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Conference "Actuarial Risks in the Solvency II Era: frontiers of mathematics and regulation"
by Sabrina Mulinacci 24 Oct '16

24 Oct '16

Dear Colleagues, we are glad to invite you to the Conference on Actuarial Risks in the Solvency II Era: frontiers of mathematics and regulation that is going to be held in Bologna, November 3-4-5, 2016. The program will include a tutorial directed to students, scholars and practitioners interested in mastering the state of the art of theory. Interested students may earn 3 credits upon attending the conference and providing a written discussion of some the presentations in the conference. On Saturday November 5th, there will be an informal meeting for networking on current research and discussion ofspecial topics for future research. More detailed informations are available at http://www2.stat.unibo.it/actuarial-risk/Home.html? Best Regards Sabrina Mulinacci?

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Eurocast 2017 - deadline approaching
by Antonio Di Crescenzo 24 Oct '16

24 Oct '16

Dear Colleague, we kindly remind that the deadline for the abstract submission is approaching. Workshop "Stochastic Models and Applications to Natural, Social and Technical Systems" of the Sixteenth International Conference on Computer Aided Systems Theory, Las Palmas de Gran Canaria, February 19-24, 2017. An extended two pages abstract must be sent by e-mail to eurocast(a)iuctc.ulpgc.es until October 31, 2016. Selected full final papers for publication will be required before April 30, 2017. Further information is available at the conference web page (<http://eurocast2017.fulp.ulpgc.es/>http://eurocast2017.fulp.ulpgc.es/). Looking forward meeting you at the Workshop. Best regards, Antonio Di Crescenzo and Amelia G. Nobile -- ============================================= Antonio Di Crescenzo Dipartimento di Matematica Università degli Studi di Salerno Via Giovanni Paolo II, n. 132 84084 Fisciano (SA) Italy Tel. +39-089-963349 Fax: +39-089-963303 E-mail: adicrescenzo(a)unisa.it Web: http://www.unisa.it/docenti/antoniodicrescenzo/index =============================================

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de Finetti Risk Seminar - October 2016
by Emanuela Rosazza 23 Oct '16

23 Oct '16

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Warner Marzocchi Istituto nazionale di Geofisica e vulcanologia TITLE: The probabilistic nature of earthquake forecasting: key issues, challenges and testability LOCATION: The seminar will be held on Wednesday, October 26, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *****************************************************

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Annual ESOBE 2016 meeting, 27/28 October, Ca' Foscari University, Venice, Italy
by Roberto Casarin VE 22 Oct '16

22 Oct '16

7th ANNUAL EUROPEAN SEMINAR ON BAYESIAN ECONOMETRICS ESOBE 2016 Venice, Italy 27 - 28 October 2016 The workshop is organised by the Department of Economics of the *University Ca’ Foscari of Venice*, and is co-sponsored by the *European Central Bank*, the *Central Bank of Italy*, the *International Association for Applied Econometrics* and *GRETA Associati*. The ESOBE meetings aim at bringing together researchers and professionals interested in the application of Bayesian inference. Ever since the pioneering work of Arnold Zellner, Bayesian econometrics has expanded enormously in areas such as economics, finance, business, and marketing. The computational revolution in simulation techniques is a key ingredient in this expansion and allows the application of Bayesian methods to increasingly complex models and high-dimensional data environments. The ESOBE 2016 conference intends to discuss about research and application in the following *areas*: - Bayesian financial econometrics - Bayesian microeconometrics and program evaluation - Bayesian nonparametric - Shrinkage estimation and variable selection in high dimensions - Computational methods for large datasets - Efficient MCMC and SMC methods for complex models The *keynote speakers *of ESOBE 2016 are: - Christian P. Robert (University Paris Dauphine and University of Warwick) - Ulrich K. Mueller (Princeton University) - Thomas J. Sargent (New York University) The *Scientific Committee* consists of: - Monica Billio (Ca’ Foscari University of Venice) - Fabio Canova (BI Norwegian Business School) - Roberto Casarin (Ca’ Foscari University of Venice) - Sylvia Fruehwirth-Schnatter (Wirtschaftsuniversität Wien) - Sylvia Kaufmann (Study Center Gerzensee) - Gary Koop (Strathclyde Business School) - Francesco Ravazzolo (Free University of Bozen/Bolzano) - Herman K. van Dijk (Erasmus University Rotterdam and VU University Amsterdam) More detailed information available on the Conference *website*: http://virgo.unive.it/esobe2016/index.htm (* Apologies for post-crossing) -- Roberto Casarin University Ca' Foscari, Venice Address: San Giobbe 873/b 30121 Venezia, Italy Phone: +39 041.234.91.49 Fax: +39 041.234.91.76 Web:http://venus.unive.it/r.casarin/

