Webinars
The seminar series is specifically organized by:
- Giulio Bottazzi (Scuola Superiore Sant'Anna)
- Alessandro Calvia (Politecnico di Milano)
- Marco Capaldo (RWTH Aachen)
- Enrico Scalas (Sapienza University of Rome)
Summer 2026
Speaker: Daria Ghilli, Department of Economics and Management, University of Pavia
Date: 16 July 2026, 2:00 PM
Title: Mean Field Games in infinite dimensional spaces and applications to economics
Abstract: We present an overview of mean field game models for large populations of forward-looking agents whose individual state is naturally infinite-dimensional. This situation arises when agents’ dynamics involve variables such as age, spatial position, memory or path-dependent effects, or delay. These features are common in economic applications, including vintage capital models, production planning problems, and systemic risk. We explain how infinite-dimensional techniques make it possible to reformulate such dynamics as abstract evolution equations in Hilbert spaces, often eliminating the explicit delay by enlarging the state variable. We then present some recent results and discuss applications to vintage capital models and systemic risk.
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Speaker: Miguel Angel Sordo Diaz, Departamento de Estadística e Investigación Operativa, Universidad de Cádiz
Date: 23 July 2026, 2:00 PM
Title: A Spearman-like coefficient for upper-tail association analysis
Abstract: Quantifying association during extreme events is of paramount importance in fields such as finance, insurance, and environmental sciences. Classical correlation measures often fail to capture co-movements in the tails of distributions, while traditional boundary tail coefficients collapse under asymptotic independence, rendering them blind to subasymptotic concentration. In this paper, we introduce a unified framework of Spearman-like, tail-sensitive indices constructed via the ranks and concomitants of the data to assess localized association conditional on large threshold exceedances. We establish two complementary families of measures: a discrete two-parameter family that encompasses Spearman's $\rho$ as a special case, and a continuous single-parameter family obtained as its asymptotic limit. This threshold-defined framework offers a flexible, interpretable diagnostic tool that continuously tracks tail-association paths and successfully discriminates among fundamentally distinct subasymptotic structures where classical boundary indicators vanish. For both families, we investigate their theoretical properties - including their limiting behavior at the absolute boundary - propose empirical plug-in estimators, and derive their asymptotic distributions. The operational advantages of the indices are verified through analytical illustrations across diverse copula families and demonstrated via an empirical application to global catastrophic risk.
Speaker: Sara Biagini, Department of AI, Data and Decision Sciences, LUISS University, Rome
Date: 25 September 2026, 2:00 PM
Title: An introduction to carbon markets regulation: carbon neutrality and Net-Zero
Abstract: After introducing carbon markets, we analyze the impact of carbon dioxide regulation on a system of polluting, heterogeneous companies. We consider two compliance frameworks: one based on an emission trading system (ETS) mechanism and the other relying only on abatement efforts. The shocks in the economy are spanned by a multivariate Brownian motion, and the companies’ emissions are modeled as general diffusions. Firms must match their projected emission imbalance with their reduction effort at the compliance date in both frameworks. Under the ETS program, to do so firms can both abate and trade carbon permits in the ETS permits exchange. Existence and uniqueness of the optimal abatement and trade, together with the equilibrium carbon price, are proven under mild necessary and sufficient conditions. The optimizers and the carbon price are explicit, and their analytic expressions provide an instance of classic economic principles. Numerical examples illustrate the flexibility of the model in the study of the effect of significant allocation policies. Under the net-zero framework, firms can only rely on abatement, which is also provided in closed-form.
Summer 2025
The seminars are organized in preparation for the Summer School of Mathematics for Economic and Social Sciences (link).
Speaker: Marta Leocata, LUISS Guido Carli, Department of AI, Data and Decision Sciences
Date: June 26, 2025, 2:00 PM
Title: Two applications of multi-agent models in economic and social systems (slide)
Abstract: In this talk, we present an overview of mathematical models that capture the behavior of myopic agents—who rely on short-term, local information in their decision-making—and strategic agents, who consider the long-term consequences of their actions within interactive environments. These concepts will be illustrated through two applications in economic and social contexts: a multi-agent model for the co-evolution of preferences and actions in the emergence of social norms (joint work with Michele Aleandri, LUISS, and Laura Marcon, CNR), and a Mean Field Game approach to the Emission Trading System (joint work with Giulia Livieri, LSE, and Gianmarco Del Sarto, TU Darmstadt).
Youtube:
Speaker: Annamaria Olivieri, University of Parma (Italy), Department of Economics and Management
Date: July 10, 2025, 2:00 PM
Title: Modelling Stochastic Mortality for Life Insurance Applications (slide)
Abstract: In the closing decade of the last century, a generalized decrease in mortality rates was observed in many countries, especially at adult and old ages, and this decline was largely unanticipated. Until then, mortality modelling for insurance applications had been mainly deterministic, since, according to the classical insurance paradigm, sufficiently large and homogeneous pools are highly likely to produce outcomes consistent with expectations. Uncertain mortality trends contradict this assumption. Net of the effect of the pandemic, the declining trend in mortality has persisted to the present, at a pace that remains random. Mortality has a clear impact on the liabilities of the life insurance (and pension) industry, and adequate mortality forecasting is among the key elements of an effective risk management framework for a life insurer (or a pension fund), especially when longevity benefits are involved. Since the end of the last century, stochastic mortality modelling has become a core topic in actuarial science, and many studies have significantly enriched the actuarial literature. In this presentation, the main characteristics of mortality trends are first summarized, with particular reference to the Italian population. Mortality and longevity risks are then defined. Finally, a review of the main stochastic mortality models developed for actuarial purposes is provided.
Youtube:
Speaker: Sara Merino Aceituno, Faculty of Mathematics, University of Vienna (Austria)
Date: July 17, 2025, 2:00 PM
Title: Large particle limit for jump processes (slide)
Abstract: In this short course, we will study interacting particle systems whose dynamics are governed either by continuous-time Markov processes (such as coagulation models) or by piecewise deterministic Markov processes (such as run-and-tumble dynamics). Our starting point will be the martingale formulation of these systems. The primary objective is to derive equations that approximate the behavior of the system as the number of particles becomes large.