Actuarial Science and Financial Mathematics Courses at Heriot-Watt University

School of Mathematical and Computer Sciences

21st CENTURY SEMINARS IN STATISTICS, PROBABILITY, ACTUARIAL AND FINANCIAL MATHEMATICS AT HERIOT WATT

GO TO CURRENT SEMINARS

2005: Spring 2005 Summer 2005
2004: Spring 2004 Summer 2004 Autumn 2004
2003: Spring 2003 Summer 2003 Autumn 2003
2002: Spring 2002 Summer 2002 Autumn 2002
2001: Spring 2001 Summer 2001 Autumn 2001
2000: Spring 2000 Summer 2000 Autumn 2000
back to the top

Seminars, Summer Term 2005

Monday 18 April 2005: 2:15 pm, Room CM-T01

Friday 22 April 2005: 2:15 pm, Room CM-T01; (PS) Michael Zazanis (Department of Statistics, Athens University of Economics and Business); Fluid queues with Lévy-driven Ornstein-Uhlenbeck input processes

Friday 29 April 2005: 2:15 pm, Room CM-T01; (PS) Iain Currie (MACS, Heriot-Watt University); From Yates algorithm to array regression

Friday 6 May 2005: 2:15 pm, Room CM-T01; (PS) Gavin Gibson (MACS, Heriot-Watt University); Non-Bayesian MCMC: open problems and research directions

Wednesday 11 May 2005: 2:15 pm, Room CM-S01; (PS) Paul Hulse; g-Measures

Friday 13 May 2005: 2:15 pm, Room CM-T01; (PS) Mikhail Menshikov (Department of Mathematical Sciences, University of Durham); Multiplicative random walks and polling systems with parameter re-sets

Friday 20 May 2005: 2:15 pm, Room CM-T01; (PS) Gerard Hooghiemstra (Faculty of Electrical Engineering, Mathematics and Computer Science, Delft University of Technology); Random graphs with arbitrary i.i.d. degrees

Friday 20 May 2005: 4:15 pm, Room CM-T01; (FM) Alvaro Cartea (Birkbeck College, University of London); Hedging under non-Gaussian processes

Friday 27 May 2005: 2:15 pm, Room CM-G01; (PS) Dirk Husmeier (Biomathematics & Statistics Scotland); Probabilistic modelling in computational molecular biology: three applications

Friday 3 June 2005: 2:15 pm, Room CM-G01; (PS) Alexander Rybko (Leverhume Professor University of Cambridge and Institute of Information Transmission Problems, Moscow); Combinatorial construction for a mean field limit

Friday 10 June 2005: 2:15 pm, Room CM-T01; (PS) Simon Tavaré (University of Cambridge and University of Southern California); Understanding the regulation of gene expression: Illumina meets ENCODE

Friday 10 June 2005: 4:15 pm, Room CM-G01; (FM) Matheus Grasselli (McMaster University, Canada); Applications of utility-based pricing to stochastic volatility and real options models

Friday 24 June 2005: 4:30 pm, International Centre for Mathematical Sciences; (FM) George Papanicolaou (Stanford University, USA); Stochastic volatility models for financial markets and applications to portfolio optimization and pricing derivatives

Tuesday 28 June 2005: 4:15 pm, Room CM-T01; (PS) Artyom Sapozhnikov (Heriot-Watt University); Existence of moments and convergence rates in queueing networks

Wednesday 29 June 2005: 11:00 am, Room CM-T01; (AM) David Dickson (University of Melbourne, Australia); Dividend strategies for a modified risk process

Wednesday 20 July 2005: 2:15 pm, Room CMS01; (PS) Sucharita Ghosh (Landscape Department, Swiss Federal Research Institute WSL); Selected problems related to inference for distribution functions

Friday 22 July 2005: 2:15 pm, Room CMS01; (FM) Jan Beran (Department of Mathematics and Statistics, Unviversity of Konstanz, Germany); On location estimation for volatility model

back to the top

Seminars, Spring Term 2005

Friday 14 January 2005: 3:15pm Room SR.213A

Friday 21 January 2005: 4:15pm Room SR 2.13B; (PS) Takis Konstantopoulos (MACS, Heriot-Watt University); The Brownian Boolean Model

