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Seminars (MUC)

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Event When Speaker Title
MUC 23rd July 2001
10:00 to 10:45
K Moffatt & D Goodman & R Smith MUC Participants Opening Meeting
MUC 23rd July 2001
10:45 to 00:00
Introduction to the Newton Institute and Induction
MUCW01 24th July 2001
08:30 to 08:45
Unknown
MUCW01 24th July 2001
08:45 to 09:30
P Embrechts Rethinking the basics of integrated risk management:thoughts on the value-at-risk and linear correlation
MUCW01 24th July 2001
09:30 to 10:00
E Medova Case study 1 - Application of extreme value analysis to capital allocation
MUCW01 24th July 2001
10:00 to 10:30
Discussion
MUCW01 24th July 2001
11:00 to 11:20
P McCloud & B Tanyi Case study II - Electricity price volatility and VaR modelling
MUCW01 24th July 2001
11:20 to 11:40
Discussion
MUCW01 24th July 2001
11:40 to 12:15
Optimal Portolio allocation under a probabilistic risk constraint and the incentives to financial innovation
MUCW01 24th July 2001
13:15 to 14:00
M Dempster Dynamic portfolio replication using stochastic programming
MUCW01 24th July 2001
14:00 to 14:20
Case Study III - Edogeneous risk and Basle 2 proposals (Global risk regulatory environment)
MUCW01 24th July 2001
14:20 to 14:40
Discussion
MUCW01 24th July 2001
14:40 to 15:00
Case Study IV - Electricity consumption data and time series of credit defaults
MUCW01 24th July 2001
15:00 to 15:15
Discussion
MUCW01 24th July 2001
15:30 to 16:10
Coherent measures of risk
MUCW01 24th July 2001
16:10 to 16:30
Close out session - Consensus report
MUCW01 24th July 2001
16:30 to 00:00
Workshop ends
MUC 25th July 2001
11:30 to 12:30
Volatility estimation in very high dimensions
MUCW02 26th July 2001
08:30 to 08:45
Introduction CMS Room 4
MUCW02 26th July 2001
08:45 to 09:30
Dynamic financial analysis: The solution to Insurance risk management CMS Room 4
MUCW02 26th July 2001
09:00 to 18:00
Tea break: CMS Room 4
MUCW02 26th July 2001
09:30 to 10:30
D Simmons Case Study I and II CMS Room 4
MUCW02 26th July 2001
11:00 to 11:30
R Smith Bayasian analysis of extreme values for insurance CMS room 4
MUCW02 26th July 2001
11:30 to 12:15
T Wilson Presentation III CMS room 4
MUCW02 26th July 2001
13:15 to 14:00
T Mikosch Presentation IV CMS room 4
MUCW02 26th July 2001
14:00 to 14:30
M Gallen Insurance industry questions CMS room 4
MUCW02 26th July 2001
14:30 to 15:15
J Beardsworth Insurance industry questions CMS room 4
MUCW02 26th July 2001
15:45 to 16:00
Close out discussion CMS room 4
MUCW02 26th July 2001
16:00 to 16:30
Presentation V CMS room 4
MUC 27th July 2001
11:30 to 12:30
Extreme value theory and internet auctions
MUC 27th July 2001
15:00 to 16:00
Multivariate high risk scenarios
MUCW03 30th July 2001
08:45 to 09:30
Modelling Contagion Risk CMS room 4
MUCW03 30th July 2001
09:30 to 10:30
Public sector decision making - general discussion: exogenous/ political risk; co-ordination risk; management risk - CMS room 4
MUCW03 30th July 2001
11:00 to 11:30
Measurement and modelling risks: general discussion CMS room 4
MUCW03 30th July 2001
11:30 to 12:30
Why don't we maximise utility? CMS room 4
MUCW03 30th July 2001
13:15 to 14:00
Presentation III CMS room 4
MUCW03 30th July 2001
14:00 to 15:15
Private sector decision making: general discussion CMS room 4
MUCW03 30th July 2001
15:45 to 16:30
Close out session CMS room 4
MUC 31st July 2001
11:30 to 12:30
Dependence in the tails and multivariate regular variation
MUC 31st July 2001
12:00 to 12:30
Nonstationarities in stock returns
MUC 31st July 2001
16:00 to 17:00
Managing uncertainty and corporate governance
MUCW04 1st August 2001
08:30 to 08:45
