Planning

	Tue. 18	Wed. 19	Thu. 20	Fri. 21
09:00 10:00 11:00 12:00 13:00 14:00 15:00 16:00 17:00 18:00	Welcome 9:00 - 9:30 (30min) Welcome Introduction to the conference P. Nyquist 9:30 - 10:30 (1h) P. Nyquist E. Gobet › Piecewise deterministic Markov processes for MCMC - A large deviations analysis of the zig-zag sampler - Pierre Nyquist, Department of Mathematics, KTH Royal Institute of Technology 09:30-10:30 (1h) Break 10:30 - 11:00 (30min) Break N. Whiteley (TALK CANCELED) 11:00 - 12:00 (1h) N. Whiteley (TALK CANCELED) › The Viterbi process and parallelized estimatio - Nick Whiteley, University of Bristol 11:00-12:00 (1h) Lunch 12:00 - 12:30 (30min) Lunch Informal discussions in Gather Town 12:30 - 13:00 (30min) Informal discussions in Gather Town Poster session 13:00 - 13:30 (30min) Poster session Poster session in Gather Town Contributed talks 13:30 - 14:30 (1h) Contributed talks E. Gobet › Path-ZVA simulation method for time-bounded rare events in a Semi-Markov chain - Daniël Reijsbergen, Singapore University of Technology and Design 13:30-13:50 (20min) › A Multi-Trajectory Approach to Rare-Event Simulation - Armin Zimmermann, Technische Universität Ilmenau 13:50-14:10 (20min) › Splitting for a non-Markovian tandem queue - Anne Buijsrogge, Delft University of Technology 14:10-14:30 (20min) Break 14:30 - 15:00 (30min) Break Session: Importance Sampling 15:00 - 16:00 (1h) Session: Importance Sampling E. Gobet › Certifiable Deep Importance Sampling for Rare-Event Simulation of Black-Box Safety-Critical Systems - Henry Lam, Columbia University 15:00-15:30 (30min) › Regenerative-Simulation-Based Estimators of Risk Measures for Hitting Times to Rarely Visited Sets - Bruno Tuffin, Inria 15:30-16:00 (30min) Break 16:00 - 16:30 (30min) Break Session: Extremes, Sequential Monte Carlo, Particle methods 16:30 - 18:00 (1h30) Session: Extremes, Sequential Monte Carlo, Particle methods B. Tuffin › Semi-parametric Estimation of Multivariate Extreme Expectiles - Elena Di Bernardino 16:30-17:00 (30min) › Estimation of the tail-index and extreme quantiles from a mixture of heavy-tailed distributions - Stéphane GIRARD, Inria Grenoble - Rhône-Alpes, Laboratoire Jean Kuntzmann 17:00-17:30 (30min) › Sequential Monte Carlo for Target Distributions - Mathias Rousset, Institut de Recherche Mathématique de Rennes, Inria Rennes - Bretagne Atlantique 17:30-18:00 (30min)	B. Sudret 9:00 - 10:00 (1h) B. Sudret A. Guyader › Surrogate models and active learning for reliability analysis - Bruno Sudret, ETH Zurich, Chair of Risk, Safety & Uncertainty Quantification 09:00-10:00 (1h) Break 10:00 - 10:30 (30min) Break Session: Reliability, Uncertainty 10:30 - 12:00 (1h30) Session: Reliability, Uncertainty B. Sudret › The cross-entropy method for model-based prediction and updating of rare events - Iason Papaioannou, Engineering Risk AnalysisGroup, Technische Universität München, Arcisstr. 21, 80290 München 10:30-11:00 (30min) › Shapley and aggregated Shapley effects for sensitivity analysis with correlated inputs. Application to long-term avalanche hazard assessment. - Clémentine Prieur, Clémentine PRIEUR 11:00-11:30 (30min) › Rare event simulation for piecewise deterministic Markov processes - Josselin Garnier, École Polytechnique 11:30-12:00 (30min) Lunch 12:00 - 12:30 (30min) Lunch Informal discussions in Gather Town 12:30 - 13:00 (30min) Informal discussions in Gather Town Poster session 13:00 - 13:30 (30min) Poster session Poster session in Gather Town Contributed talks 13:30 - 14:30 (1h) Contributed talks A. Guyader › Analysis and optimization of certain parallel Monte Carlo methods in the low temperature limit - Guo-Jhen Wu, KTH Royal Institute of Technology 13:30-13:50 (20min) › Point process-based approach for the reliability analysis of systems modeled by costly simulators - guillaume perrin, Université Gustave Eiffel 13:50-14:10 (20min) › Monte Carlo Methods for Estimating Economic Capital - Marvin Nakayama, New Jersey Institute of Technology 14:10-14:30 (20min) Break 14:30 - 15:00 (30min) Break H. Touchette 15:00 - 16:00 (1h) H. Touchette J. Garnier › Large deviation estimators and their efficiency - Hugo Touchette, Stellenbosch