---------- Forwarded message ---------- Date: Tue, 6 Mar 2007 11:19:50 +0100 From: Annette Weihs <annette.weihs(a)oeaw.ac.at> Subject: [Ricam-all] REMINDER: RICAM Group Seminar - Financial Mathematics: Prof. Nicole Bäuerle - March 6 GROUP: Financial Mathematics Prof. Nicole Bäuerle University of Karlsruhe Tuesday March 6, 16:00, HF136 Title: Dependence modeling for multivariate processes with applications in finance and insurance Abstract: In the first part of the talk we discuss different methods for constructing multivariate counting processes and investigate their properties. As interpretation of these counting processes we have claim arrivals of different business lines of an insurance company in mind. Some asymptotic results of Cramer type for ruin probabilities are also shown. In the second part of the talk we investigate the class of multivariate Levy processes and characterize dependence properties by means of the Levy measure and the Levy copula. Comparison results for Levy processes are also given. These findings are applied to some financial and actuarial models. Annette Weihs Johann Radon Institute for Computational and Applied Mathematics (RICAM) Austrian Academy of Sciences Altenbergerstr. 69 A-4040 Linz Tel.: +43 (0)732 2468-5211 Fax: +43 (0)732 2468-5212 e-mail: annette.weihs(a)oeaw.ac.at http://www.ricam.oeaw.ac.at [attachment with same text content removed by admin]