| 09:00 - 10:00 |
Chair: Athanasios Pantelous, University of Liverpool, UK
Invited Talk
Models for the Economics of Resilience: From Assets to Socioeconomics
Bilal M. Ayyub, University of Maryland College Park, USA
|
| 10:00 - 10:30 |
Coffee break |
| 10:30 - 11:50 |
Session 4: Actuarial Science – Risk Analysis
Chair: Bilal M. Ayyub, University of Maryland College Park, USA
|
| Talk 1 |
Claims reserving with a stochastic vector projection and its generalization
Luis Portugal, University of Liverpool, UK
Athanasios A. Pantelous, University of Liverpool, UK
Hirbod Assa, University of Liverpool, UK
|
| Talk 2 |
Evaluating How Past Experiences and the Presentation of Risk Information Affects Insurance Choices
Jennifer F. Helgeson, National Institute of Standards and Technology (NIST), USA
|
| Talk 3 |
Factoring Lifestyle Risk in Mortality Modelling
Norazliani Md Lazam, University of Liverpool, UK
Athanasios A. Pantelous, University of Liverpool, UK
Colin O’Hare, Monash University, Australia
|
| Talk 4 |
Modelling Australian retirement outcomes
Colin O’Hare, Monash University, Australia
Thomas Sneddon, CSIRO, Australia
Zili Zho, CSIRO, Australia
|
| 11:50 - 12:05 |
Break |
| 12:05 - 13:25 |
Session 5: Quantitative Finance I
Chair: Hans-Jörg von Mettenheim, Leibniz University of Hanover, Germany
|
| Talk 1 |
Sets of Indistinguishable Models for Robust Optimisation
Anne G. Balter, Maastricht University, The Netherlands
Antoon A. J. Pelsser, Maastricht University, The Netherlands
|
| Talk 2 |
Estimation of Parameters in a Structural Credit Risk Model with Non-linear Filters
Zulfya Davidova, FernUniversity in Hagen, Germany
|
| Talk 3 |
Some observations on the approximations of the Wiener path integral technique
Antonios T. Meimaris, University of Liverpool, UK
Ioannis A. Kougioumtzoglou, Columbia University, USA
Athanasios A. Pantelous, University of Liverpool, UK
|
| Talk 4 |
Potential Games with Aggregation in Non-cooperative General Insurance Markets
Renchao Wu, University of Liverpool, UK
Athanasios A. Pantelous, University of Liverpool, UK
|
| 13:25 - 15:00 |
Lunch break |
| 15:00 - 17:00 |
Session 6: Quantitative Finance II
Chair: Jason Laws, University of Liverpool, UK
|
| Talk 1 |
Optimal timing of exercising a financial option contract under an experimental framework
Konstantina Mari, University of York, UK
John Hey, University of York, UK
|
| Talk 2 |
Horizontal Visibility Graph Analysis of S&P 500 Index time series
Michail D. Vamvakaris, University of Liverpool, UK
Athanasios A. Pantelous, University of Liverpool, UK
Konstantin Zuev, Caltech University, USA
|
| Talk 3 |
Dynamic Asset Allocation under Disappointment Aversion Prefer-ences: International evidence
Soosung Hwang, Sungkyunkwan University, Korea
Nikolaos Karagiannis, University of Liverpool, UK
Vasileios Kontosakos, University of Liverpool, UK
Athanasios A Pantelous, University of Liverpool, UK
|
| Talk 4 |
The Effect of Regulatory and Risk Management Advancement on Non-Performing Loans in European Banking, 2000-2011
Didar Erdinç, American University in Bulgaria, Bulgaria
Andrey Gurov, American University in Bulgaria, Bulgaria
|
| Talk 5 |
Dynamic Optimization of Asset Allocation Strategies under Down-side Risk Control: An Application to Futures Markets
Rainer A. Schüssler, Helmut Schmidt University, Germany
|
| Talk 6 |
Linear and nonlinear relations among financial assets
Stavros Stavroglou, University of Liverpool, UK
Athanasios A. Pantelous, University of Liverpool, UK
Kimmo Soramäki, FNA London, UK
Konstantin Zuev, Caltech University, USA
|
