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  • Prof. Gareth W. Peters

Monthly Quant Forum Scotland

Updated: May 6, 2018

Presentations and discussions on challenging problems and research directions in risk, insurance, data analytics, statistics, financial mathematics and machine learning.

The SFRA will begin to establish a quantitative Risk and Insurance quantitative forum which will take place on approximately a monthly schedule.


Objective:

The intention of this meeting is not to set up a seminar but rather to establish an active discussion forum where problems from industry and academia can be discussed in an informal and active manner. It is expected therefore that the format should reflect problems and ideas of direct relevance to industry practice that will also facilitate interest from research.


Participants:

The desired participation will involve: industry quantitative analysts, risk modellers, actuaries, IT specialist in cyber risk, asset managers and portfolio managers, economists and econometricians, data analysts, machine learning specialists, mathematicians and computer scientists – all with common interests in quantitative and computational aspects of financial Risk and Insurance applications.

  • Participants each meeting will be required to be registered in advance to ensure numbers are acceptable.

  • Please contact Prof. Peters by email (provided in footer) 3 weeks in advance of each scheduled meeting that you wish to attend with details: name, role and company/university.

Format:

The talks can be delivered on a white board or on slides.

(we will endeavour to set up a computer writing tablet to project)

The format will involve:

  • 1-2 Academic presenters for 30 mins each;

  • 1-2 Industry presenters for 30mins each

Between talks Prof. Peters (HW) and Dr. Fahrenwaldt(HW) will act as moderators who will introduce briefly the speakers, their topic. At the conclusion of each talk the moderators will also seek responses from respondents in the form of discussion / idea creation / problem or data establishment.


Topic Guidance:

A core list of topics will be provided to motivate a theme for the meetings. However, members are also encouraged to take the liberty to establish their own topics or enhance proposed topics further.


Suitable presentations should include mathematical and statistical aspects of the following:

  • Introduction to new quantitative methods and computational tools – with an aim to seek problems for application, data or engagement for further implementations

  • Introduction of practical problems from a mathematical perspective with an aim to discuss in the forum potential solutions or approaches.

  • Regulatory challenges that have arisen that drive changes in modelling practice with an aim to discuss best responses and approaches from modelling perspective

  • Introduction of data sets of relevance to quantitative modelling and their statistical properties with a view to developing models or further analysis on such data with quant forum members.

  • Quantitative overview of mathematical, statistical, machine learning based methods that have been used successfully to solve a problems of relevance in practice and which toolkits or approaches worked and which did not.

Outcomes:

The outcomes of the meeting will be recorded and used to further establish research discussion that should lead to active project collaborations between participating academics and industry quants for joint research outputs with real industry impact.

  • A log of core topics, data sets identified, problem statements or issues to explore further will be maintained and explored on a regular basis.

  • Members can establish joint projects from participants to engage on developing solutions to problems presented.

Meeting Dates:

2018


Topic 1 - Cyber Risk modelling and Cyber Insurance.

Date: May Thursday 24th 6:30pm

Location: … TBD …


Academic presenters:

  • Speaker 1: Dr. Matthias Farhenwaldt (Heriot-Watt University, UK)

  • Speaker 2: … TBD …

Industry presenters:

  • Speaker 1: … TBD …

  • Speaker 2: … TBD …




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Scottish Financial Risk Academy,

Room EMB 1.12,

Earl Mountbatten Building,

Riccarton Campus,

Heriot-Watt University,

Edinburgh, Scotland, UK EH14 4AS

Programme Coordinator

Stephen Marshall

office: 0131 451 8440

email: stephen.marshall@hw.ac.uk

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