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

vrijdag, 27 mei, 2016 - 08:30
Campus: Brussels Engineering, Sciences & Humanities Campus
D
D 2.01
Rsearch unit of Finance and Insurance
Workshop

Supported by the Chair "Stewardship of Finance": AG Insurance, Allianz, Baloise Insurance, Belfius Insurance, Ethias and P&V Group.

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 Friday, the 27th of May at VUB's campus Etterbeek. Academic researchers, practitioners, and students in the field of risk management, dependence modeling and actuarial 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

Dirk Tasche, Bank of England
Desirable dependence for forecasting class probabilities 

09h40-10h20

Oleg Bondarenko, University of Illinois at Chicago
Rearrangement Algorithm and Maximum Entropy

10h20-10h50

Coffee break

Session 2

 

10h50-11h30

Dorota Kurowica, University of Delft
Vine copula regression

11h30-12h10

Gianfausto Salvadori, University of Salento
A multivariate Copula-based framework for dealing with Hazard Scenarios and Failure Probabilities 

12h10-13h20

Lunch break

Session 3

 

13h20-14h00

Giovanni Puccetti, University of Milan
The minimum of the expected value of the product of three uniform random variables: a problem finally solved

14h00-14h40

Johan Segers, UCLouvain
Modelling Multivariate peaks-over-threshold using Generalized Pareto Distributions

14h40-15h10

Coffee break

Session 4

 

15h10-15h50

Edgars Jakobsons, ETH Zürich
Dependence Uncertainty Bounds for the Expectile of a Portfolio

15h50-16h30

Emil Valdez, University of Connecticut
Multivariate Loss Frequency Regression Models

16h30-16h45

Closing

Venue

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

Information for speakers

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

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

Previous editions

Registration

  • No fee for full time academics and employees of AG Insurance, Allianz, Baloise Insurance, Belfius Insurance, Ethias or P&V Group (for practical reasons, they can register as full time academics). The fee for all others is €95 and includes registration, coffee breaks and lunch. Participation by IA|BE members is accredited with 6 CPD points. IA|BE will be notified about your participation.

Organizing committee
  • Carole Bernard, Ecole De Management Grenoble
  • Giovanni Puccetti, University of Milan
  • Ludger Rüschendorf, University of Freiburg
  • Steven Vanduffel, VUB (Chair)
  • Jing Yao, VUB
Invited speakers
  • Oleg Bondarenko, University of Illinois at Chicago
  • Edgars Jakobsons, ETH Zürich
  • Dorota Kurowicka, University of Delft
  • Gianfausto Salvadori, University of Salento
  • Johan Segers, UCLouvain
  • Gerhard Stahl, Talanx Group
  • Dirk Tasche, Bank of England
  • Emil Valdez, University of Connecticut

VUBDependence modeling