Friday 28 January 2005: 2:15pm Room SR 3.20; (PS) Kostya Khanin (MACS, Heriot-Watt University); Random walks in random environment and KPZ scalings

Friday 11 February 2005: 4:15 pm Room SR 3.20; (FM) Umut Cetin (London School of Economics); Modelling liquidity effects in discrete time (joint work with Chris Rogers)

Friday 18 February 2005: 4:15 pm Room SR 3.20; (FM) Youri Kabanov (Department of Mathematics, Université de Franche-Comté, Besançon, France); Recent progress in the theory of financial markets with transaction costs

Wednesday 23 February 2005: 3:15 pm Room SR 2.13B; (PS) Wilfrid Kendall (Department of Statistics, University of Warwick); Exotic coupling

Friday 4 March 2005: 4:15 pm Room SR 2.13B; (FM) Ken Siu (MACS, Heriot-Watt University); Risk measures for derivative instruments

Friday 11 March 2005: 2:15 pm Room SR 3.20; (PS) Cian Reynolds (MACS, Heriot-Watt University); Entrainment as a stochastic phenomenon

Friday 18 March 2005: 4:15 pm Room SR 3.20; (FM) Michael Monoyios (Department of Mathematics, Imperial College); Esscher transforms, martingale measures and optimal hedging in incomplete diffusion models

back to the top

Seminars, Autumn Term 2004

Friday 24 September

4:15pm Room 3:20

(PS) Ron Doney (Manchester)

Levy processes conditioned to stay positive

Friday 1 October

2:15pm Room 3:20

(PS) Serguei Foss

On perfect simulation for Markov chains

Friday 8 October

4:15pm Room 2:13B

(FAM) Susan Pitts (Cambridge)

A functional approach to the individual risk model

Friday 15 October

2:15pm Room 3:20

(PS) Alex Cook

Fitting a spatio-temporal model for disease spread in crops

Wednesday 27 October

4:15pm Room 2.14

(PS) Charles Bordenave (ENS, Paris)

Stability Region of Spatial Networks

Friday 29 October

2:15pm Room 3:20

(PS) Alexander Borovkov (Institute of Mathematics, Novosibirsk, Russia)

Transient phenomena for the maxima of sums of non identically distributed random variables with infinite variance

Friday 29 October

4:15pm Room 2:13B

(FAM) Rutang Thanawalla

Valuing gas Swing options using Least Squares Monte Carlo

Friday 5 November

2:15pm Room 3:20

(PS) Jerzy Jaworski, Poland (visiting professor)

RANDOM GRAPHS: Models, Methods and Applications

Friday 12 November

2:15pm Room 3:20

(FAM) Thorsten Rheinlander (London School of Economics)

Arbitrage opportunities in diverse markets via a non-equivalent measure change (joint work with Joerg Osterrieder, ETH Zurich)

Friday 19 November

2:15pm Room 3:20

(FAM) Frank Oertel

The stochastic logarithm of general semimartingales and market prices of risk with L\'{e}vy processes in view

Friday 19 November

4:15pm Room 2:13B

(PS) Denis Denisov (EURANDOM, Eindhoven, The Netherlands)

On existence of an integrable regularly varying majorant for an integrable monotone function

Friday 26 November

2:15pm Room 3:20

(FAM) Peter Lakner, New York University (visiting professor)

Parameter Estimation Based on Continuous Observation

Friday 26 November

4:15pm Room 2:13B

(IG) Carolina Espinosa

Ascertainment bias in genetic epidemiology

Friday 3 December

2:15pm Room 2:14

(PS) Chris Glasbey (Biomathematics and Statistics Scotland)

How to segment 3-D images and analyse 1-D electrophoresis gels

Friday 3 December

4:15pm Room 2:13B

(FAM) Ke Li Zhang

The Use of Margrabe Options to Ensure the Solvency of a Life Insurance Portfolio

Friday 10 December

3:15pm Room 3:20

(FAM) Stephen Richards (Prudential)