Introduction
MUCW04 1st August 2001
08:45 to 09:30
P Young Analysis of non-stationary time series
MUCW04 1st August 2001
09:30 to 09:50
P Jones Session I, case studies - climate observation time series
MUCW04 1st August 2001
09:50 to 10:10
TBA
MUCW04 1st August 2001
10:30 to 10:50
Session I continued
MUCW04 1st August 2001
10:50 to 11:30
Discussion
MUCW04 1st August 2001
11:30 to 11:50
Session II, case studies - extreme rainfall amounts and flooding events
MUCW04 1st August 2001
11:50 to 12:10
Discussion
MUCW04 1st August 2001
12:10 to 12:30
Large insurance claims and climatological trends
MUCW04 1st August 2001
13:30 to 14:15
A Davison Presentation II - generalised additive models for sample extremes
MUCW04 1st August 2001
14:15 to 14:35
Session III, case studies - volcanic eruptions, tree-rings and ice cores, space weather
MUCW04 1st August 2001
14:35 to 14:55
Discussion
MUCW04 1st August 2001
14:55 to 15:15
Discussion
MUCW04 1st August 2001
15:30 to 15:50
Session IV, case studies - plant community dynamics, epidemic modelling
MUCW04 1st August 2001
15:50 to 16:10
Discussion
MUCW04 1st August 2001
16:10 to 16:30
Discussion
MUCW04 1st August 2001
16:30 to 16:50
Model selection in time series analysis
MUCW04 1st August 2001
16:50 to 17:30
Close out session
MUC 2nd August 2001
11:30 to 12:30
Maximum likelihood estimation of non-Gaussian state space models, including stochastic volatility models
MUC 2nd August 2001
12:30 to 13:30
MAH Dempster Global asset liability management
MUC 2nd August 2001
17:00 to 17:30
K Moffat Welcome to the Newton Institute
MUC 2nd August 2001
17:30 to 17:35
Introduction CMS
MUC 2nd August 2001
17:30 to 19:15
How uncertainty is managed by organisations
MUC 2nd August 2001
17:35 to 17:55
M Scholes Unknown
MUC 2nd August 2001
17:55 to 18:15
D Allen Unknown
MUC 2nd August 2001
18:15 to 18:35
Unknown
MUC 2nd August 2001
18:35 to 19:15
Discussion CMS
MUCW05 3rd August 2001
08:30 to 08:45
D Goodman Introduction
MUCW05 3rd August 2001
08:45 to 09:30
M Scholes Risk transfer and corporate governance
MUCW05 3rd August 2001
09:30 to 10:00
Case Study 1 - Quantitative methods for bounding low probability/high severity events
MUCW05 3rd August 2001
10:00 to 10:30
Discussion
MUCW05 3rd August 2001
10:45 to 11:15
Uncertainty and the non-executive director
MUCW05 3rd August 2001
11:15 to 11:30
Discussion
MUCW05 3rd August 2001
11:30 to 12:15
Creating and evaluating strategy under uncertainty
MUCW05 3rd August 2001
12:15 to 12:30
Discussion
MUCW05 3rd August 2001
13:30 to 14:15
Bounded rationality and business decisions
MUCW05 3rd August 2001
14:15 to 14:45
Case study II - using risk information to inform safety decision making
MUCW05 3rd August 2001
14:45 to 15:15
Discussion
MUCW05 3rd August 2001
15:30 to 16:00
Rail Safety case study
MUCW05 3rd August 2001
16:00 to 16:30
BP Subsea valve case study
MUC 6th August 2001
16:00 to 17:00
Nonparametric implied volatility: a single number based on no arbitrage
MUC 6th August 2001
17:00 to 18:00
Market equilibrium with coherent measures of risk
MUC 7th August 2001
11:30 to 12:30
Modelling financial data as a max-stable process
MUC 8th August 2001
11:30 to 12:30
General state space modelling and its applications to analysis of financial and economic time series
MUC 8th August 2001
17:00 to 18:00
Real option games with incomplete information an learning spillovers
MUC 9th August 2001
11:30 to 12:30
Max-stable processes and value at risk
MUC 9th August 2001
14:00 to 15:00
Recent advances in the application of copulae to non-linear value-at- risk
MUC 9th August 2001
15:00 to 16:00
MUC final discussion
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons