[FAM-news] [/Ricam-all] REMINDER: 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 Mar 6 17:35:40 CET 2007


---------- Forwarded message ----------
Date: Tue, 6 Mar 2007 11:19:50 +0100
From: Annette Weihs <annette.weihs at 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 at oeaw.ac.at
http://www.ricam.oeaw.ac.at


  [attachment with same text content removed by admin]





More information about the FAM-news mailing list