The workshop

UNSW-Macquarie University Workshop: “Risk: Modelling, Optimization and Inference” with applications in finance, insurance and superannuation

In the wake of the latest financial crisis, hurricane damages, the growing number and severity of bushfires and floods, the benefits from risk management are well understood by the community. Modelling and assessing risk, risk evaluation and estimation is a current issue for many diverse industries. The role of academics is to provide useful fundamental research in this area that is to be implemented in the industry. Important application areas are finance, insurance and superannuation.


A joint UNSW-CSIRO workshop titled Risk: modelling, optimization and inference was held at UNSW in July 2012. Workshop organisers were Associate Professor Spiridon Penev from the Department of Statistics (UNSW) and Prof Pavel Shevchenko (CSIRO), who is now Professor at the Department of Applied Finance and Actuarial Studies, Macquarie University. It was a success and the organisers to build in the previous experience to organise the second workshop on 11th-12th December 2014 at UNSW. This time the School of Risk and Actuarial Studies and the ARC Centre of excellence in population aging research, UNSW, represented by Professor Michael Sherris, was also involved in the workshop. The second workshop was an even bigger success, with more talks and more attendees, and a more diversified program. Encouraged by this, we are organising a Third workshop. It is jointly organised by:

School of Mathematics and Statistics, UNSW, represented by Associate Professor Spiridon Penev

Department of Applied Finance and Actuarial Studies, Macquarie University, represented by Professor Pavel Shevchenko

School of Risk and Actuarial Studies, UNSW, represented by Associate Professor Benjamin Avanzi

The idea of the workshop is to keep the level of talks to be suitable for postgraduate (and advanced undergraduate) students, as well as for researchers and practitioners, particularly from the finance, insurance, and superannuation industries, who would like to learn more about the mathematical, statistical and operations research aspects of risk.

Many leading experts in the above areas will give presentations at the workshop. The workshop’s dates are Thursday and Friday, 7th and 8th December 2017 and are chosen to be close to the dates of the annual Quantitative Methods in Finance conference (QMF) that will start in Sydney on Monday 11th December 2017.

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