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A``LATE-SUMMER'' DAY IN PROBABILITY AND STATISTICAL PHYSICS: 27 September 2019 (Picco e Pires da Silva Castro)
by Francesca Romana Nardi 29 Aug '19

29 Aug '19

Carissimi, Siamo felici di annunciarvi la ottava giornata di seminari: A ``LATE-SUMMER'' DAY IN PROBABILITY AND STATISTICAL PHYSICS University of Florence Friday 27 September 2019 Lecturers: Pierre Picco (Marseille) and Rui Pires da Silva Castro (Eindhoven) Location: Aula Tricerri Viale Morgagni 67, Firenze Informazioni su come arrivare alla pagina: https://www.dimai.unifi.it/vp-285-come-arrivare-how-to-get.html Note pratiche: Stiamo prenotando un catering con cibi vegerariani e non, percio` abbiamo bisogno del numero di persone che vogliono mangiare insieme. A coloro che fossero interessati (per una migliore organizzazione) chiedo di mandare un email a francescaromana.nardi(a)unifi.it <mailto:francescaromana.nardi@unifi.it> ; gianmarco.bet(a)unifi.it <mailto:gianmarco.bet@unifi.it> ; angela.caporicci(a)unifi.it <mailto:angela.caporicci@unifi.it> , con l'intenzione di partecipare al seminario, al coffe break e al pranzo. PROGRAMMA Prof. Pierre Picco (CNRS Marseille) Title: One-dimentional Ising model with long range interactions. A review of results Abstract: Introductory lecture In the first talk I will make an quick historical survey of the rigorous results on the one-dimensional Ising model with long-range interactions. A first part will be dedicated to uniqueness of the Gibbs states (Ruelle (1968); Dobrushin (1968); Bricmont, Lebowitz & Pfister (1986)) and the regularity of the free energy when the decay of the potential is fast enough (Dobrushin (1973) Cassandro & Olivieri (1981) and its extensions in particular Capocaccia, Campanino & Olivieri (1983). A second part will be dedicated to the existence of phase transition starting from the Kac-Thompson conjecture (1968) the Dyson results (1969), the Frohlich \& Spencer result (1982), the Imbrie result (1982) the Aizenmann, Chayes, Chayes & Newman result on the Thouless effect (1988), Imbrie & Newman result on the Berezinsky, Kosterlitz & Thouless transition (1988). A third part will be dedicated to present results in the phase transition regime that started with Frohlich & Spencer (1981), Cassandro, Ferrari, Merola & Presutti (2001) and its extensions in particular by Cassandro, Merola, Picco & Rosikov (2014) on the definition of an interface and its fluctuations, and on a Minlos & Sinai theorem on the phase separation problem by Cassandro, Merola & Picco (2017). Seminar In the second talk I will review heuristic arguments that were invoked to conjecture the existence of a phase transition at low temperature in particular the Landau argument. I will present toy models where the fluctuation of interfaces and localisation of the droplet in the Minlos & Sinai theory will be explained. I will give an algorithmic definition of one-dimensional contours of Cassandro, Ferrari, Merola & Presutti. Prof. Rui Pires da Silva Castro (Eindhoven University of Technology) Title: Testing for the presence of communities in inhomogeneous random graphs Abstract: Many complex systems can be viewed as a network/graph consisting of vertices (e.g., individuals) connected by edges (e.g., a friendship relation). Often one believes there is some sort of community structure, where some vertices are naturally grouped together (e.g., more densely connected between themselves than to the rest of the network). Much of the community detection literature is concentrated around methods that extract communities from a given network. Our goal in this work is different, and we attempt to understand how difficult is it to determine if a network has real communities. Furthermore, we are primarily interested in the case of small or very small communities, for which many existing results and methods are not applicable. We cast this problem as a binary hypothesis test, where the null model corresponds to a graph without community structure, and the alternative model almost the same, but it also includes a planted community - that is, a small subset of the vertices has higher connection probability than under the null. The main question is to determine the minimal size and “strength” of the planted community that will allow detection. The seminal work of Arias-Castro and Verzelen tackled this problem when the null model is a homogeneous random graph. In our work, however, we consider the case where the null model is inhomogeneous, as this is somewhat closer to realistic scenarios. In particular, we present a scan test and provide conditions under which it is able to detect the presence of a small community. These results are valid for a wide variety of parameter choices. Furthermore, we show that for some parameters choices the scan test is optimal, and no other test can perform better (e.g, detect smaller or weaker planted communities). Finally, we extend this scan test to adapt to many parameters of the model when the null is a rank-1 generalized random graph. In the first part of the talk I will describe the above formulation and ensuing results, with illustrative examples and briefly touching upon the analytical methodology. In addition, I will discuss the related problem of characterizing cliques in rank-1 random graphs, which provides some insights on the role of inhomogeneity. The second part of the talk will go deeper into more technical aspects and ensuing insights. This presentation is based on joint work with Kay Bogerd and Remco van der Hofstad (https://arxiv.org/abs/1805.01688 and ongoing work). Program: 11.00-11.45 Introductory lecture: Picco 11.45-12.00 Break 12.00-12.45 Seminar: Picco 13.00-14.30 Lunch 14.30-15.15 Introductory lecture: Pires da Silva Castro 15.15-15.30 Break 15.30-16.30 Seminar: Pires da Silva Castro Organizers: G. Bet, F. Caravenna, N. Cancrini, E.N.M. Cirillo, P. Dai Pra, A. De Masi, D. Fanelli, F. Flandoli, C. Giardina`, R. Livi, F. Martinelli, I.G. Minelli, F.R. Nardi, E. Presutti, B. Scoppola, E. Scoppola. Ricordo che ciascuno oratore fara` una lezione introduttiva e divulgativa di 45 minuti pensata proprio per i non esperti, seguita da altri 45 minuti di tipo seminario (vedi programma). Maggiori informazioni e aggiornamenti sono reperibili alla pagina web http://web.math.unifi.it/users/fnardi/seminari/ Vi aspettiamo numerosi Francesca R. Nardi e Gianmarco Bet Dipartimento di Matematica e Informatica Università degli Studi di Firenze Viale Morgagni 67, Firenze, Italy

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FCPNLO 7
by Enrico Scalas 29 Aug '19

29 Aug '19

Car* Collegh*, vi segnalo che la settima edizione di Fractional Calculus Probability and Non-Local Operators si terra' presso l'Universita' del Sussex dal 26 al 28 settembre 2019. Piu' informazioni sono disponibili a: http://www.sussex.ac.uk/maths/research/fcpnlo-7 La registrazione e' aperta ed e' obbligatoria ma gratuita. Cordiali saluti Enrico Scalas

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RTD-a in MAT/06 al Politecnico di Torino
by TRIVELLATO BARBARA 29 Aug '19

29 Aug '19

Alla pagina web https://careers.polito.it/default.aspx?id=11/19/P/RA è consultabile il bando per una posizione RTD-a nel settore MAT/06 presso il Dipartimento di Scienze Matematiche del Politecnico di Torino. La scadenza di presentazione delle domande è fissata per giovedì 26 settembre 2019 alle ore 15.

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Two-year post-doc in Venice
by Marco LI CALZI 27 Aug '19

27 Aug '19

Postdoctoral Position - Università Ca’ Foscari Venezia The Department of Management at Università Ca’ Foscari Venezia invites applications for a postdoctoral fellowship within the research project: "Design of Incentives under Misspecified Models”. The general area of interest is Economic Theory, with emphasis on Game Theory. Prospective candidates are expected to have relevant experience on the research topic, and should preferably be holding a Ph.D. or being close to receiving one. The research shall be carried out in English. Duration of contract: 24 months (expected starting date: October 2019). Deadline: September 23rd 2019, 12 a.m. (GMT+2, Rome Time) Stipend: The research fellowship amounts to 24,400.00 Euros per year, including taxes and social charges. Abstract: This project studies the design of incentive systems for agents holding misspecified models or having access only to partial representations of the environment. The agents may be part of teams, organizations, markets, or more general game-theoretic contexts. Relevant information for applicants is available in English ( https://apps.unive.it/common2/file/download/assegni_ricerca/5d6389ca17abb) and in Italian ( https://apps.unive.it/common2/file/download/assegni_ricerca/5d6389ca176fe). __________________________________ Marco Li Calzi Department of Management Università Ca' Foscari Venezia San Giobbe, Cannaregio 873 30121 Venezia, Italy Tel.: (+39) 041 234-6925 Fax: (+39) 041 234-7444 E-mail: licalzi(a)unive.it WWW: http://mizar.unive.it/licalzi -- Nota automatica aggiunta dal sistema di posta.

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Conference on Assessing and Managing Climate Change Risk - Venice 26/27 September 2019
by Monica Billio 27 Aug '19

