Extremes and Model Uncertainty

Extremes and Model Uncertainty – A Multidisciplinary Workshop

Date: 26 March 2013
Venue: Imperial College London
Organiser: Dr Enrico Biffis

Programme

Extremes and Model Uncertainty – A Multidisciplinary Workshop

Speakers/discussants

• Michael Ghil (ENS, Paris)
• Damiano Brigo (Imperial College London)
• David Simmons (Willis Re)
• Rama Cont (Imperial College London)
• Richard Green (Imperial College Business School)
• Peter Taylor (OASIS and Oxford)
• Paolo Zaffaroni (Imperial College Business School)
• Pauline Barrieu (London School of Economics)
• Markus Gesmann (Lloyds of London)
• Andrew Robertson (Columbia University)
• Dan Crisan (Imperial College London)
• Valérie Stephan (Goldman Sachs)

Presentations

Copies of the presentations from the workshop can be found below:

Session 1 Chair: Dickie Whitaker (Financial Services KTN and OASIS)

• Speaker: Michael Ghil (ENS, Paris), Business Cycles and Natural Hazards
• Discussants: Damiano Brigo (Imperial College London) and David Simmons (Willis Re)
• Speaker: Rama Cont (Imperial College London), Model Uncertainty and Risk Measurement in Finance
• Discussants: Richard Green (Imperial College Business School) and Peter Taylor (OASIS and Oxford)

Session 2 Chair: James Slaughter (Liberty Mutual)

• Speaker: Paolo Zaffaroni (Imperial College Business School), Model Averaging in Asset Management
• Discussants: Pauline Barrieu (London School of Economics) and Markus Gesmann (Lloyds of London)
• Speaker: Andrew Robertson (Columbia University), Uncertainty in Climate Forecasts and Near-term Climate Change Projections
• Discussants: Dan Crisan (Imperial College London) and Valérie Stephan (Goldman Sachs)