first edition at IMECC-UNICAMP, which is home
to one of Brazil's top ranked Mathematics departments. More information
under https://www.ime.unicamp.br/bsp2020/.
We would be grateful if you could advertise these events among your
colleagues.
On behalf of the organizing committee
Dirk Erhard
Adriana Neumann
Christian Olivera
--
Roberto Imbuzeiro Oliveira
Professor, IMPA
rimfo(a)impa.br, rob.oliv(a)gmail.com
sites.google.com/view/roboliv
--
Você recebeu essa mensagem porque está inscrito no grupo "forumppg" dos
Grupos do Google.
Para cancelar inscrição nesse grupo e parar de receber e-mails dele, envie
um e-mail para forumppg+unsubscribe(a)impa.br.
Para ver essa discussão na Web, acesse
https://groups.google.com/a/impa.br/d/msgid/forumppg/CAN9Gp7asj9%3DEymWpDw2…
<https://groups.google.com/a/impa.br/d/msgid/forumppg/CAN9Gp7asj9%3DEymWpDw2…>
.
--
Esta mensagem foi verificada pelo sistema de antiv�rus e
acredita-se estar livre de perigo.
Ricevo e inoltro
---------- Forwarded message ---------
Da: Fabio Machado <faprama(a)gmail.com>
Date: lun 3 feb 2020, 19:46
Subject: two tenure track assistant professor positions
To: Fabio Machado <faprama(a)gmail.com>
Dear colleagues,
please feel free to advertise to potential applicants.
The Statistics Department of IME-USP has two tenure track assistant
professor vacancies open for registration until March 24th. The contest
will include, in addition to a memorial judgment, didactic evidence on
basic Probability and Statistical Inference topics (in master's level), and
project judgment in a wide range of research areas in Probability and
Statistics. See message below and attached notice for further details. Do
not hesitate to contact me for further clarification.
Announce Math Hire
https://mathhire.org/jobs/909
Science HR announcement
https://www.science.hr/jobs/59528/assistant-professor-2-positions-statistic…
Att
Fábio Prates Machado
--
*Fábio Prates Machado* - Professor
Instituto de Matemática e Estatística
Universidade de São Paulo, Brasil.
Dear Colleagues,
a call is open for two permanent positions, as a *Research Scientist in
Statistics and stochastic algorithms for dynamic processes* and as a *Research
Scientist in machine learning for text mining.* These are full research
positions (no compulsory teaching), based at INRAE (
https://www.inrae.fr/en/about-us) and affiliated to Université Paris-Saclay.
You may find the calls and instructions on how to apply at:
https://jobs.inrae.fr/en/open-competitions/open-competions-research-scienti…
and
https://jobs.inrae.fr/en/open-competitions/open-competions-research-scienti…
The application is in English and is fairly lightweight, it includes a CV,
the 4 most significant publications and a 8-10 pages report detailing past
research.
The deadline is March 5, 2020, 5 p.m. Central European Time (UTC+01:00). If
you would consider applying, please contact Elisabeta VERGU (
elisabeta.vergu(a)inrae.fr) for the position in Statistics and stochastic
algorithms for dynamic processes, or Claire NEDELLEC (
claire.nedellec(a)inrae.fr)/Louise DELEGER (louise.deleger(a)inrae.fr) for the
position in machine learning for text mining.
Best regards,
Guillaume KON KAM KING
Université Paris-Saclay, INRAE, MaIAGE, 78350, Jouy-en-Josas, France
https://sites.google.com/site/guillaumekonkamking/home
Dear all,
we are glad to announce the next DEMS seminar:
Wednesday, 12th February 2020
Time 12.00, Aula de Lillo, Department of Economics, Management and
Statistics (DEMS)
Building U7, II floor, University of Milano - Bicocca
The speaker is Fabrizio Leisen from University of Kent.
*Title:* *On a Class of Objective Priors from Scoring Rules*
*Abstract:* Objective prior distributions represent an important tool that
allows one to have the advantages of using a Bayesian framework even when
information about the parameters of a model is not available. The usual
objective approaches work off the chosen statistical model and in the
majority of cases the resulting prior is improper, which can pose
limitations to a practical implementation, even when the complexity of the
model is moderate. In this talk we propose to take a novel look at the
construction of objective prior distributions, where the connection with a
chosen sampling distribution model is removed. We explore the notion of
defining objective prior distributions which allow one to have some degree
of flexibility, in particular in exhibiting some desirable features, such
as being proper, or log-concave, convex etc. The basic tool we use are
proper scoring rules and the main result is a class of objective prior
distributions that can be employed in scenarios where the usual model based
priors fail, such as mixture models and model selection via Bayes factors.
In addition, we show that the proposed class of priors is the result of
minimising the information it contains, providing solid interpretation to
the method.
This is a work in collaboration with C. Villa and S. G. Walker.
Best wishes,
Federico Camerlenghi
--
Federico Camerlenghi
Department of Economics, Management and Statistics
University of Milano Bicocca, Milano, Italy.
web-page: https://www.unimib.it/federico-camerlenghi
Dear Colleagues,
This is to bring to your attention the opening of a number of positions involving stochastic analysis, both at PhD and Postdoc levels at the Department of Mathematics, University of Oslo.
See here:
https://www.mn.uio.no/math/om/jobb/ <https://www.mn.uio.no/math/om/jobb/>
Deadline for application: February 29.
An application to each position of interest (also if multiple) is mandatory for being considered in the evaluation.
See also the presentation of STORM - Stochastics for Time-Space Risk Models and its group of researchers:
https://www.mn.uio.no/math/english/research/projects/storm/ <https://www.mn.uio.no/math/english/research/projects/storm/>
Strong of its large group, the interests of STORM are broad within stochastic analysis and its applications and include random fields, SDEs, SPDEs, finite and infinite dimensions, models of dependencies in dynamic setting, stochastic control, mathematical finance, energy finance. We are interested in numerical methods and machine learning.
Please help us distribute this information among colleagues and all possibly interested people.
Best regards,
Giulia Di Nunno
Professor
Department of Mathematics
University of Oslo, Norway
http://folk.uio.no/giulian/ <http://folk.uio.no/giulian/>