Mortality Differentials and Annuity Business

Friday 10 December

4:15pm Room 3:20

(FAM) Andrew Cairns

Contract Design and Pricing Frameworks for Securitisation of Mortality Risk

Monday 13 December

2:15pm Room 3:20

(FAM) Alex McNeil

Self-Exciting Processes for Extremes in Financial Time Series

back to the top

Seminars, Summer Term 2004

Friday 23 April

2:15pm Room 3:20

(PS) Vladimir Lotov (Institute of Mathematics, Novosibirsk, Russia)

On the asymptotics of the moments of ladder height and ladder epogh

Monday 10 May

3:15pm Room 3.20

(PS) Takis Konstantopoulos (University of Patras, Greece)

Stability and Performance of a Flow-Level Model for the Internet

Friday 21 May

4:15pm Room 2.13B

(PS) Mark Jerrum (Edinburgh University)

Systematic scan for sampling colourings

Friday 28 May

2:15pm Room 3.20

(PS) Tomasz Rolski (Wroclaw University, Poland)

Ross type conjectures and idcx (idcv) monotonicity results in queues

Wednesday 2 June

4:15pm Room 2.13B

(FAM) Sam Cox (Georgia State University, USA)

Mortality-Linked Bonds

Friday 18 June

4:15pm Room 2.13B

(FAM) David Dickson (University of Melbourne)

The distribution of the time to ruin in the classical risk model

back to the top

Seminars, Spring Term 2004

Friday 16 January

4:15pm Room 2.13B

(FAM) Ales Cerny (Imperial College Business School)

The Risk of Optimal, Continuously Rebalanced Hedging Strategies and Its Efficient Evaluation via Fourier Transform

Friday 23 January

4:15pm Room 2.13B

(PS) Arkady Shemyakin (St Thomas, Minnesota)

Copula Models for Joint Survival Analysis

Thursday 29 January

4:15pm Room 2.14

(PS) Denis Denisov (HW)

Random walks with heavy-tailed increments

Friday 13 February

2:15pm Room 3.20

(PS) Vadim Yurinsky (Universidade da Beira Interior, Covilha PORTUGAL)

Large Volume Asymptotics for the Principal Eigenvalue in Random Domain: the Stokes Operator

Friday 13 February

4:15pm Room 2.13B

(FAM) Andreas Tsanakas (Lloyds of London, and Imperial College)

Risk Exchange and Asset Pricing with Distorted Probabilities

Friday 20 February

2:15pm Room 3.20

(PS) Philip D. O'Neill (Nottingham)

Bayesian inference for epidemics with two levels of mixing

Friday 20 February

4:15pm Room 2.13B

(FAM) Gordon Woo (Risk Management Solutions, London)

Catastrophe Modelling for Actuaries

Friday 12 March

2:15pm Room 3.20

(PS) Konstantin Borovkov (Dept. of Maths and Stats, University of Melbourne)

Boundary Crossing Probabilities for the Wiener Process: Approximation Rates and Applications

Friday 19 March

2:15pm Room 3.20

(IG) Peter Duck (Manchester)

Simple (asymptotic) formulae for callable bond pricing: eliminating the implications of genetic testing using a joint medical insurance and pensions plan

back to the top

Seminars, Autumn Term 2003

Tuesday 7 October

2:15pm Room 3.20

(IG) Leonid Gavrilov and Natalia Gavrilova (Center on Aging, University of Chicago, USA)

Bio-actuarial studies on human longevity

Friday 10 October

2:15pm Room 3.20

(PS) Iain McPhee (Durham)

Classification of random walks using Lyapunov functions

Wednesday 15 October

4:15pm Room JC 16 (Note: JC is the John Coulson Building, formerly the Chemical Engineering, or NF Building)

(FAM) Alois Gisler (ETH, Zurich and Chief Actuary, Winterthur Ins Co.)

