Workshop on Quantitative Methods for Insurance and Finance
Workshop PROGRAMME
Day 1: Crash course on risk modelling methods for heavy tailed data, June 5, 2014.
Olivier Wintenberger: Regular variations for functions, random variables and stationary processes
(slides)
Thomas Mikosch: Max-stable processes (lecture notes)
Richard A. Davis: Asymptotics for the Spatial Extremogram
(slides)
Day 2: Plenary lectures (Croatian quants day), June 6, 2014.
Thomas Mikosch: Extremogram and ex-periodogram for heavy-tailed time
series (slides)
Wolfgang J. Runggaldier: On multicurve models for the term structure (slides)
Vili Krainz: Credit Risk Modelling Cross-Validation
(slides)
Michael Eichhorn: Auditing Value at Risk models in the context of banking – a practitioner’s framework
(slides)
Richard A. Davis: Big n, Big p: Eigenvalues for Cov Matrices of
Heavy-Tailed Multivariate Time Series (slides)
Olivier Wintenberger: Limit theorems for regularly varying functions of
Markov chains (slides)
Ana Janjić: Mixed thinning INAR(1) model
(slides)
Confirmed speakers:
Richard A. Davis (Columbia University)
Michael Eichhorn (Royal Bank of Scotland, Chief Risk Officer, Group Treasury, London)
Thomas Mikosch (University of Copenhagen)
Wolfgang J. Runggaldier (Università degli Studi di Padova)
Olivier Wintenberger (University Pierre et Marie Curie, Paris)
Invited speakers:
Boris Cergol (Ektimo d.o.o., Ljubljana)
Ana Janjić (University of Niš, Serbia)
Vili Krainz (RBA)
The registration is necessary . Due to limited capacity
of our lecture rooms it is advisable to register early.
If you wish to give a contributed talk, please let us know
by sending an email including a title and a short abstract of
your proposed talk to wqmif@math.hr before March 31, 2014.
The main organizer of the meeting is Mathematics Department –
Past events: CQD 2008 CQD 2009 CQD 2010 CQD 2011 CQD 2012
