Projects for Actuarial Sciences
* We have the pleasure to announce the upcoming Summer School of the ASA organized by the Department of Actuarial Sciences from UNIL/HEC on june 3-7, hosted by HEC. The topic is "Enterprise Risk Management" and the website of the event can be found here: www.saa-iss.ch .
* Professor Enkelejd from the Department of Actuarial Sciences was able to obtain an FP7 subsidy for his team. The name of the project is
RARE - Risk Analysis, Ruin and Extremes
Granting Agency: FP7 - Marie Curie People Action
This project, aims to develop the theoretical side of the analysis of ruin probabilities in case of disasters or extreme shocks for insurance-like risk pools. It will investigate two major themes: Risk Modeling and New Developments on Extremes and Rare Events. The project aim is to address rare events and extremes by analysing environmental and financial risks using probabilistic tools.
Since specialists working on the areas of extremes and rare events are scarce and sparse, such an exchange program helps to create a network of knowledge, ideas and experience. The project intends to create an initial worldwide network by supporting regular exchange between researchers from the 12 participating institutions from the UK, Switzerland, France, Poland, Russia, India, China, Japan, Australia and the USA.
Duration: 4 years
Start Date: December 1, 2012
Partners: ESSEC Paris (France), University of Lausanne (Switzerland), ETH Zurich (Switzerland), University of Wroclaw (Poland), ISI Calcutta (India), IIMB Bangalore (India), Moscow State University (Russia), Nankai University (China), Monash University (Australia), Ritsumeikan University (Japan), University of Nevada at Reno (USA)
Scientific Coordinators: Prof. Marie Kratz (ESSEC), Prof. Enkelejd Hashorva (University of Lausanne)
Project Coordinator: Dr. Corina Constantinescu (IFAM, University of Liverpool)
Projects for Finance
We are currently working with a former student of ours, Mrs Thi-Kin Kim, on international heatmaps. Mrs Kim is working at Synopsis SA. To give a teaser on some results, consider Heat Maps obtained for 2007 and 2010 that display risk forecasts to which banks were subsequently exposed.