Im Rahmen des Berufungsverfahren fuer eine
Professur aus Versicherungsmathematik
and der TU Wien finden folgende Vortraege statt:
===================================================================
Freitag, 1. Maerz 2002, 13:15,
Freihaus HS 8 (Noebauer-Hoersaal), 2. Stock, gelber Bereich
http://www.wegweiser.ac.at/tuwien/hoersaal/F8.html
Wiedner Hauptstr. 8-10, 1040 Wien
Jeffrey Collamore (ETH-Zuerich)
Extremal Behavior of Multidimensional Risk Processes
In the classical ruin problem of collective risk theory,
an insurance company gains capital from premiums income and loses
capital as a result of claims; one then studies the probability that
the company's total capital ever falls below zero, i.e.,
P{S(t) < -m, for some t}, where S(t) is a positive-drift Levy process
and m is the company's initial capital.
In this talk I will discuss various generalizations of this
problem to higher dimensional settings. The first of these can be
described as follows: Let S(1),S(2),... be a sequence of random
vectors, corresponding e.g. to several capital factors, and consider
the probability that this sequence ever reaches some "forbidden
region" in d-dimensional Euclidean space. It will be shown that,
under quite general assumptions,
(*) (1/m) log P{S(n) ever hits mA} ~ -I(A)
for an appropriate "rate function" I(A). Some refinements,
describing e.g. the asymptotic distribution of the first passage
time, will also be given.
A second generalization which will be discussed is the case where
the increments of S(1),S(2),... are governed by a system of random
recurrence equations. Such recurrence equations are of considerable
applied interest and arise, among other places, in the study of GARCH
financial time series models and insurance models with stochastic
returns on the surplus capital. It will be shown that an asymptotic
estimate very similar to (*) can also be developed in this setting.
===================================================================
Freitag, 1. Maerz 2002, 15:30
Freihaus HS 8 (Noebauer-Hoersaal), 2. Stock, gelber Bereich
http://www.wegweiser.ac.at/tuwien/hoersaal/F8.html
Wiedner Hauptstr. 8-10, 1040 Wien
Nicole Baeuerle (Universitaet Ulm)
Stochastische Steuerung in der Versicherungsmathematik
Das Problem der Bestimmung optimaler Dividendenaus-
schüttungs- und Rückversicherungsstrategien, das in Teilen
schon auf de Finetti (1957) zurückgeht, wurde in letzter
Zeit wieder intensiv untersucht. Da die ursprüngliche
Formulierung auf die optimale Steuerung eines stückweise
deterministischen Markov Prozesses führt - was sehr
schwierig ist - standen in letzter Zeit Diffusionsmodelle
im Vordergrund. In dem Vortrag wird auf beide
Formulierungen eingegangen und ein Zusammenhang
zwischen den Optimierungsproblemen hergestellt.
===================================================================
---------- Forwarded message ----------
Date: Mon, 25 Feb 2002 10:44:07 +0100
From: Andrea Gaunersdorfer <andrea.gaunersdorfer(a)univie.ac.at>
To: Vienna Finance Letters <vfn-l(a)fam.tuwien.ac.at>
Subject: [Fwd: [Econ-snde] Post-doc and PhD positions]
>From diks(a)fee.uva.nl Mon Feb 25 14:35:19 2002
Date: Fri, 22 Feb 2002 12:16:04 +0100 (CET)
From: C.G.H. Diks <diks(a)fee.uva.nl>
To: econ-snde(a)lists.fas.rutgers.edu
Subject: [Econ-snde] Post-doc and PhD positions
Dear all,
A post-doctoral as well as a PhD position are available within the project
`Information Flows in Financial Markets'. The project combines recent
results from physics and nonparametric statistics to develop new methods
for nonlinear analysis of multivariate financial time series. The research
is multi-disciplinary of nature and potential candidates for the positions
should have strong maths/stats qualifications.
Details on the application procedure can be found below. For a description
of the project, please follow the `Job Opportunities' link at
http://www.fee.uva.nl/cendef/
With best regards,
Cees Diks
CeNDEF
Department of Economics URL : http://www.fee.uva.nl/cendef
University of Amsterdam email: diks(a)fee.uva.nl
Roetersstraat 11 phone: +31 20 525 5329
1018 WB Amsterdam, The Netherlands fax : +31 20 525 4349
---
Post-doctoral position and PhD position
Within the project Information Flows in Financial Markets.
Project
Asset prices are driven by expectations of market participants regarding
future price developments. These expectations in turn are driven by the
inflow of new information. Through the costs involved in information
acquisition and the time required for processing this information and
converting it into market orders, an interesting dynamics of the response
to news arises, which can be described well in terms of information flows.
In this project, recently developed information theoretical methods from
physics and statistics will be used to investigate these information
flows, and new methods will be developed which are tailored for financial
time series.