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MODEL UNCERTAINTY AND ROBUST FINANCE
by Giovanni Puccetti 21 Oct '16

21 Oct '16

EARLY REGISTRATION DEADLINE (October 30) with REDUCED FEE FOR THE WORKSHOP MODEL UNCERTAINTY AND ROBUST FINANCE https://sites.google.com/site/2016murf/ <https://sites.google.com/site/2016murf/> University of Milan, 10-11 November 2016 Final program now available at https://sites.google.com/site/2016murf/program <https://sites.google.com/site/2016murf/program>

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Fwd: Fwd: Postdoc position in IHES
by Carina Geldhauser 20 Oct '16

20 Oct '16

---------- Forwarded message ---------- From: *Hugo Duminil* <duminil(a)ihes.fr <mailto:duminil@ihes.fr>> Date: 2016-10-19 16:03 GMT+01:00 Subject: Postdoc position in IHES To: Hugo Duminil <hugo.duminil(a)unige.ch <mailto:hugo.duminil@unige.ch>> Dear all, I would like to advertise a postdoc position under my supervision at IHES starting September 2017. If you know candidates who you think might be interested, please do encourage them to apply. I attach a short description. You can tell potential candidates to contact me directly if they want further information. Best wishes Hugo Postdoctoral position in Probability and Mathematical Physics *Principal Investigator : Hugo DUMINIL-COPIN* *Duration*: 2 years IHES offers a 2-year postdoctoral position in Probability and Mathematical Physics beginning September 2017 and funded by the IDEX Chair of Pr Duminil-Copin. All candidates with background in Probability or Mathematical Physics, and interested in working on the mathematical and physical aspects of Statistical Physics and Probability Theory, are encouraged to apply. *Contract details*: The IHES scientific environment provides superb conditions for research in mathematics and theoretical physics. The position will be covered by a competitive package funded by the IDEX chair that will include family housing in IHES residence apartments, and free access to the cafeteria for lunch. Some funding will also be available to participate in scientific events related to the project. Applications should be sent online and include the application form duly completed, a CV, a list of publications, a description of research project and future plans as well as 2 letters of recommendation to be sent to postdoc-application(a)ihes.fr <mailto:postdoc-application@ihes.fr> Apply now<http://www.ihes.fr/jsp/site/Portal.jsp?document_id=4043&portlet_id=1006> *Deadline: 23 November 2016* *Contact*: postdoc-application(a)ihes.fr <mailto:postdocs-applications@ihes.fr> -- ----------------------------------------------------------------- Hugo Duminil-Copin Permanent professor Email: duminil(a)ihes.fr <mailto:duminil@ihes.fr> Institut des Hautes Études Scientifiques (IHÉS) Phone: +33-160926643 Le Bois-Marie, 35 route de Chartres Fax: +33-160926669 91440 BURES-SUR-YVETTE (FRANCE) www: http://www.ihes.fr/~duminil/ <http://www.ihes.fr/%7Eduminil/>

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Fwd: Two postdoc opportunities Prob-L@B, Bath, UK.
by Carina Geldhauser 20 Oct '16

