Title of the conference:


Modelling Dependence and Applications in Insurance and Finance

Venue: CMBS.01 Heriot-Watt University.

Time: 10 October, 2019

This one-day workshop share some most recent research results on dependence modelling and its applications in insurance and finance with scholars and students Heriot-Watt University and University of Edinburgh. The three speakers shall present talks, respectively on, dependence uncertainty, valuations of life insurance products under dependency assumption and algorithms to generate correlation matrix with applications in credit risk. Each talk takes 40 minutes and a coffee break shall be arranged after the first two talks.

The programme is listed as follows.

Part I

Steven Vanduffel presents his academic talk.


Title: Risk Assessment under Uncertainty

14.00 - 14.40

Part II

Ayse Arik presents her academic talk


Valuation of Pension Buy-out under a Dependence Assumption

15.50 - 16.30

Coffee Break

Part III

Dr. Jing Yao presents his academic talk


Title: Generating Correlation Matrix with Average Correlation Constraints and Applications in Credit Risk Models

15.50 - 16.30