Multidimensional credibility theory

Thursday 16 October

2:30pm Room Room JC 16 (Note: JC is the John Coulson Building, formerly the Chemical Engineering, or NF Building)

(FAM) Per Linnemann (Pen-Sam Ins Co., Copenhagen)

Market based valuation of guaranteed benefits of participating life insurance contracts

Thursday 16 October

4:15pm Room Room JC 16 (Note: JC is the John Coulson Building, formerly the Chemical Engineering, or NF Building)

(FAM) Hans Buhlmann (ETH, Zurich)

Valuation portfolio and risk management

Friday 17 October

2:15pm Room 3.20

(PS) Zbigniew Palmowski (Wloclaw, Poland)

Markov processes conditioned to never exit a substate space with application to a single server queue

Friday 24 October

1:15pm Room 3.20

(PS) Andreas Kyprianou (Utrecht)

Law of the Iterated logarithm for oscillating random walks conditioned to stay positive

Friday 24 October

2:15pm Room 3.20

(PS) Denis Denisov (HW)

The maximum on a random time interval of a random walk with heavy-tailed increments and infinite mean

Friday 24 October

3:15pm Room 3.20

(PS) Seva Shneer (HW)

Estimates for the tail distributions of sums of subexponential random variables

Friday 7 November

4:15pm Room 2.13B

(FAM) Mark Willder (HW)

Management of a With-Profit Fund using Option Pricing Techniques

Friday 21 November

2:15pm Room 3.20

(PS) Laurent Massoulie (Microsoft, Cambridge)

Random graph models of peer-to-peer systems

Friday 21 November

4:15pm Room 2.13B

(FAM) Mark Owen (HW):

The Super Replication Price of an Unbounded Contingent Claim: Utility Induced Restrictions on Negative Wealth

Thursday 27 November

4:15pm Room 2.13B

(FAM) Julia Wirch (HW)

Iterated CTE with applications to Equity Linked Guarantees

Friday 5 December

2:15pm Room 3.20

(PS) Steve Buckland (St Andrews)

Fitting stochastic population dynamics models to spatio-temporal data

back to the top

Seminars, Summer Term 2003

Wednesday 23 April

4:15pm Room 2.13B

(FAM) David Dickson, University of Melbourne

Some optimal dividends problems

Friday 25 April

2:15pm Room 3.20

(PS) Sergei Kuksin, HW

Mathematics of 2D statistical hydrodynamics

Friday 25 April

4:15pm Room 2.13B

(PS) Artyom Sapozhnikov, HW

Convergence rates in multi-server queues

Friday 2 May

2:45pm Room 3.20

(PS) Simon Wood, Glasgow

Low rank smoothing and better GAMs

Friday 2 May

4:15pm Room 2.13B

(PS) Michael Blank, Moscow

Dynamics of traffic jams: if it is worth to go against the flow?

Friday 9 May (postponed from 31 January !)

2:15pm Room 3.20

(FAM) Ragnar Norberg, Department of Statistics, London School of Economics and Political Science, Houghton Street, London WC2A 2AE (e-mail: R.Norberg@lse.ac.uk)

Anomalous PDEs in Markov chains: domains of validity and numerical solutions

Wednesday 14 May

4:15pm Room 2.13B

(PS) Vadim Scherbakov, The University of Glasgow

Hydrodynamical limit for stochastic particle systems with non-local mean-field interaction

Friday 16 May

2:15pm Room 3.20

(FAM) Philippe Artzner, University of Strasbourg

Multiperiod risk-measurement and Bellman's principle

Wednesday 21 May

1:15pm Room 3.20

(PS) Konstantin Tchumatchenko, France Telecom, Paris

Performance of multicast on random trees

Friday 23 May

1:30pm Room 2.13B

(PS) Ronald A. Doney, Manchester

Stochastic bounds for Levy processes

Tuesday 27 May

1:15pm Room 3.20

(FAM) Antoon Pelsser, Erasmus Uni of Rotterdam and ING

Pricing and hedging guaranteed annuity options via static option replication

back to the top

Seminars, Spring Term 2003

Friday 10 January

4:00pm Room 3.20

(FAM) Andrew Cairns

A family of term-structure models for long-term risk management and derivative pricing

