Planning (tentative)
| Time |
Event |
|
|
09:30 - 10:30
|
Thematic Session: finance - H. Lam, P. Nyquist, C. Rey (Amphitheater Bilski-Pasquier) |
|
|
11:00 - 12:00
|
Thematic Session: finance - H. Lam, P. Nyquist, C. Rey (Amphitheater Bilski-Pasquier) |
|
|
11:00 - 11:30 |
› Meta-model for a large credit portofolio - Clément Rey, Centre de Mathématiques Appliquées - Ecole Polytechnique |
|
|
11:30 - 12:00 |
› On the Impacts of Tail Model Uncertainty in Rare-Event Estimation - Henry Lam, Columbia University |
|
|
13:00 - 13:55
|
Poster session (Reception room Marie Curie) |
|
|
14:00 - 15:00
|
Thematic session: sequential Monte Carlo, particle methods - Stéphane Girard, P. Lecuyer, M. Rousset, N. Whiteley (Amphitheater Bilski-Pasquier) |
|
|
14:00 - 15:00 |
› The Viterbi process and parallelized estimation - Nick Whiteley, Institute for Statistical Science |
|
|
15:05 - 16:05
|
Contributed talks (Amphitheater Bilski-Pasquier) |
|
|
16:30 - 18:00
|
Thematic session: sequential Monte Carlo, particle methods - Stéphane Girard, P. Lecuyer, M. Rousset, N. Whiteley (Amphitheater Bilski-Pasquier) |
|
|
16:30 - 17:00 |
› Asymptotic normality of some splitting particle methods. - Mathias Rousset, Institut de Recherche en Informatique et Systèmes Aléatoires |
|
|
18:00 - 20:00
|
Cocktail (Reception room Marie Curie) |
|
| Time |
Event |
|
|
09:00 - 10:00
|
Thematic session: insurance - H. Albrecher, E. Di Bernardino, R. Targino, S. Weber (Amphitheater Bilski-Pasquier) |
|
|
10:30 - 12:00
|
Thematic session: insurance - H. Albrecher, E. Di Bernardino, R. Targino, S. Weber (Amphitheater Bilski-Pasquier) |
|
|
10:30 - 11:00 |
› Non-parametric Estimation of Multivariate Extreme Risk Measures - Elena Di Bernardino, Conservatoire national des arts et métiers (CNAM) |
|
|
11:00 - 11:30 |
› The capital allocation problem in Insurance and Finance - Rodrigo Targino, Fundacao Getulio Vargas [Rio de Janeiro] |
|
|
13:00 - 13:55
|
Poster session (Reception room Marie Curie) |
|
|
14:00 - 15:00
|
Thematic session: large deviations - M. Cameron, J. Collamore, K. Ramanan, H. Touchette (Amphitheater Bilski-Pasquier) |
|
|
14:00 - 15:00 |
› Large deviation estimators and their efficiency - Hugo Touchette, Stellenbosch University |
|
|
15:05 - 16:05
|
Contributed talks (Amphitheater Bilski-Pasquier) |
|
|
15:05 - 15:25 |
› Importance Sampling for McKean-Vlasov SDEs - Goncalo dos Reis, Edinburgh Univ. |
|
|
15:25 - 15:45 |
› Network simulator using the RESTART method - Jose Villén-Altamirano, Universidad Politécnica de Madrid |
|
|
15:45 - 16:05 |
› Exponential and Convolution Estimators of Risk Measures for Hitting Times to Rarely Visited Sets of Regenerative Systems - Marvin Nakayama, New Jersey Institute of Technology |
|
|
16:30 - 18:00
|
Thematic session: large deviations - M. Cameron, J. Collamore, K. Ramanan, H. Touchette (Amphitheater Bilski-Pasquier) |
|
| Time |
Event |
|
|
09:00 - 10:00
|
Thematic session: climate, environment - F. Bouchet, V. Chavez, P. Naveau (Amphitheater Bilski-Pasquier) |
|
|
10:30 - 11:30
|
Thematic session: climate, environment - F. Bouchet, V. Chavez, P. Naveau (Amphitheater Bilski-Pasquier) |
|
|
13:30 - 16:00
|
Thematic session: industrial applications - E. Dumonteil, Sylvain Girard, D. Moncoulon, S. Parey (Amphitheater Bilski-Pasquier) |
|
|
16:30 - 18:30
|
Round table: climate risk (Amphitheater Bilski-Pasquier) |
|
|
19:30 - 23:00
|
Banquet (for speakers only) |
|
| Time |
Event |
|
|
09:00 - 10:00
|
Thematic session: statistical physics - D. Aristoff, A. Duncan, S. Grosskinsky, R. Harris (Amphitheater Bilski-Pasquier) |
|
|
10:30 - 12:00
|
Thematic session: statistical physics - D. Aristoff, A. Duncan, S. Grosskinsky, R. Harris (Amphitheater Bilski-Pasquier) |
|
|
13:00 - 13:55
|
Poster session (Reception room Marie Curie) |
|
|
14:00 - 15:00
|
Thematic session: reliability, uncertainty - J. Garnier, I. Papaionnou, C. Prieur, B. Sudret (Amphitheater Bilski-Pasquier) |
|
|
15:05 - 16:05
|
Contributed talks (Amphitheater Bilski-Pasquier) |
|
|
16:30 - 18:00
|
Thematic session: reliability, uncertainty - J. Garnier, I. Papaionnou, C. Prieur, B. Sudret (Amphitheater Bilski-Pasquier) |
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