University 15:00-16:00 (1h) Break 16:00 - 16:30 (30min) Break Session: Large Deviations 16:30 - 18:00 (1h30) Session: Large Deviations H. Touchette › Computing the quasipotential for nongradient SDEs - Maria Cameron, University of Maryland 16:30-17:00 (30min) › Large deviations and rare event simulation for iterated random functions - Jeffrey Collamore, University of Copenhagen = Københavns Universitet 17:00-17:30 (30min) › Giant leaps and long excursions: rare events in non-Markovian systems - Rosemary Harris, School of Mathematical Sciences, Queen Mary University of London, UK 17:30-18:00 (30min)	V. Chavez 9:00 - 10:00 (1h) V. Chavez G. Fort › Causal mechanism of extremes on a river network - Valérie Chavez_Demoulin, HEC Lausanne 09:00-10:00 (1h) Break 10:00 - 10:30 (30min) Break Session: Climate, Environment 10:30 - 12:00 (1h30) Session: Climate, Environment V. Chavez › Rare event simulations in climate dynamics, turbulent flows and astronomy - Freddy Bouchet 10:30-11:30 (1h) › CLIMATE EXTREME EVENT ATTRIBUTION and MULTIVARIATE EXTREME VALUE THEORY - Philippe Naveau 11:30-12:00 (30min) Lunch 12:00 - 12:30 (30min) Lunch Informal discussions in Gather Town 12:30 - 13:00 (30min) Informal discussions in Gather Town H. Albrecher 13:00 - 14:00 (1h) H. Albrecher S. De Marco › Rare-Event Simulation in Insurance: Theory and Practice - Hansjoerg Albrecher, University of Lausanne 13:00-14:00 (1h) Break 14:00 - 14:30 (30min) Break Session: Finance and Insurance 14:30 - 16:00 (1h30) Session: Finance and Insurance S. De Marco › Meta-model for a large credit portofolio - Clément Rey, Centre de Mathématiques Appliquées - Ecole Polytechnique 14:30-15:00 (30min) › Transform MCMC schemes for sampling intractable factor copula models - Rodrigo Targino, Fundacao Getulio Vargas [Rio de Janeiro] 15:00-15:30 (30min) › Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation - Stefan Weber, House of Insurance, Leibniz Universität Hannover 15:30-16:00 (30min) Break 16:00 - 16:30 (30min) Break Round table "Climate risks" 16:30 - 18:30 (2h) Round table "Climate risks" The round table will be held in French with no translation in English. We apologize for this inconvenience. https://resim2021.sciencesconf.org/data/program/RESIMRounedTable.pdf	S. Parey 9:00 - 10:00 (1h) S. Parey T. Lelièvre › Stochastic simulation and extremes of climate variables in an industrial context - Sylvie Parey, EDF Labs 09:00-10:00 (1h) Break 10:00 - 10:30 (30min) Break Session: Industrial Applications 10:30 - 12:00 (1h30) Session: Industrial Applications S. Parey › Use of Adaptative Multilevel Splitting for particle transport applications - Eric Dumonteil, Institut de Recherches sur les lois Fondamentales de l'Univers 10:30-11:00 (30min) › A reformulated chance constraint optimization problem for the fatigue design of an offshore wind turbine mooring system - Miguel Munoz Zuniga, IFP Energies nouvelles 11:00-11:30 (30min) › Modeling flood and drought insured losses at current and future climate conditions in France - David Moncoulon, Caisse Centrale de Réassurance 11:30-12:00 (30min) Lunch 12:00 - 12:30 (30min) Lunch Informal discussions in Gather Town 12:30 - 13:00 (30min) Informal discussions in Gather Town Poster session 13:00 - 13:30 (30min) Poster session Poster session in Gather Town Contributed talks 13:30 - 14:30 (1h) Contributed talks T. Lelièvre › Rare event simulation for steady-state probabilities via recurrency cycles - Krzysztof Bisewski, University of Lausanne 13:30-13:50 (20min) › Importance Sampling for Large Sums of i.i.d Random Variables - Nadhir Ben Rached, RWTH Aachen University 13:50-14:10 (20min) Break 14:30 - 15:00 (30min) Break S. Grosskinsky 15:00 - 16:00 (1h) S. Grosskinsky F. Bouchet › Limit Theorems for Cloning Algorithms - Stefan grosskinsky, TU Delft 15:00-16:00 (1h) Session: Statistical Physics 16:00 - 17:00 (1h) Session: Statistical Physics F. Bouchet › Unbiased importance sampling for non-equilibrium steady states - D. Aristoff 16:00-16:30 (30min) › Compactness Methods for Rare Event Simulation Estimators - Alex Shkolnik, University of California, Santa Barbara 16:30-17:00 (30min)

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