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Recent Developments in Dependence Modelling with Applications in Finance and Insurance

Friday, 23 May, 2014 - 08:30 to Friday, 23 May, 2014 - 17:30
Campus: Brussels Engineering, Sciences & Humanities Campus
Promotion hall D.2.01
Workshop

The actuarial research groups of Vrije Universiteit Brussel (VUB), l'Université libre de Bruxelles (ULB) and KULeuven  are pleased to announce a workshop on recent developments in dependence modelling with applications in finance and insurance. The event will take place on May 23 at the VUB campus in Etterbeek. Academic researchers, practitioners and students in the field of actuarial and financial mathematics are most welcome.

Participation by IA|BE members is accredited by 6 CPD-points

Programme

08h30-08h50

08h50-09h00

Welcome with coffee

Opening

Session 1 

Chair - Rob Kaas

09h00-10h00

Carole Bernard, University of Waterloo
A New approach to assess model risk in high dimensions

10h00-11h00

Fabrizio Durante, Free University of Bozen-Bolzano
Patchwork copulas with applications

11h00-11h30

Coffee break

Session 2

Chair - Michèle Vanmaele

11h30-12h30

Giovanni Puccetti, University of Firenze
Risk Aggregation and Model Uncertainty:some messages from the methodological front

12h30-13h30

Lunch break

Session 3

Chair - Michel Denuit

13h30-14h30

Ruodu Wang, University of Waterloo
How much does the dependence structure matter?

14h30-15h30

Andreas Tsanakas, Cass Business School
How superadditive can a risk measure be

15h30-16h00

Coffee break

Session 4

Chair - Ludger Rüschendorf

16h00-17h00

Qihe Tang, University of Iowa
Multivariate Regular Variation in Insurance and Finance

17h00-17h15

Closing

Venue

Promotion hall (D.2.01) 
Pleinlaan 2 / Avenue de la Plaine 2 Brussels (Etterbeek)

Registration

Admission is free but registration is mandatory as the number of participants is limited.

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Organizing committee
  • Griselda Deelstra, ULB
  • Jan Dhaene, KU Leuven
  • Daniël Linders, KU Leuven
  • Steven Vanduffel, VUB (Chair)
  • Jing Yao, VUB
Scientific committee
  • Carole Bernard, University of Waterloo
  • Michel Denuit, UCLouvain
  • Rob Kaas, University of Amsterdam
  • Ludger Rüschendorf, University of Freiburg (Chair)
  • Michèle Vanmaele, UGent
Invited speakers
  • Carole Bernard, University of Waterloo
  • Giovanni Puccetti, University of Firenze
  • Fabrizio Durante, Free University of Bozen-Bolzano
  • Qihe Tang, University of Iowa
  • Andreas Tsanakas, Cass Business School
  • Ruodu Wang, University of Waterloo

VUBKULeuven

FWOULB