Mini-Symposium 26:

Actuarial and Financial Risk Theory with Applications

Abstract:

Risk theory refers to a body of techniques to model and measure the risk associated with a portfolio of insurance contracts. Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. In the theory of complete market, hedging and arbitrage free pricing are two sides of the same problem: the arbitrage-free price of a contingent claim equals the price of the hedging portfolio. However, a realistic model is incomplete, i.e., derivatives will carry intrinsic risk which cannot be hedged completely. One of the central problems in Actuarial and financial risk theory is: How to measure and manage risk in a proper way? Hence, in the current environment of highly uncertain fiancial and actuarial models, there is a need of reliable approach to risk management and measurement.

The mini-symposium aims at bringing experts working in this area, to present new research ideas, to give and receive recommendations on recent topics of interest in the field. It would also be a great opportunity to identify new research directions on both fundamental and practical questions in the rapidly growing fields of Financial and Actuarial Risk Theory. The main areas been: models of risk and uncertainty, computational and practitioners issues, portfolio optimization, longevity and catastrophic bonds

Organisers:

Olivier Menoukeu Pamen
Institute for Financial and Actuarial Mathematics (IFAM), University of Liverpool, United Kingdom.
menoukeu@liverpool.ac.uk
Athanasios Pantelous
Institute for Financial and Actuarial Mathematics (IFAM), University of Liverpool, United Kingdom.
aap@liverpool.ac.uk
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ICVRAM2014 Conference timeline:


30th November 2013:
ASCE Full paper submission
15th February 2014:
Deposit and/or early bird registration deadline
1st of May 2014:
Full paper submission (not included in the ASCE proceedings)
1st June 2014:
Scientific programme
13th-16th July 2014:
Conference
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