27 Aug '19

18^th INTERNATIONAL CONFERENCE CREDIT 2019 */Assessing and Managing Climate Change Risk: /* */Opportunities for Financial Institutions/* ** Venice, Italy 26 –27 September 2019 *GRETA Associati *(Venice, Italy), *European DataWarehouse* (Frankfurt am Main, Germany), *Intesa Sanpaolo *(Milan, Italy) and *S&P Global Market Intelligence* (London, UK) are co-sponsors of a Conference to be held in Venice on September 26-27, 2019. The objective of the Conference is to bring together academics, practitioners and Ph.D. students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent financial and atmospheric events and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca’ Foscari of Venice*, *ABI - Italian Banking Association*, *AIAF - Associazione Italiana per l'Analisi Finanziaria* (Milan, Italy)**and the *Joint Research Center, European Commission *(Ispra, Italy), is the *eighteenth* of a series dedicated to various aspects of credit risk. //The adoption of the Paris Agreement on climate change and the UN 2030 Agenda for Sustainable Development marks a historical international commitment to the objective of a more sustainable economy and society. How to mobilise the necessary financing for green and sustainable investments is thus a primary need. // //Meanwhile, Regulators are discussing about a green-supporting or a brown-penalising factor since they want to make sure financial institutions are prepared. It is to find the way to support sustainable investments but it is primarily a discussion about credit risk.// //The banking and insurance industries and more in general the financial sector has to develop new asset management strategies and to adjust their credit allocation practices to cope with these new challenges and take advantage of the new opportunities. All t////hese changes call for a substantial amount of research to improve the knowledge of the mechanisms at play and to design adapted policy tools.//// The SCIENTIFIC COMMITTEE consists of: ·*Carlo Carraro*(Ca’ Foscari University of Venice & CMCC, Programme Chair)** ·*Stefano Battiston *(University of Zurich) ·*Monica Billio *(Ca’ Foscari University of Venice & GRETA) ·*Francesca Campolongo *(Joint Research Center, European Commission) ·*Robert Engle *(New York University) ·*Thomas Heller *(Climate Policy Initiative & Stanford University) ·*Andreas Hoepner*(University College Dublin) ·*StevenOngena *(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) ·*StephenSchaefer *(London Business School) ·*Cristiano Zazzara*(S&P Global Market Intelligence, New York) PROGRAMME *Thursday, September 26 2019* 08.30 - 09.00 _Registration_ 09.00 - 09.15 _Welcome_: *Michele Bugliesi* (Rector, Ca’ Foscari University of Venice) _Opening Remarks:_ *Carlo Carraro* (Ca’ Foscari University of Venice & CMCC, Programme Chair) 09.15 - 11.00 _Session I: BANKS AND CREDIT RISK_ Chairman: *Monica Billio* (Ca’ Foscari University of Venice & GRETA) •*Key-note talk:*/Banks and Climate Risk/, *Til Schuermann* (Oliver Wyman, New York) •/Climate Change and Credit Risk/, Giusy Capasso (Bocconi University)and *Gianfranco Gianfrate* (EDHEC Business School, Nice) - _Discussant:_*Roberto Panzica* (European Commission) •/Relaxing Credit Constraints: Credit Risk, Financial Intermediation Quality, and Environmental Impact/, *Ashay Kadam* (Indian Institute of Management at Udaipur)and Magdalena Pisa (WHU - Otto Beisheim School of Management) - _Discussant:_ *Andrea Giacomelli* (Knowshape, Venice) 11.30 - 13.15 _Session II: CLIMATE RISK AND EQUITY MARKETS_ Chairman: *Carlo Carraro* (Ca’ Foscari University of Venice & CMCC, Programme Chair) •*Key-note talk*: /New Results on Sustainable Investing/, *Robert Engle* (New York University) •/Climate Risks and Stock Returns/, Eugenio Carnemolla (University of Lausanne)and *Giuseppe Vinci* (Rice University, Houston) - _Discussant:_ *Massimiliano Caporin* (University of Padua) •/Investor Ownership and Carbon-Intensive Stocks: Who Holds the Carbon Risk Bomb?