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Recent Developments in Dependence Modelling with Applications in Finance and Insurance - 2nd Edition

vrijdag, 29 mei, 2015 - 08:30 to vrijdag, 29 mei, 2015 - 17:00
Campus: Brussels Engineering, Sciences & Humanities Campus
Promotion hall D.2.01

The finance research group of Vrije Universiteit Brussel (VUB) is pleased to announce a workshop on recent developments in dependence modelling with applications in finance and insurance. The event will take place on May 29 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 with 6 CPD-points

Programme

08h30-08h50

08h50-09h00

Welcome with coffee

 

Opening

Session 1 

 

09h00-09h40

Paul Embrechts, ETH Zürich
Bernoulli and Tail-Dependence Compatibility

09h40-10h20

Giovanni Puccetti, University of Milano
Reducing model risk via additional (in) dependence assumptions

10h20-10h50

Coffee break

Session 2

 

10h50-11h30

Ludger Rüschendorf, University of Freiburg
Risk Bounds and Dependence Information

11h30-12h10

Matthias Scherer, TU Munich
Analyzing model uncertainty via a distortion of the stochastic input: a Dirichlet approach
 

12h10-12h50

Kjersti Aas, Norwegian Computer Center
Pair-copula constructions with applications in finance

12h50-13h50

Lunch break

Session 3

 

13h50-14h30

Valérie Chavez, Université de Lausanne
Generalized additive models for conditional dependence structure

14h30-15h10

Andreas Tsanakas, Cass Business School
Sensitivity and Dependence

15h10-15h40

Coffee break

Session 4

 

15h40-16h20

Asimit Alexandru, Cass Business School
Modelling dependence of extreme events

16h20-17h00

Stefan Mittnik, LMU Munich
Risk aggregation: it's the tails stupid!

Venue

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

Registration

As the maximum number of participants has been reached, registrations for this event are now closed.

Information for speakers

U-Residence: website    location on campus     From Etterbeek station to U-Residence   

Trains: Schedules (From: Brussels airport, To: Etterbeek),     

Previous edition

2014

 

 

Organizing committee
  • Carole Bernard, University of Waterloo
  • Steven Vanduffel, VUB (Chair)
  • Jing Yao, VUB
Invited speakers
  • Kjersti Aas, Norwegian Computer Science
  • Asimit Alexandru, Cass Business School
  • Valérie Chavez, Université de Lausanne
  • Paul Embrechts, ETH Zürich
  • Stefan Mittnik, LMU Munich
  • Giovanni Puccetti, University of Florence
  • Ludger Rüschendorf, University of Freiburg
  • Matthias Scherer, TU Munich
  • Andreas Tsanakas, Cass Business School

VUBDependence modeling