Risk: modelling, optimization and inference - UNSW-CSIRO WORKSHOP


Thursday, 11 December 2014 - 9:00am to Friday, 12 December 2014 - 5:00pm


Lecture Theatre A, Webster Building, UNSW


Risk: modelling, optimization and inference

 (with applications in Finance, Insurance and Superannuation)

About the workshop:

In the wake of the latest financial crisis, hurricane damage, the growing number and severity of bushfires and floods, the benefits from risk management are well understood by the community. Modelling and assessing risk, risk evaluation and estimation is a current issue for many diverse industries. The role of academics is to provide useful fundamental research in this area that is to be implemented in the industry. One of the most important application areas are Finance, Insurance and Superannuation.  

A joint UNSW-CSIRO workshop titled Risk: modelling, optimization and inference, was held at UNSW in July 2012. Workshop organisers were Associate Professor Spiridon Penev from the Department of Statistics (UNSW) and Pavel Shevchenko (CSIRO, Adjunct Professor at UNSW). It was a success and the organisers hope to build on the previous experience to organise the second workshop on 11th-12th December 2014 at UNSW. This time Professor Michael Sherris from the School of Risk and Actuarial Studies and the ARC Centre of Excellence in Population Ageing Research, UNSW, and Professor Pierre Del Moral (Department of Statistics, UNSW) will also be involved in organising the workshop.

The level of the talks will be suitable for postgraduate (and advanced undergraduate) students, as well as for researchers and practitioners, particularly from the Finance, Insurance, and Superannuation Industries, who would like to learn more about the mathematical, statistical and operations research aspects of risk.

Leading experts in the above areas will give presentations at the workshop. The workshop’s dates are chosen to be close to the dates of the annual Quantitative Methods in Finance conference (QMF) that will be held in Sydney on 17th-20th December 2014. This will make it convenient for some selected conference speakers to attend the workshop and to give talks.

The following speakers will deliver talks at the workshop:

Professor Umberto Cherubini (University of Bologna, Italy)

Professor Pierre Del Moral (UNSW, Australia)

Professor Arnaud Doucet (Oxford University, UK) 

Professor Robert Elliott (University of Adelaide, Australia)

Professor Jean-Pierre Fouque (University of California Santa Barbara, USA)

Professor Gary Froyland (UNSW, Australia)

Professor Ben Goldys (The University of Sydney, Australia)

Professor Michael Hanke (University of Liechtenstein, Liechtenstein)

Professor Monique Jeanblanc (Evry University, Evry, France)

Professor Robert Kohn (UNSW, Australia)

Professor Geoff Kingston (Macquarie University, Australia)

Professor Arturo Kohatsu-Higa (Ritsumeikan University, Japan) 

Professor Ermanno Pitacco (University of Trieste, Italy)

Professor Marek Rutkowski (The University of Sydney, Australia)

Professor Michael Sherris (UNSW, Australia)

Professor Pavel Shevchenko (CSIRO-Sydney, Australia)



- No charge for students (but registration is required)

- $100 early bird registration charge for academics/industry participants before 15th September 2014

- $150 dollars registration fee for academics/industry participants after 15th September 2014.

Lectures will be 40 minutes long. A limited number of contributed talks may be accepted. If you are interested in giving a talk, please contact the organisers:

Associate Professor Spiridon Penev: s.penev@unsw.edu.au

Dr Libo Li: libo.li@unsw.edu.au 

                                    UNSW logo CSIRO logo