Institute for Financial and Actuarial Mathematics
Department of Mathematical Sciences
Actuarial & Financial Mathematics 2012:
Theory & Applications
 
 Photos from the Workshop

Thursday 7th June 2012, Liverpool, UK

Workshop supported by the RCMM & School of Physical Sciences

Chairman: Dr Athanasios Pantelous

09:00 - 09:15: Welcome Speech Dr. Athanasios Pantelous (Institute for Financial and Actuarial Mathematics, Department of Mathematical Sciences, University of Liverpool, UK.)

09:15 - 09:55: Hon. Prof. Hans Gerber (Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, Switzerland & University of Hong-Kong, Hong-Kong) The Omega model: From bankruptcy to occupation times in the red.

10:00 - 10:40: Prof. Michael Beer (Institute for Risk and Uncertainty, School of Engineering, University of Liverpool, UK) Making reasonable decisions in a vague environment-discussed from an engineering perspective.

10:40 - 11:10 : Coffee Break

Chairman: Dr Corina Constantinescu

11:15 - 11:55: Prof. Hansjoerg Albrecher (Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, Switzerland) Premium calculation and risk margins under solvency constraints.

12:00 - 12:25: Prof. Jan Wenzelburger (Management School, University of Liverpool, UK) Existence and Uniqueness in the CAPM with Non-Tradable Endowments.

12:30 - 12:55: Dr. Ronnie Loeffen (School of Mathematics, University of Manchester, UK.) Optimal dividends with absolutely continuous strategies.

13:00 - 14:00 : Lunch Break

Chairman: Prof. Hansjoerg Albrecher

14:00 - 14:25: Dr. Andreas Tsanakas (Faculty of Actuarial Science and Insurance, Cass Business School, City University, London UK) Parameter uncertainty and solvency risk.

14:30 - 14:55: Dr. Bujar Gashi (Department of Mathematical Sciences, University of Liverpool, UK.) Optimal investment with smooth trading strategies.

15:00 - 15:25: Dr. Sultan Hussain (COMSATS Institute of Information Technology Abbottabad, Pakistan) Regularity of the American Option Value Function and Hedging Error of the American Put Option in Jump-Diffusion Process.

15:30 - 15:45: Coffee Break

Chairman: Prof. Michael Beer

15:50 - 16:15: Dr. Apostolos Papaioannou (Institute for Financial and Actuarial Mathematics, Department of Mathematical Sciences, University of Liverpool, UK.) Analysis of the Gerber-Shiu function in a perturbed delayed risk model.

16:20 - 16:45: Dr. David Siska (Institute for Financial and Actuarial Mathematics, Department of Mathematical Sciences, University of Liverpool, UK.) Estimates for Approximations of American Put Option Price.

16:50 - 17:00: Final Remarks, Dr. Athanasios Pantelous (Institute for Financial and Actuarial Mathematics, Department of Mathematical Sciences, University of Liverpool, UK.).

 

Event Place: University of Liverpool, Mathematical Sciences Building, Room MATH-027. Each talk will last approximately 25 (or 40) mins 20 (or 35) mins presentation + 5 mins for questions and discussion).

You are more than welcome!!

 

        Contact Information:

       If you have any questions please write to Dr. C. Constantinescu - Dr. Apostolos Papaioannou      

e-mail: c.constantinescu@liverpool.ac.uk - papaion@liverpool.ac.uk