Location
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Presentation
During the last three decades and in a technological and economical complex world, mathematical models play an important role in the decision-making tools. Indeed, whether to develop and calibrate models, measure and control risks associated with economic phenomena or financial instruments, mathematical tools provide skills highly appreciated to better understand these phenomena and improve prediction of their inherent risks.
In particular, in spite of the financial crisis, probabilistic methods (Brownian motion, stochastic calculus, Malliavin calculus, ...) provide modeling complex phenomena arising from the insurance business and financial industry. Once these models are in place, the methods from mathematical statistics (test, parameter estimation, ...) allow the validation and calibration of these models (estimate from actual data the parameters of a model).
The Cadi Ayyad University (UCA) organizes in collaboration with the International Center of Pure and Applied Mathematics (CIMPA), a spring school on "Statistical Methods and Applications in Insurance and Finance" from 8 to 20 April 2013.
Administrative and scientific coordinators
Scientific program
Course 1: "An Introduction to Stochastic Differential Equations and Applications", Hans-Juergen Engelbert (Friedrich-Schiller-University, Jena, Germany)
Course 2: "Lévy driven finance theory (equity, interest rate theory, credit, reserve capital)", Ernst Eberlein (University of Freiburg, Germany)
Course 3: "How to Model a Financial Bubble Mathematically", Philip Protter (Columbia University, USA)
Course 4: "Statistical estimation techniques in life and non-life insurance - An overview", Boualem Djehiche (KTH, Stockholm, Sweden)
Course 5: "Valorisation et couverture dans les modèles de taux d’intérêt", Nicolas Privault (Nanyang Technological University, Singapore)
Course 6: "La science de l’actuariat adopte les outils de finance quantitative pour la couverture pratique du risque", Frederi Viens (Purdue University, West Lafayette, USA)