[FAM-news] [/Ricam-all] RICAM Group Seminar - Financial Mathematics: Prof. Nicole Baeuerle - March 6 (fwd)

Walter Schachermayer by way of Andreas Schamanek schamane at fam.tuwien.ac.at
Tue Jan 23 21:58:20 CET 2007

---------- Forwarded message ----------
Date: Tue, 23 Jan 2007 15:28:57 +0100
From: Annette Weihs <annette.weihs at oeaw.ac.at>
Subject: [Ricam-all]  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 at oeaw.ac.at

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