20 Oct '16

-------- Forwarded Message -------- Subject: Two postdoc opportunities Prob-L@B, Bath, UK. Date: Wed, 19 Oct 2016 21:27:42 +0000 From: Andreas Kyprianou <A.Kyprianou(a)BATH.AC.UK> Reply-To: Andreas Kyprianou <A.Kyprianou(a)BATH.AC.UK> To: APPLIEDPROB(a)JISCMAIL.AC.UK Dear Friends, in addition to the 6 month Postdoc opportunity currently open in Prob-L@B: https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=HR4368 I would additionally like to bring this 3 year postdoc opportunity to your attention also at Prob-L@B: https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=SF4380 You can read more about the probability laboratory at Bath here http://www.bath.ac.uk/research/centres/probability-laboratory/ Please distribute as you see fit, queries can be addressed to me (a.kyprianou(a)bath.ac.uk <mailto:a.kyprianou@bath.ac.uk>). I am sorry if you received this more than once today (unless you enjoyed reading it more than once). with thanks Andreas -- Professor Andreas Kyprianou Co-director of EPSRC CDT SAMBa Co-director of Prob-L@B Department of Mathematical Sciences University of Bath BA2 7AY

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Seminario di Probabilità - Padova
by Paolo Dai Pra 20 Oct '16

20 Oct '16

Ho il piacere di invitarvi al seguente seminario, che si terrà Giovedì 27 Ottobre, alle 12:00, in aula 2BC30 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Giovanni Conforti AFFILIATION: University of Leipzig TITLE: Some quantitative results about bridges and Entropic interpolations of probability measures ABSTRACT: In the first part of the talk I will discuss quantitative results about the bridges of the Langevin dynamics and the associated reciprocal processes.They include an equivalence between gradient estimates for bridge semigroups and couplings, comparison principles, and a Logarithmic Sobolev inequality. All results are based on a seemingly new expression of the drift of a bridge in terms of the reciprocal characteristic, which, roughly speaking, is the ``acceleration" of a bridge. The analogy between reciprocal characteristic and acceleration also allows to view our results as a probabilistic version of well known facts about ODEs. Bridges can be used to construct interpolations of probability measures. The resulting curve, called entropic interpolation, is a stochastic counterpart to the displacement interpolation. If time allows, I will discuss connections with gradient flows on Wasserstein space and an estimate of the marginal entropy along entropic interpolations which in the small noise limit gives back the well known convexity of the entropy along displacement interpolations. The talk is partially based on joint work with Max von Renesse. Paolo Dai Pra Dipartimento di Matematica Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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Reminder: seminar from G. Livieri in Padova
by Giorgia Callegaro 20 Oct '16

20 Oct '16

Dear all, this is to remind you that next week Giulia Livieri (Scuola Normale Superiore di Pisa) will give a seminar at the Mathematics Department of the University of Padova. Here are all the details: - *Title* : Smile at Errors: A Discrete-Time Stochastic Volatility Framework for Pricing Options with Realized Measures - *Link to the online version: * http://papers.ssrn. com/sol3/papers.cfm?abstract_id=2811304 <http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2811304> - *Date and time*: 24 October 2016 at 12:00 - *Room*: 2 BC 30 Hope to see you soon, all the best, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Annuncio di seminario
by Piccioni, Mauro 20 Oct '16

20 Oct '16

Dipartimento di Matematica, Sapienza Università di Roma Martedì 25 ottobre Ore 14:00, Aula di Consiglio Seminario di Probabilità e Statistica Matematica Claude Lefèvre, Université Libre de Bruxelles, Département de Mathématique Epidemic Risk and Insurance Coverage Abstract; This paper aims to apply simple actuarial methods to build an insurance plan protecting against an epidemic risk in a population. The studied model is an extended SIR epidemic in which the removal and infection rates may depend on the number of registered removals. The costs due to the epidemic are measured through the expected epidemic size and infectivity time. The premiums received during the epidemic outbreak are measured through the expected susceptibility time. Using martingale arguments, a method by recursion is developed to calculate the cost components and the corresponding premium levels in this extended epidemic model. Some numerical examples illustrate the effect of removals and the premium calculation in an insurance plan. This is a joint work with P. Picard (ISFA, Lyon) and M. Simon (ULB). Tutti gli interessati sono invitati a partecipare. Conferenze previste nel mese di novembre, nella stessa aula, con lo stesso orario: 8 novembre: Thi Da Cam Pham (Tours) 15 novembre: Marc Peigné (Tours) 22 novembre: Carlo Orrieri (Sapienza) 29 novembre: Pietro Caputo (Roma Tre) Gli abstract saranno inviati tempestivamente. Per qualsiasi richiesta di informazione scrivere a: piccioni(a)mat.uniroma1.it

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