/, Lukas Benz (University of Augsburg), Stefan Paulus (University of Augsburg), Julia Scherer (University of Augsburg), Janik Syryca (University of Augsburg)and *Stefan Trück* (Macquarie University, Sidney) - _Discussant:_ *Thomas Heller* (Climate Policy Initiative & Stanford University) 14.15 - 15.45 _Session III: CLIMATE POLICY RISK_ Chairman: *Reinhard Harry Schmidt* (SAFE - Goethe University Frankfurt) •/Being Stranded with Fossil Fuel Reserves? Climate Policy Risk and the Pricing of Bank Loans/, *Manthos D. Delis* (Montpellier Business School), Kathrin de Greiff (University of Zurich & Swiss Finance Institute)and Steven Ongena (University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) - _Discussant:_ *Cristiano Zazzara* (S&P Global Market Intelligence, London) •/Assessing Sustainable Finance Policies Via a Stock-flow Consistent Macro Model with Portfolio Choice/, Nepomuk Dunz (Wirtschaftsuniversität Wien), Irene Monasterolo (Wirtschaftsuniversität Wien)and *Marco Raberto* (University of Genoa) - _Discussant:_ *Carlo Giupponi* (Ca’ Foscari University of Venice) •/Carbon Pricing Paths /to a/Greener Future /and/Potential Roadblocks /to/Public Companies Credit-Worthiness/, *Giorgio Baldassarri Höger von Högersthal* (S&P Global Market Intelligence, London), Arsene Lui (S&P Global Market Intelligence, London), Hrvoje Tomicic (S&P Global Market Intelligence, London), Luka Vidovic (S&P Global Market Intelligence, London)and Cristiano Zazzara (S&P Global Market Intelligence, London) - _Discussant:_ *Anant K. Sundaram* (Dartmouth College) 15.45 - 16.30 _POSTER SESSION_ 16.30 - 18.15 _Session IV: CLIMATE CHANGE AND ASSET PRICES _ Chairman: *Stephen Schaefer* (London Business School) •*Key-note talk:*/ESG Engagement and Downside Risk/, *Andreas Hoepner*(University College Dublin) •/Is Firm-level Clean or Dirty Innovation Valued More?/, Antoine Dechezleprêtre (London**School of Economics), Cal B. Muckley (University College Dublin)and *Parvati Neelakantan* (University College Dublin) - _Discussant:_ *Marti G. Subrahmanyam* (New York University) •/ESG and Corporate Credit Spreads/, Florian Barth (Friedrich-Alexander Universität Erlangen-Nürnberg), *Benjamin Hübel* (Friedrich-Alexander Universität Erlangen-Nürnberg)and Hendrik Scholz (Friedrich-Alexander Universität Erlangen-Nürnberg) - _Discussant:_ *Loriana Pelizzon* (SAFE - Goethe University Frankfurt) _Social dinner at the Hotel Monaco: _*Speech *by*Ignazio Visco* (Governor, Bank of Italy) *Friday, September 27 2019* 09.00 - 10.45 _Session V: CLIMATE RISK PRICING AND ASSESSMENT_ Chairman: *Andrea Gasperini* (AIAF, Milan) •*Key-note talk:*/A Climate Finance Risk Assessment and Management Approach under Uncertainty/, *Irene Monasterolo* (Wirtschaftsuniversität Wien) •/The Greenium Matters: Evidence on the Pricing of Climate Risk/, *Lucia Alessi* (European Commission), Elisa Ossola (European Commission)and Roberto Panzica (European Commission) - _Discussant:_ *Andreas Hoepner* (University College Dublin) •/Climate Risk and Financial Stability in the Network of Banks and Investment Funds/, Alan Roncoroni (University of Zurich), *Stefano Battiston* (University of Zurich), Luis Onésimo Leonardo Escobar Farfán (Banco de Mexico)and Serafin Martinez Jaramillo (Banco de Mexico & Centro de Estudios Monetarios Latinoamericanos) - _Discussant:_ *Matteo Manera* (University of Milano-Bicocca) 11.15 - 12.45 _PANEL Session: CLIMATE CHANGE RISK: THE POLICY MAKERS' POINT OF VIEW_ Moderator: *Francesca Campolongo* (Joint Research Center, European Commission) _Participants:_ *Sergio Nicoletti Altimari*(European Central Bank) *Mattia Romani*(European Bank for Reconstruction and