Seminars

June 21, 2017	Discrete-time Markov models with time-varying parameters Dr. Lionel TRUQUET, IRMAR, ENSAI, CNRS, UEB, France
June 13, 2017	Testing for weak form efficiency of stock markets Dr. Kaiji MOTEGI, Graduate School of Economics, Kobe University, Japan
June 5, 2017	Topics in optimal reinsurance design, risk measures, & forward performance processes Mr. CHONG Wing Fung, Department of Statistics and Actuarial Science, The University of Hong Kong
May 25, 2017	The Poisson Paradigm Professor Sheldon Mark ROSS, Daniel J. Epstein Chair Professor, Epstein Department of Industrial & Systems Engineering, University of Southern California, US
May 18, 2017	Statistical models for complex extreme events Professor Anthony Davison, Ecole Polytechnique Federale de Lausanne, Switzerland
April 26, 2017	An IBNR-RBNS insurance risk model with marked poisson arrivals Professor Andrei BADESCU, Department of Statistical Sciences, University of Toronto, Canada
April 7, 2017	Asymptotics for multidimensional & fractional poisson IBNR processes Professor RABEHASAINA Landy, Laboratory of Mathematics, University of Bourgogne Franche Comté, France
March 28, 2017	A statistical aspect in risk management for equity-linked insurance Dr. Yasutaka SHIMIZU, Department of Applied Mathematics, Waseda University, Japan
February 21, 2017	Risk-adjusted bowley reinsurance under distorted probabilities Mr. ZHANG Yiying, Department of Statistics and Actuarial Science, The University of Hong Kong
February 7, 2017	A practical vision of the application of spatial econometrics in insurance companies Dr. Victoria RIVAS, Datamining and Statistics, Francisco de Vitoria University, Spain
January 18, 2017	Generalized phase-type distribution under Markov mixtures process Dr. Budhi Arta SURYA, School of Mathematics and Statistics, Victoria University of Wellington, New Zealand
January 18, 2017	Two problems in financial/insurance risk management Mr. ZHU Wei, Department of Statistics and Actuarial Science, The University of Hong Kong

December 16, 2016	A study on insurance risk and credit risk models Ms. WANG Guanqing, Department of Statistics and Actuarial Science, The University of Hong Kong
November 23, 2016	Some actuarial problems on risk models with thinning dependence Ms. WEI Wei, Department of Statistics and Actuarial Science, The University of Hong Kong
October 28, 2016	On a multi-dimensional risk model with regime switching Ms. WANG Quanqing, Department of Statistics and Actuarial Science, The University of Hong Kong
October 20, 2016	Basel III, Solvency II and Beyond: a Critical Appraisal Professor Dr. Paul Embrechts, Professor of Mathematics, Department of Mathematics, ETH Zurich, Switzerland
October 19, 2016	Hawkes graphs Professor Dr. Paul Embrechts, Professor of Mathematics, Department of Mathematics, ETH Zurich, Switzerland
October 12, 2016	The modeling of extremes: from theory to practice and back Professor Dr. Paul Embrechts, Professor of Mathematics, Department of Mathematics, ETH Zurich, Switzerland
September 26, 2016	Random field hjm model: a unified framework for fixed income, equity and credit markets Mr. WEI Boyu, Department of Statistics and Actuarial Science, The University of Hong Kong
August 30, 2016	Internal model of non-life premium and reserve risk: Modeling dependence with vine copula Ms. TIAN Dongzi, Department of Statistics and Actuarial Science, The University of Hong Kong
August 22, 2016	Topics in portfolio management Mr. WONG Kwok Chuen, Department of Statistics and Actuarial Science, The University of Hong Kong
August 15, 2016	Optimal reinsurance and investment control with time-varing safety loading Ms. JIANG Xin, Department of Statistics and Actuarial Science, The University of Hong Kong
June 30, 2016	National Statistics in the Era of Big Data Professor Lawrence D. Brown, Miers Busch Professor of Statistics, Wharton School, University of Pennsylvania, Philadelphia, PA, USA
June 20, 2016	Optimal reinsurance strategy for the compound poisson risk model with thinning dependence Miss WEI Wei, Department of Statistics and Actuarial Science, The University of Hong Kong
May 31, 2016	Approximations with error bounds in applied probability models: exponential & geometric approximations Professor Mark BROWN, Department of Statistics, Columbia University, USA
March 31, 2016	Dual-time modeling and forecasting in quantitative risk management Dr. Aijun ZHANG, Department of Mathematics, Director of Center for Big Data in Education, Hong Kong Baptist University, Hong Kong
February 19, 2016	Key performance indicators and their optimal performance Professor David STANFORD, Department of Statistical & Actuarial Sciences, The University of Western Ontario, London, Ontario, Canada
February 15, 2016	A parametric alternative to the Hill estimator for heavy-tailed distributions Dr. KIM Joseph Hyun Tae, Department of Applied Statistics, College of Business and Economics, Yonsei University, Seoul, Korea
January 26, 2016	SVM-Jacobi for fitting exponential sums to probability distributions with applications to quantitative finance and actuarial science Mr. HAN Xixuan, Department of Statistics and Actuarial Science, The University of Hong Kong
January 25, 2016	A practical vision of the application of copula theory to the insurance and reinsurance sector Dr. Victoria RIVAS, Econometrics and Corporate Finance, Villanueva University College (Complutense University of Madrid), SPAIN

