Sumários

Statistics and Actuarial Sciences Seminar

10 Novembro 2025, 16:45 • Cristina Requejo

Title of the presentation: Firm's response to adverse events: risk management or market exit?

Speaker: Carlos Oliveira (ISEG e CEMAPRE, Universidade de Lisboa)

Abstract: We consider a firm that may face sudden decreases in its revenue. Its revenue is modeled by a geometric Brownian motion, and the occurrence of adverse events is modeled by a Poisson process. The firm has two options: either to leave the market immediately or to invest in risk mitigation measures to reduce the negative impact on the revenue. After the investment occurs, the firm can still leave the market. The firm’s option value is modeled as an optimal stopping problem.  We prove that the optimal strategy is characterized by a disconnected stopping region.

Analysis and Financial Mathematics Seminar

3 Novembro 2025, 16:45 • Cristina Requejo

Title: Bifurcations and canards in the FitzHugh-Nagumo system: a tutorial in fast-slow dynamics
        
        (joint work with Bruno Gonçalves (Univ. Porto) and Isabel Labouriau (Univ. Porto))

Speaker: Alexandre Rodrigues (ISEG and CEMAPRE, Universidade de Lisboa)

Abstract: In this introductory talk, we describe the classical FitzHugh-Nagumo fast-slow system where the vector fields associated to the slow/fast equations come from the reduction of the Hodgin-Huxley model for the nerve impulse. 
After deriving dynamical properties of the singular and regular cases, we perform a bifurcation analysis and we investigate how the parameters (of the affine slow equation) impact the dynamics of the system.
The study of codimension one bifurcations and the numerical locus of canards concludes this case-study. Some open problems will be stated.

Analysis and Financial Mathematics Seminar

27 Outubro 2025, 16:45 • Cristina Requejo

Title of the presentation: Heteroclinic Networks in Coupled Cell Systems

Speaker: Pedro Soares (ISEG and CEMAPRE, Universidade de Lisboa)

Abstract: In this talk, we explore the realization of heteroclinic networks within the framework of coupled cell systems. Coupled cell systems are a class of dynamical systems that model interactions between individual units (cells) according to a given network.  These systems can exhibit robust patterns of synchrony, where subsets of cells behave identically over time. A heteroclinic network, on the other hand, is a dynamic phenomenon formed by saddle equilibria connected by trajectories. In general, heteroclinic networks break as the dynamical system is perturbed. We will see two different methods to robustly realize heteroclinic networks using coupled cell systems. Some future directions will also be discussed.

Operational Research Seminar

20 Outubro 2025, 16:45 • Cristina Requejo

Title of the presentation: A metaheuristic for the family capacitated vehicle routing problem

Speaker: Raquel Bernardino (ISEG and CEMAPRE, Universidade de Lisboa)

Abstract: The family capacitated vehicle routing problem (F-CVRP) is an NP-hard problem that generalizes both the FTSP and the capacitated vehicle routing problem. The F-CVRP has practical applications in warehouse management in warehouses with scattered storage. We propose an iterated local search (ILS) algorithm comprising a local search phase and a perturbation phase. The local search procedure contains neighborhoods defined by moves inside each route, between routes, and between visited and non-visited nodes. Regarding the perturbation phase, it uses dynamic metrics to ensure the diversification of the search of the solution space. The computational experiment shows that the ILS algorithm can obtain solutions of better quality than the upper bound provided by the exact methods at the end of the time limit more efficiently.

Statistics and Actuarial Sciences Seminar

13 Outubro 2025, 16:45 • Cristina Requejo

Title of the presentation: Optimal reinsurance: classical formulations and the role of dependences and constraints

Speaker: Alexandra Moura (ISEG e CEMAPRE, Universidade de Lisboa)

Abstract: The optimal reinsurance problem is a classical topic in actuarial science, studied since the 1960s and still an active area of research. Classical formulations will be introduced, and the main well known findings discussed. Next, the problem will be examined for multiple dependent risks from the perspective of the direct insurer. The objective is to identify the optimal treaty that maximizes expected utility, assuming independent negotiation of reinsurance for each risk and using various moment-based premium calculation principles. The dependence structure of the risks is general. The effects of introducing constraints, such as the commonly imposed Lipschitz constraint to prevent moral hazard, will also be considered. Numerical examples will illustrate the concepts.