Friday 31 January (postponed to 9 May)

2:15pm Room 3.20

(FAM) Ragnar Norberg, Department of Statistics, London School of Economics and Political Science, Houghton Street, London WC2A 2AE (e-mail: R.Norberg@lse.ac.uk)

Anomalous PDEs in Markov chains: domains of validity and numerical solutions

Friday 31 January (postponed to 9 May)

4:15pm Room 2.13B

(FAM) Ragnar Norberg

Dynamic Greeks

Friday 7 February

2:15pm Room 3.20

(PS) Richard Boys, School of Mathematics & Statistics, University of Newcastle (email: Richard.Boys@ncl.ac.uk),

Bayesian inference for simple genetic regulatory networks

Friday 7 February

4:15pm Room 2.13B

(FAM) Vicky Henderson (Oxford)

A Comparison of q-optimal option prices in a Stochastic Volatility Model with correlation

Friday 14 February

2:15pm Room 3.20

(IG) Paul Pharoah (Cambridge)

Predicting the risks of inherited breast cancer

Friday 21 February

2:15pm Room 3.20

(PS) Serguei Foss

A single server queue with random order of service

Friday 7 March

4:15pm Room 2.13B

(PS) Gavin Gibson

Fitting percolation-based models for the spread of diseases in plant communities

Friday 14 March

4:15pm Room 2.13B

(FAM) Alexandra Dias (Department of Mathematics, ETH Zurich)

Dependence structures for multivariate high-frequency data in finance

back to the top

Seminars, Autumn Term 2002

Friday 4 October

2:15pm Room 3.20

(PS) Janet Heffernan (Lancaster)

A conditional approach for multivariate extreme values

Friday 11 October

2:15pm Room 3.20

(PS) Serguei Popov (University of St Paulo, Brasil)

Shape theorem, phase transition, and other results for the frog model

Friday 11 October -- postponed to 29 November !!!

4:15pm Room 2.13B

(FAM) Andrew Cairns (with David Blake and Kevin Dowd)

Stochastic Pension Plan Design During The Distribution Phase

Friday 25 October

2:15pm Room 3.20

(PS) Serguei Foss)

On the maximum path length in a class of random graphs

Friday 8 November

4:15pm Room 2.13B

(IG) Gus Ferguson (HW)

Use of Computer Models of Biological Systems in Cancer Genetic Risk Analysis

Monday 11 November

4:15pm Room 2.13B

(PS) Takis Konstantopoulos (Patras, Greece)

Levy networks: reflection mapping and stationarity

Wednesday 13 November

2:15pm Room 3.20

(FAM) Mark Willder (joint work with Richard Priestley)

Report from the Faculty Bonus Valuation Research Group ``Using Option Pricing to Calculate Guarantee Accounts''

Friday 15 November

4:15pm Room 2.13B

(FAM) Dirk Becherer (Imperial College)

Rational hedging and valuation of integrated risks

Friday 22 November

2:15pm Room 3.20

(FAM) Andy Adams (Uni of Edinburgh, School of Management)

The Split Capital Investment Trust Crisis

Friday 22 November

4:15pm Room 3.20

(PS) Dima Korshunov

Large Deviation Probabilities for Real-Valued Markov Chains in Cramer Case

Friday 29 November

2:15pm Room 3.20

(PS) Denis Denisov

Tail asymptotics for the supremum of a random walk when the mean does not exist (with S.Foss and D.Korshunov)

Friday 29 November

4:15pm Room 2.13B

(FAM) Andrew Cairns (with David Blake and Kevin Dowd)

Stochastic Pension Plan Design During The Distribution Phase

Friday 6 December

2:15pm Room 3.20

(FAM) Iain Currie

Using P-splines to project 2-dimensional mortality data

Friday 6 December

4:15pm Room 2.13B

(PS) Zbigniew Palmovski (EURANDOM, The Netherlands)