The project is embedded in the Center for Nonlinear Dynamics in Economics
and Finance (CeNDEF) research group of the Faculty of Economics and
Econometrics at the University of Amsterdam. This young multidisciplinary
research group provides an excellent and stimulating research environment.
Post-doc position
Description: Development of nonparametric information theoretic methods
for quantifying nonlinear dependence in multivariate financial time
series. Derivation of finite sample and asymptotic properties of
statistics.
Requirements: The succesful candidate for the Post-doc position has a
strong background in mathematics/statistics, and a PhD degree in
econometrics, statistics or a related field.
Conditions: Initial appointment will be for two years, with possible
extensions to a maximum of the project duration (5 years). Salary conform
the UvA standard, is expected to be in scale 10 or 11 depending on the
candidate's work experience.
PhD position
Description: Development and implementation of information theoretical
time series analysis methods for multivariate financial time series. Data
selection, data analysis and interpretation of results.
Requirements: We seek a motivated individual with a Masters degree in
econometrics, statistics or mathematics (or comparable qualifications).
Also students who expect to obtain their Masters degree soon are invited
to apply.
Conditions: The PhD student will receive a position for a maximum period
of 4 years. Monthly salary: 1445 EUR in the first year, increasing to 2063
EUR in the fourth year.
Applications
Applications for both positions should be directed to
Personnel Department
Faculty of Economics and Econometrics
University of Amsterdam
Roetersstraat 11
1018 WB Amsterdam
The Netherlands
and arrive no later than March 31, 2002. All applications should contain a
cover letter and a CV. Applicants for the post-doc position should include
a list of publications, a copy of one published paper, and two letters of
recommendation. Applicants for the PhD position should include one letter
of recommendation.
Information
Information can be obtained from Dr C. Diks (phone: +31 20 525 5329,
e-mail: diks(a)fee.uva.nl) and from the CeNDEF homepage
http://www.fee.uva.nl/cendef/
_______________________________________________
Econ-snde mailing list
Econ-snde(a)lists.fas.rutgers.edu
http://lists.fas.rutgers.edu/listserv-admin/listinfo/econ-snde
Das Forum für Bankmanagement der BWG unter Leitung von Prof. Dr. Peter
Steiner veranstaltet am 28.2.2002 eine Konferenz zum Thema
"Kreditrisikomanagement".
Die Veranstaltung findet im Reitersaal der OeKB, Wien 1, Strauchgasse 3
statt und wird um 8.45 von Dir. Ittner, OeNB eröffnet. Die Teilnahme ist
kostenlos.
Programm
8.45 ? 9.00 Begrüßung und Eröffnung
Direktor Mag. Andreas Ittner, OeNB
9.00 ? 10.00 "Risikomaße und Risk-Value-Modelle"
Prof. Dr. Peter Steiner / Dr. Roland Mestel, Universität Graz
10.00 ? 10.30 Kaffepause
10.30 ? 11.00 "Dynamic Capital Structure Choice"
Dr. Thomas Dangl, TU Wien / Prof. Dr. Josef Zechner, Universität
Wien
11.30 ? 12.30 "Credit Risk Mitigation in Derivatives Business - Practical
Implications"
Dirk Erdmann / WestLB
12.30 ? 14.00 Mittagspause
14.00 ? 15.00 "Auswirkungen von Basel II auf die Kreditwirtschaft"
Prof. Dr. Walter S.A. Schwaiger, Technische Universität Wien
15.00 ? 15.30 Kaffeepause
15.30 ? 16.30 "Kreditrisikomanagement mit Hilfe von
Margensimulationen"
Mag. Thomas Jerolitsch / ecofinance Graz
Anmeldungen elektronisch über die homepage der BWG, www.bwg.at,
Serviceleistungen / wissenschaftliche Abteilungen / Forum für
Bankmanagement / Veranstaltungen.
Rückfragen an Fr. Elisabeth Zivota, E: office(a)bwg.at, T: (01) 533 50 50.
______________________
Prof.(FH) Mag. Otto Lucius
Österreichische Bankwissenschaftliche Gesellschaft
Wallnerstraße 3, 1010 Wien
T +431 533 50 50
F +431 531 27 247
E office(a)bwg.at
Announcement: Talk with Prof. Klaus Spremann, Universität St. Gallen
Date: 07.03.2002
Time: 04:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: Strategische und taktische Geldanlage für den langen
Horizont - worauf muss der Privatanleger achten?
Abstract: Grundlegende Fragen der Asset Allocation, des Einsatzes von
Optionen und der Art und Intensität von Aktivität beim Portfolio Management
für Privatanleger
registration: until 04.03.2002 under sonja.zeiner(a)gutmann.at or phone: 502
20-357
INTERNATIONAL CONFERENCE ON MATHEMATICS IN FINANCE
TO BE HELD IN SOUTH AFRICA, AUGUST 2002.
Date:
4 - 9 August, 2002.
Venue:
Berg-en-Dal, Kruger National Park, South Africa.
