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22. Multivariate stochastic modelling in finance, insurance and risk management |
18.09.2014 (Thursday) |
| Time | Title | Lecturer |
| 14:30-14:55 | Of copulas, quantiles, ranks and spectra: An $L_1$-approach to spectral analysis | Holger Dette |
| 15:00-15:25 | Copulas, hairpins and tail dependence | Fabrizio Durante |
| 15:30-15:55 | Optimal Shrinkage Estimator for High Dimensional Mean Vector | Ostap Okhrin |
| 16:00-16:25 | The dependence structure in the Risk Neutral World and in the Real World | Piotr Jaworski |
| 16:30-17:00 | Coffee | |
| 17:00-17:25 | Generalization of the Marshall-Olkin distribution and applications to Systemic Risk and Contagion | Sabrina Mulinacci |
| 17:30-17:55 | On nested Archimedean copulas | Paul Ressel |
| 18:00-18:25 | Construction and sampling of nested Archimedean L\'evy copulas | Oliver Grothe |
19.09.2014 (Friday) |
| Time | Title | Lecturer |
| 14:30-14:55 | Characterizing exchangeable fatal shock models and a link to self-decomposability on the real line | Matthias Scherer |
| 15:00-15:25 | On the construction of high-dimensional models for dependent default times | Jan Mai |
| 15:30-15:55 | Stochastic Volatility and Possible Long Memory: The supOU Model | Robert Stelzer |
| 16:00-16:25 | TEDAS - Tail Event Driven Asset Allocation | Wolfgang Härdle |
| 16:30-17:00 | Coffee | |
| 17:00-17:25 | Multivariate stochastic orders and the principle of transfers“ | Alfred Müller |
| 17:30-17:55 | Shadow prices for models with proportional transaction costs | Łukasz Stettner |
| 18:00-18:25 | Time-consistency for dynamic risk and performance measures | Marcin Pitera |