Development) *Nancy Saich*(European Investment Bank) *Manuela Zweimueller*(European Insurance and Occupational Pensions Authority) *Mario Nava*(European Commission)will contribute a video message 13.45 - 15.15 _Session VI: LENDING AND CLIMATE CHANGE_ Chairman: *Giulio Mignola* (Intesa Sanpaolo, Turin) •/High Water, No Marks? Biased Lending After Extreme Weather/, Nicola Garbarino (Bank of England)and *Benjamin Guin* (Bank of England) - _Discussant:_ *Steven Ongena* (University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) •/Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case/, Monica Billio (Ca’ Foscari University of Venice & GRETA), *Michele Costola* (SAFE - Goethe University Frankfurt), Loriana Pelizzon (SAFE - Goethe University Frankfurt)and Max Riedel (SAFE - Goethe University Frankfurt & Ca' Foscari University of Venice)- _Discussant:_ *Olivier De Jonghe* (National Bank of Belgium & Tilburg University) •/Climate Change and Bank Lending: the Case of Flood Risk in Italy, /*Ivan Faiella*(Bank of Italy)and Filippo Natoli (Bank of Italy) - _Discussant:_ *Malcolm Mistry* (Ca’ Foscari University of Venice & CMCC) 15.45 - 17.15 _PANEL Session Practice: CLIMATE CHANGE RISK: A PRACTITIONERS’ VIEW_ Moderator: *Isabella Bufacchi* (Il Sole 24 Ore) _Participants:_ *Mark Carhart*(Kepos Capital, New York) *Carlo Carraro*(Ca’ Foscari University of Venice & CMCC) *Robert Engle*(New York University) *Giulio Mignola*(Intesa Sanpaolo, Turin) *Jobst Neuss*(European Investment Fund, Luxembourg) *Til Schuermann*(Oliver Wyman, New York) *Cristiano Zazzara*(S&P Global Market Intelligence, New York) 17.15 - 18.15 _Session VII: CLIMATE CHANGE AND BOND MARKET_ Chairman: *Ludovic Thebault* (European DataWarehouse) •/Climate Change Implications for the Catastrophe Bonds Market: An Empirical Analysis/, *Claudio Morana* (University of Milano-Bicocca, Center for Research on Pensions and Welfare Policies & Rimini Centre for Economic Analysis)and Giacomo Sbrana (NEOMA Business School) - _Discussant:_ *Luca De Angelis* (University of Bologna) •/The Pricing of Green Bonds: Are Financial Institutions Special?/, Serena Fatica(European Commission), Roberto Panzica (European Commission)and *Michela Rancan* (European Commission) - _Discussant:_ *Marcello Pericoli* (Bank of Italy) _End of conference - *Exclusive visit to the Venetian Collection of Intesa Sanpaolo* and cocktail at the Querini Stampalia_ __ REGISTRATION To register for the Conference you are requested to complete the registration form that is available on our website (http://www.greta.it/credit/credit2019/credit2019.htm). Registration fees are: Early registration (within August 31st) Late registration (from September 1st on) Academics: 250 Euro + VAT 300 Euro + VAT Practitioners: 800 Euro + VAT 1000 Euro + VAT Academics Poster Presenter: 150 Euro + VAT 200 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT 500 Euro + VAT PhD Students*: 100 Euro + VAT 150 Euro + VAT *VAT is currently 22% * *Students will have to provide valid proof of their student status. The registration fees cover: Admission to all scientific sessions, Lunches and coffee service during the Conference and Conference kit. The registration fees do not fully cover the conference dinner on *September 26th, 2019*, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons). More detailed information soon available on the Conference website: http://www.greta.it/credit/credit2019/credit2019.htm -- -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mail billio(a)unive.it http://www.unive.it/persone/billio http://ideas.repec.org/e/pbi55.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=303041 http://scholar.google.it/citations?user=ll83_twAAAAJ&hl=en CREDIT 2019 http://www.greta.it/credit/credit2019/credit2019.htm -- Nota automatica aggiunta dal sistema di posta.

