We propose to organize a series of 3 one-week-long workshops to exchange cutting edge research between senior scientists and young researchers and train graduate students on the modern use of Operations Research methods in problems of the finance, insurance and banking communities. The workshops are expected to attract also practitioners and, thus contribute to the transfer of technology from academia to industry and foster collaborations. The first workshop focuses on the technology of risk management and the use of large optimisation and simulation models. New concepts of measuring risk lead to new optimisation models, mostly non-convex, non-smooth and multistage. Methods of high performance computing have been recently developed to deal with such problems.
We expect a further step forward in technology of high performance computing in Operations Research and financial optimisation. The second workshop is related to the first, but special emphasis will be put on modelling. Banks, investment funds, pension funds, insurance companies etc. have their own rules of operation and objectives and need specific types of models. Interesting mathematical problems arise from this specification.
Whereas the first two workshops concentrate on the internal side of the performance of a financial institution, the third workshop is devoted to external efficiency, i.e. to deliver quality service to the customers. It has been observed, that customer loyalty is a key driver in the performance of a financial institution. The third workshop will discuss benchmarking and modelling techniques of OR aiming at optimising the operational performance of financial institutions in delivering quality services. In essence, we wish to ensure that superior risk management practices, especially stochastic optimisation methods, find their way to the end user.