On the integral of the workload process of the single server queue

Friday 13 December

2:15pm Room 3.20

(IG) Carolina Espinosa

Ascertainment bias in estimating the rate of onset of an inherited disease

back to the top

Seminars, Summer Term 2002

Friday 19 April

2:15pm Room 3.20

(FAM)Craig Turnbull (Barrie&Hibbert, Edinburgh)

Annuity management

Friday 19 April

4:15pm Room 2.13B

(PS) Jordan Stoyanov (Newcastle)

Counterexamples in Probability and Statistics

Friday 26 April

No seminars

Friday 3 May

2:15pm Room 3.20

(PS) Sergey Utev (Nottingham)

Operator inequalities and related problems

Friday 10 May

2:15pm Room 3.20

(PS) Gareth Roberts (Lancaster)

Optimal scaling for various Metropolis-Hastings algorithms

Friday 10 May

4:15pm Room 2.13B

(IG) Gus Ferguson (HW, Dept of CEE)

Computer Modelling of Biological Systems in Cancer Genetics

Wednesday 15 May

2:15pm Room 3.20

(FAM) Des Johnston

Balls in boxes and Wealth Condensation

Friday 17 May

No seminars (because of the S/N Stat's Meeting)

Friday 24 May

2.15 Room CEE 1.83

(SMACS seminar) Iain Stewart (Leicester)

Finite model theory, complexity theory and program schemes

Friday 31 May

2:15pm Room 3.20

(General) David Wilkie

How Ptolemy constructed a table of Chords in 150 A.D.

Friday 31 May

4:15pm Room 2.13B

TBA

back to the top

Seminars, Spring Term 2002

Friday 11 January

2:15pm Room 2.13B

(PS) Denis Denisov (AMS)

On instability of Markov chains

Friday 18 January

2:15pm Room 3.20

(FAM) Robert L. Brown (Director, Institute of Insurance and Pension Research, University of Waterloo)

Macro-Economic Impacts of Population Aging on Financial Security Systems

Friday 25 January

No seminars

Friday 1 February

2:15pm Room 3.20

(PS) Dima Korshunov (AMS)

Asymptotics for sums of random variables with local subexponential behaviour

The FAM seminar by Julia Wirch is postponed until the next week

Friday 8 February

2:15pm Room 3.20

(PS) Mathew Penrose (Durham)

Random car parking and particle deposition

Wednesday 13 February

4:15pm Room 2.13B

(FAM) Julia Wirch (AMS)

Coherent Distortion Risk Measures

Friday 15 February

2:15pm Room 3.20

(IG) Tony McGleenan (Queen's Belfast)

Research, Risk and Rhetoric: Forming Public Policy on Genetics and Insurance

Friday 22 February

2:15pm Room 3.20

(PS) Takis Konstantopoulos (Uni of Texas at Austin)

Conditional limit theorems for spectrally positive Levy processes

Friday 22 February

4:15pm Room 2.13B

(PS) Christian P. Robert (CEREMADE, University Paris 9 Dauphine)

Variable dimension estimation for latent variable models

Thursday 28 Febuary

4:15pm Room 3.20

(FAM) Deimante Rusaityte (University of Copenhagen)

Stability Bounds for the Ruin Probability

Friday 1 March

2:15pm Room 3.20

(PS) Kevin Glazebrook (Edinburgh University)

Whittle's index policy for a multi-class queueing system with convex holding costs

Friday 1 March

4:15pm Room 2.13B

(FAM) Thorsten Rheinlander (ETH Zuerich)

An entropy approach to stochastic volatility models

Friday 8 March

2:15pm Room 3.20

(FAM) Craig Turnbull (Barrie & Hibbert, Edinburgh)

Provisional title: Annuity management

Friday 15 March

2:15pm Room 3.20

(FAM) Sotirios Sabanis (Edinburgh Uni)

Stochastic volatility and the mean reverting process: An extension of the Hull & White model

Friday 15 March

4:15pm Room 2.13B

(IG) Jean Lemaire (University of Pennsylvania)

Adverse Selection from Genetic Testing for BRCA in Life Insurance: Inelastic and Elastic Demands

back to the top

Seminars, Autumn Term 2001

Friday 5 October

2:15pm Room 3.20

(FAM) Andrew Cairns (AMS)

