Tuesday, May 26, 2020

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)  

Wednesday, May 27, 2020

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)  

Thursday, May 28, 2020

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)  

Friday, May 29, 2020

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)