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open position: Substitute lecturer in mathematical statistics - University of Gothenburg
by Antonio DI CRESCENZO 26 Aug '19

26 Aug '19

OPEN POSITION: Substitute lecturer in mathematical statistics Employment level: Fixed term Location: Department of Mathematical Sciences, University of Gothenburg Apply by: 2019-08-31 web: https://www.gu.se/english/about_the_university/job-opportunities/vacancies-… ============================================= Antonio Di Crescenzo Dipartimento di Matematica Università degli Studi di Salerno Via Giovanni Paolo II, n. 132 <https://maps.google.com/?q=Via+Giovanni+Paolo+II,+n.+132+%0D%0A84084+Fiscia…> 84084 Fisciano (SA) Italy Tel. +39-089-963349 Fax: +39-089-963303 E-mail(1): adicrescenzo(a)unisa.it E-mail(2): adicresc(a)gmail.com Web: http://www.unisa.it/docenti/antoniodicrescenzo/index =============================================

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Concorso RTD.B - UPO (scadenza 22/09/2019)
by enea giuseppe bongiorno 26 Aug '19

26 Aug '19

*Concorso RTD.B - SC: 13/D1 - SSD: SECS-S/01 (Statistica)* *Università del Piemonte Orientale* Cari colleghi, con la presente si informa che è stato pubblicato il bando per un posto di ricercatore a tempo determinato, lettera B, per il settore concorsuale 13/D1 (Statistica), settore scientifico disciplinare SECS-S/01 (Statistica) presso il Dipartimento di Studi per l'Economia e l'Impresa (DiSEI) dell'Università del Piemonte Orientale. Il bando è disponibile alla pagina: https://www.uniupo.it/alta-formazione-aziende-lavoro/concorsi/concorsi-il-p… Le domande di partecipazione devono essere inviate entro il *22/09/2019* (ore 23.59). Si prega di diffondere la comunicazione tra i potenziali interessati. Cordiali saluti, Enea Bongiorno -- Università degli Studi del Piemonte Orientale Via Perrone 18, 28100, Novara, Italia Tel: +390321375317 <0321%20375317> e-mail: enea.bongiorno(a)uniupo.it web: upobook.uniupo.it/enea.bongiorno

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Seminario di Sam Thomas a Roma Tre 2 settembre ore 14:30
by Pietro Caputo 26 Aug '19

