The interplay between Financial and Insurance Mathematics, Statistics and Econometrics (2009)
Organizers:
Friedrich Hubalek (TU Vienna), PF Ludger Rüschendorf (U. Freiburg), PF Ivar Ekeland (UBC Vancouver), OTPF Claudia Klüppelberg (TU München)
Talks
| Teichmann, Josef |
HS 3, UZA 2 |
Fri, 18. Dec 09, 15:00 |
| "A dynamic approach to scenario generation for risk management" |
We describe a new approach to scenario generation in risk management, which combines serveral well- known approaches from the literature. teh approach is based on the calibration of underlying stochastic differential equation to a given time series and is flexible towards thhe inclusion of extreme events, business time versus trading time, etc. Serveral implementations are presented, |
- Thematic program: The interplay between Financial and Insurance Mathematics, Statistics and Econometrics (2009)
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