November 25, 2015	Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial & insurance risks Professor Dimitrios G. KONSTANTINIDES, Department of Mathematics University of the Aegean, Karlovassi, Greece
November 2, 2015	Insurance risk and the cost of capital, Patrick Poon Lecture Series Professor Hansjoerg ALBRECHER, Department of Actuarial Science, University of Lausanne, Switzerland; Faculty Member of the Swiss Finance Institute
October 28, 2015	High order expansions for renewal functions, and applications to risk theory Dr. Landy RABEHASAINA, Laboratoire de Mathematiques, Equipe de Probabilites Statistiques, Universite de Franche Comte
September 25, 2015	Valuation and risk management of variable annuities with guaranteed minimum death benefit Mr. HAN Xixuan, Department of Statistics and Actuarial Science, The University of Hong Kong
September 11, 2015	Pricing zero-copoun bond and cds under a structural credit risk model with regime switching Ms. WANG Guanqing, Department of Statistics and Actuarial Science, The University of Hong Kong
August 27, 2015	Can a portfolio be cointegrated and market neutral? Mr. LU Renjie, Department of Statistics and Actuarial Science, The University of Hong Kong
August 17, 2015	On some actuarial problems with thinning dependence Ms. WEI Wei, Department of Statistics and Actuarial Science, The University of Hong Kong
August 3, 2015	Portfolio risk optimization under regularization and constraints Mr. CAI Wenlong, Department of Statistics and Actuarial Science, The University of Hong Kong
August 3, 2015	A truncated type of Gerber-Shiu function in the classical risk model with surplus-dependent premium Mr. XU Ran, Department of Statistics and Actuarial Science, The University of Hong Kong
August 3, 2015	Analysis of the generalized Gerber-Shiu function in discrete-time dependent sparre andersen model Ms. QI Xiaozhen, Department of Statistics and Actuarial Science, The University of Hong Kong
June 19, 2015	Convex ordering for insurance preferences Mr. CHONG Wing Fung, Department of Statistics and Actuarial Science, The University of Hong Kong
April 22, 2015	Handling heterogeneity in big data Professor J.S. MARRON, Amos Hawley Distinguished Professor of Statistics and Operation Research, The University of North Caroline at Chapel Hill and Saw Swee Hock Professor of Statistics, National University of Singapore
March 24, 2015	On the joint analysis of discounted aggregate claim costs until ruin and other ruin-related quantities Mr. LIU Haibo, Department of Statistics and Actuarial Science, The University of Hong Kong
March 19, 2015	Efficient greek calculation of variable annuity portfolios for dynamic hedging: A two-level metamodeling approach Dr. Guojun GAN, Department of Mathematics, University of Connecticut, U.S.A.
March 13, 2015	Modelling & classifying financial time series as BUY & SELL sequence Professor HUANG Dawei, Bell Labs Research China
February 11, 2015	Forecasting high-dimensional realized volatility matrices using a factor model Mr. SHEN Keren, Department of Statistics and Actuarial Science, The University of Hong Kong

December 12, 2014	Integrating population dynamics models & population abundance/indices data Dr. ZHANG Ying, Department of Mathematics and Statistics, Acadia University, Canada
November 5, 2014	Financial analytics and data visualization for actuaries Mr. Mark C. HOOGENDIJK, Managing Director, E8 Consulting Asia, Hong Kong
October 27, 2014	On the analysis of discounted aggregate claim costs until ruin Mr. LIU Haibo, Department of Statistics and Actuarial Science, The University of Hong Kong
September 23, 2014	Applications of comonotonicity in risk-sharing & optimal allocation Ms. RONG Yian, Department of Statistics and Actuarial Science, The University of Hong Kong
August 29, 2014	Analysis of the generalized Gerber-Shiu function in discrete-time dependent sparre andersen model Ms. QI Xiaozhen, Department of Statistics and Actuarial Science, The University of Hong Kong
August 26, 2014	Utility risk portfolio selection Mr. WONG Kwok Chuen, Department of Statistics and Actuarial Science, The University of Hong Kong
August 8, 2014	Basket option pricing and implied correlation in a Lévy copula model [Slides of talk] Dr. Daniel LINDERS, Actuarial Research Group, KU Leuven, Belgium
July 29, 2014	Pricing & replicating variance derivatives under functional ITÔ calculus Mr. WEI Boyu, Department of Statistics and Actuarial Science, The University of Hong Kong
July 18, 2014	Maximizing consumption under deterministic income & different interest rate models Dr. Julia EISENBERG, Research Unit Financial and Actuarial Mathematics, Vienna University of Technology, Austria
June 25, 2014	Some negative dependence structures & their applications Mr. LO Ambrose, Department of Statistics and Actuarial Science, The University of Hong Kong
June 23, 2014	More efficient estimator for additive hazard model for case-cohort studies Professor Jianwen CAI, Department of Biostatistics, University of North Carolina, U.S.A.
May 23, 2014	On the time value of Parisian ruin time in (dual) renewal risk model Mr. WONG Tsun Yu Jeff, Department of Statistics and Actuarial Science, The University of Hong Kong
May 13, 2014	An analytical path to big data Dr. Wanli MIN, Staff Data Scientist, Data Technology & Product Division, Alibaba, China
March 28, 2014	High and low on the financial market correlation, prediction and applications Professor HUANG Dawei, Bell Labs Research China
February 13, 2014	Pricing the dynamic fund protection with jump-diffusion Ms. WANG Guanqing, Department of Statistics and Actuarial Science, The University of Hong Kong