26 Aug '19

SEMINARIO Probabilita' Sam Thomas (Cambridge, UK) Titolo: Cutoff for Random Walk on Random Cayley Graphs Lunedi' 02 Settembre 2019 ORE 14:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Largo San Leonardo Murialdo,1 - Pal.C - Aula 211 Abstract Consider the random Cayley graph of a finite group $G$ with respect to $k$ generators chosen uniformly at random, with $1 ll log k ll log|G|$: the vertices are the group elements, and $g,h in G$ are connected if there exists a generator $z$ so that $g = hz$ or $gz = h$. A conjecture of Aldous and Diaconis asserts that the simple random walk on this graph exhibits cutoff, at a time which depends only on $|G|$ and $k$, not on the algebraic structure of the group $G$ (ie universally in $G$). We verify this conjecture for a wide class of Abelian groups. Time permitting, we discuss extensions to the case where the underlying group $G$ is non-Abelian. There the cutoff time cannot be written only as a function of $|G|$ and of $k$; it depends on the algebraic structure. This is joint work with Jonathan Hermon.

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Cirm conference PDE/Probability, last announcement
by Pietro Caputo 24 Aug '19

24 Aug '19

Dear colleagues, There will be a conference at CIRM on October 14-18 on PDE/Probability interactions, with a focus on particle systems and hyperbolic conservation laws. Pre-registration is open until early september on the website: https://conferences.cirm-math.fr/2083.html There will be two mini courses, by Christophe Bahadoran (Université Clermont-Auvergne) and Alexis Vasseur (University of Texas at Austin), as well as talks by Boris Andreianov (Université de Tours) Raphael Butez (Weizmann Institute of Science) Laura Caravenna (Universita degli Studi di Padova) Kleber Carrapatoso (Université de Montpellier) Djalil Chafaï (Université Paris-Dauphine) Helge Dietert (Université Paris Diderot) Jean Dolbeault (Université Paris-Dauphine) Mitia Duerinckx (ENS Lyon et Université Libre de Bruxelles) Nicolas Fournier (Sorbonne Université) Cyril Labbé (Université Paris-Dauphine) Mauro Mariani (Higher School of Economics, Moscow) William Ocafrain (Université Paul Sabatier, Toulouse) Felix Otto (Max Planck Institute for Mathematics in the Sciences, Leipzig) Fraydoun Rezakhanlou (University of California, Berkeley) Samir Salem (Université Paul Sabatier, Toulouse) Marielle Simon (Inria Lille-Nord Europe) Ariane Trescases (Université Paul Sabatier, Toulouse) Please pass on this announcement to anyone who might be interested in the conference, in particular PhD students. Apologies if you receive this announcement multiple times. Best wishes, Pietro Caputo, Max Fathi, Arnaud Guillin and Julien Reygner <https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campai…> Garanti sans virus. www.avast.com <https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campai…> <#m_-7676172159550020676_DAB4FAD8-2DD7-40BB-A1B8-4E2AA1F9FDF2>

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Seminario Prof. Macci 6/9/19 ore 15:30 Insubria University
by Elisa Mastrogiacomo 21 Aug '19

21 Aug '19

Seminar announcement: Macci on Large deviations for risk measures models – September 6, 2019 - 15.30-16.30 Dear Colleagues, On September 6, 2019, 15.30-16.30, Prof. Claudio Macci (University of Roma Tor Vergata) will give a talk on “Large deviations for risk measures in finite mixture models” (joint with Valeria Bignozzi and Lea Petrella). Insubria University Dept. Economics, Via Monte Generoso 71 Sala del Consiglio primo piano Below you find an abstract of Claudio’s paper. You are all invited. Best regards, Elisa Mastrogiacomo Abstract Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data. If a risk measure is evaluated on the estimated mixture instead of the (unknown) true one, then it is important to investigate the committed error. In this paper we study the asymptotic behaviour of estimated risk measures, as the data sample size tends to infinity, in the fashion of large deviations. We obtain large deviation results by applying the contraction principle, and the rate functions are given by a suitable variational formula; explicit expressions are available for mixtures of two models. Finally, our results are applied to the most common risk measures, namely the quantiles, the expected shortfall and the shortfall risk measure.

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