A multifactor, term-structure model for long-term risk management

Friday 12 October

2:15pm Room 3.20

(PS) Serguei Foss (AMS)

Moments and tails in multi-server queues

Friday 12 October

4:15pm Room 2.13B

(FAM) Artan Borici (Edinburgh Uni, Dept of Physics and Astronomy)

Pricing American put options by linear scaling algorithms

Friday 19 October

2:15pm Room 3.20

(PS) Stan Zachary (AMS)

Workload processes and modulated random walks with heavy-tailed increments

Friday 26 October

2:15pm Room 3.20

(PS) David Alcroft (BioSS)

A comparison of models for time series of categorical behaviour data

Friday 26 October

4:15pm Room 2.13B

(IG) Cris Gutierrez (AMS)

Adult Polycystic Kidney Disease and Critical Illness Insurance

Friday 2 November

2:15pm Room 3.20

(FAM) Andrew Cairns (AMS)

Optimal asset allocation for defined-contribution pension plans

Friday 9 November

4:15pm Room 2.13B

(PS) Gavin Gibson (AMS)

Deterministic Approximations to Spatio-temporal Stochastic Processes in Epidemiology and Ecology

Friday 16 November

2:15pm Room 3.20

(FAM) Mark Owen (AMS)

Utility based optimal hedging

Friday 16 November

4:15pm Room 2.13B

(PS) Mikhail Menshikov (Durham)

Random walks in random environment on trees

Friday 23 November

2:15pm Room 3.20

(IG) Tim Bishop (Leeds)

Geographical variation in the Risk of Melanoma in CDKN2A mutation carriers

Friday 30 November

2:15pm Room 3.20

(IG) Howard R. Waters (AMS)

Models for Coronary Heart Disease and Stroke

Friday 30 November

4:15pm Room 2.13B

(PS) Marc Lelarge (ENS, Paris)

Asymptotic behavior of GPS queues under subexponential hypothesis

back to the top

Seminars, Summer Term 2001

Friday 18 May

4:15pm Room 2.13B

C. Fernandez (Univ. of St. Andrews)

Bayesian Inference for Double-Bounded Contingent Valuation Model

Friday 25 May

2:15pm Room 3.20

note change from previously advertised time and venue!)

A. Muermann (LSE)

Pricing Catastrophe Insurance Derivatives

back to the top

Seminars, Spring Term 2001

Friday 9 February

4:00pm Room 3.20

A. Wiese (Heriot-Watt Univ.)

Mean-variance hedging for processes with jumps

Friday 23 February

4:15pm Room 2.13B

A. Rybko (Institute of Information Transmission, Moscow)

Thermodynamical Limit for Symmetric Closed Queueing Networks

Wednesday 28 February

3:00pm Room 3.20

M. Luczak (Univ. of Oxford)

Balanced allocations in telecommunication systems

Friday 9 March

4:15pm Room 2.13B

K. Agoston (Budapest)

Investgating how the number of policies affects the optimum ins urance premium

back to the top

Seminars, Autumn Term 2000

Wednesday 1 November

4:15pm Room 3.20

A. McNeil (ETH)

Copulas and Extremal Dependence With Applications to Credit Risk Models

Friday 10 November

4:15pm Room 2.13B

S. Zenios (Univ. of Cyprus and Wharton Financial Institutions Center)

Scenario optimization: asset and liability modelling for endowments with minimum guarantees

Friday 1 December

4:15pm Room 2.13B

G. Gibson (Heriot-Watt Univ.)

Inference for immigration-death models with single and paired immigrants

back to the top

Seminars, Spring Term 2000

A Frailty Model for Spatial Variation in Survival

Thursday 2 March

4:15pm (Date to be confirmed)

S. Diacon (Univ. of Nottingham)

How do people perceive risks in personal financial products?

(This is the rescheduled seminar from last term which was cancelled.)

Takis Konstantopoulos/ Heriot-Watt University/ takis@ma.hw.ac.uk

School of Mathematical and Computer Sciences

note change from previously advertised time and venue!)