09:00
10:00
11:00
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17:00
›9:00 (45min)
Extremal Causality: A Model-Agnostic Framework with an Application to Climate Risk Analysis
Valérie Chavez Demoulin
Valérie Chavez Demoulin
› Amphi
9:00 - 9:45 (45min)
Extremal Causality: A Model-Agnostic Framework with an Application to Climate Risk Analysis
Amphi
Valérie Chavez Demoulin
https://rt-matrisk2025.sciencesconf.org/data/program/Talk_5.pdf›9:45 (45min)
Variable selection and regression trees in multivariate / multipopulation mortality models with closed-form estimators.
Christophe Dutang
Christophe Dutang
› Amphi
9:45 - 10:30 (45min)
Variable selection and regression trees in multivariate / multipopulation mortality models with closed-form estimators.
Amphi
Christophe Dutang
›10:30 (30min)
10:30 - 11:00 (30min)
Coffe break
11:00 - 11:45 (45min)
Numerical approximation of singular rough Heston model
Amphi
Ludovic Goudenège
›11:45 (45min)
› Amphi
11:45 - 12:30 (45min)
Long-time behavior of a line model with degenerate environment
Amphi
Henri Elad-Altman
›12:30 (1h30)
12:30 - 14:00 (1h30)
Lunch
›14:00 (45min)
Bayesian estimation of the tail index of a heavy-tailed distribution with censored data
Jean-François Dupuy
Jean-François Dupuy
› Amphi
14:00 - 14:45 (45min)
Bayesian estimation of the tail index of a heavy-tailed distribution with censored data
Amphi
Jean-François Dupuy
›14:45 (45min)
Semi-Markov processes: nonparametric kernel estimation and associated reliability/survival analysis modelling and estimation
Vlad Stefan Barbu
Vlad Stefan Barbu
› Amphi
14:45 - 15:30 (45min)
Semi-Markov processes: nonparametric kernel estimation and associated reliability/survival analysis modelling and estimation
Amphi
Vlad Stefan Barbu
›15:30 (30min)
15:30 - 16:00 (30min)
Coffe break
16:00 - 16:45 (45min)
Path signature methods for pricing of Bermudan options
Amphi
Christian Bayer
16:45 - 17:30 (45min)
Fast calibration using complex-step Sobolev training
Amphi
Bouazza Saadeddine