Scope:
The main objective of the conference is to bring together
academics, practitioners and graduate students who are
working in the broad field of financial mathematics. It is envisaged
that participants who are at the forefront of the area will
reflect on current open problems and relevant challenges and
that they will indicate directions for future research. It is
hoped that the interplay between theory and practice, as well
as issues relating to the dissemination of knowledge and the
teaching in this field, will be discussed.
The conference will focus on various aspects within the field,
with special attention given to the interaction between the
different areas, and in particular emphasizing the role of
mathematics and statistics. Topics that would be covered
include among others:
* Stochastic models
* Modern methods of risk analysis
* Quantitative and computational models and methods
* Methods of financial mathematics; in particular the
role of measure theory, functional analysis and modern
stochastics in Finance
Key note speakers:
The following is a list of key note speakers who have
indicated that they will attend:
* Tomas Bjork (Department of Finance, Stockholm School of
Economics)
* Freddy Delbaen (Department of Mathematics, ETH, Zurich)
* Paul Embrechts (Department of Mathematics, ETH, Zurich)
* David Heath (Department of Mathematical Sciences, CMU)
* Alexander McNiel (Department of Mathematics, ETH, Zurich)
* Gennady Samorodnitsky (School of Operations Research and
Industrial Engineering, Cornell University)
Hosts:
Potchefstroom University for CHE
The University of Pretoria
The University of the Witwatersrand, Johannesburg.
Organising Committee:
Riaan de Jongh (Potchefstroom University for CHE)
Koos Grobler (Potchefstroom University for CHE)
Hardy Hulley (University of the Witwatersrand)
Keith Mitchell (University of the Witwatersrand)
Barbara Swart (University of Pretoria)
Johan Swart (University of Pretoria)
David Taylor (University of the Witwatersrand)
Information:
http://www.mif.up.ac.za
E-mail: mif(a)math.up.ac.za
Vacancy at London School of Economics
Department of Statistics
Lecturer
Salary range: £22,401 to £26,327 pa inc.
We are looking for someone with a background in applied
probability, stochastics or statistics who would like to pursue the
use and development of these skills in insurance, finance or
actuarial science. Applications are invited for a career-track
appointment as a lecturer in the Department of Statistics. The
Department runs a large actuarial science degree and the successful
candidate would be expected to be involved in the teaching of
actuarial subjects as well as contributing to the research of the
Department. Applications are invited for this post for appointment
from September 2002.
For an application pack please contact 020 7955 6183, or e-mail:
recruitment(a)lse.ac.uk <mailto:recruitment@lse.ac.uk>quoting
reference 17/01/AC
The closing date for applications is 22 February 2002.
http://www.lse.ac.uk/depts/statistics
---------- Forwarded message ----------
Date: Mon, 4 Feb 2002 16:42:26 +0100
From: Uwe Schmock <schmock(a)math.ethz.ch>
Subject: Master of Science in Finance (in Zurich/Switzerland)
Announcement
------------
The ETHZ (Swiss Federal Institute of Technology Zurich) and the
University of Zurich are jointly launching the new degree program
*** Master of Science in Finance ***
It is an intense two-semester program of courses followed by a master's
thesis.
Mandatory courses:
- Mathematical Foundations in Discrete and Continuous Time
- Financial Economics (incl. Corporate Finance)
- Empirical Methods for Finance
- Financial Institutions and Financial Markets
- Financial Theory and Asset Pricing
- Derivatives and Financial Engineering
- Insurance Analytics
Specializations (choose A or B):
(A) Quantitative Finance and Risk Management
- Risk Management
- Term Structures and Credit Risk Models
- Quantitative Methods for Risk Management
(B) Asset Management
- Asset Allocations and Performance Measurement
- Theory of Banking and Financial Intermediation
- Behavioral Finance or Empirical Methods
Optional Courses:
- Computational Methods for Quantitative Finance
- Real Options and Commodities
- International Finance
- Incomplete Markets: Further Developments
- Economics of Insurance
(Other courses may be taken upon request.)
Language:
The entire program will be taught in English so that international as
well as Swiss graduate students can attend.
Target students:
Undergraduates with an economics and/or a science background
(mathematics, physics, engineering) and practitioners who feel that
they need additional and more specialized training in financial
economics and in quantitative methods for finance.
Please visit http://www.msfinance.ch/ for a list of the teaching
faculty members, a more detailed description of the curriculum, the
application procedure and further details.
Please tell your colleagues and students about the new program; feel
free to forward this email. You can use the two slides at
http://www.msfinance.ch/misc/MSc_Finance_Slides.pdf in your class.
With best regards,
Uwe Schmock
(Director MSc Finance Program)
Financial and Insurance Mathematics: http://www.math.ethz.ch/finance/
Master of Science in Finance: http://www.msfinance.ch/
RiskLab: http://www.risklab.ch/
Home page: http://www.math.ethz.ch/~schmock/