Wednesday, October 7, South Hall 5697F, 3:30-5:00 p.m., Refreshments served at 3:15 p.m.
Andrey Sarantsev (PSTAT-UCSB)
Title: Approximation of reflected diffusions by solutions of SDE
Abstract: Consider a reflected diffusion on the positive half-line. It has a hard barrier at zero, which it cannot penetrate. We approximate it by a soft barrier created by drift, that is, by a solution to an SDE. We also consider a mutlidimensional version of this problem.
Wednesday, October 14, South Hall 5697F, 3:30-5:00 p.m., Refreshments served at 3:15 p.m.
Howard Zail (Elucidor, LLC; New York, NY)
Title: Implementation of Bayesian Predictive Analytics for Insurance Product Pricing, Underwriting and Risk Management
Abstract: There has been an explosion of new and powerful Bayesian predictive analytics techniques and methodologies over the last twenty years, but the insurance industry has been very slow at adopting these methodologies in practice. This seminar will present a number of real problems faced by insurers or pension funds and show how these new techniques can be implemented to improve profitability and establish a more efficient capital management strategy. In particular, we will discuss utilizing the following methodologies in a cohesive framework: state space modeling, hierarchical models, efficient and large scale MCMC, feature selection, and probabilistic programming.
Wednesday, October 21, South Hall 5697F, 3:30-5:00 p.m., Refreshments served at 3:15 p.m.
Michael Nava (PSTAT-UCSB)