International Workshop on High-Dimensional Dependence and Copulas_门票优惠

Copulas are multivariate distributions with standardized margins that capture scale-invariant dependence structures of random variables. The copula method offers great flexibility in building multivariate stochastic models and has become increasingly important in multivariate analysis. The purpose of this workshop is to bring together active experts working in the areas of copulas and quantitative risk management and to discuss recent advances, open questions and challenges.

The focus will be on high-dimensional distributions/copulas, such as vine copulas, and their applications in multivariate risk/ruin analysis, extreme value analysis, quantitative finance, climate change, etc. The workshop is intended to foster collaborations among experts from China, Europe/North America in this exciting and fast-growing research area. Workshop History: This international workshop is evolved from the four workshops that were successfully held in various parts of the world. The first two workshops on vine copulas were held in Delft in December 2007 and in December 2008 respectively.

The third workshop was held in Oslo in December 2009. The fourth workshop in the series was held in Munich in May 2011. The current workshop, which we have re-branded as "International Workshop on High-Dimensional Dependence and Copulas: Theory, Modeling, and Applications", focuses on the theoretical aspect and practical applications of the high-dimensional dependence models.

Current List of Confirmed Invited Speakers:

Kjersti Aas (Norwegian Computing Center, Norway, kjersti@nr.no)
Elif Acar (University of Manitoba, Canada, Elif.Acar@umanitoba.ca)
Eike Brechmann (Technical University of Munich, Germany, brechmann@ma.tum.de)
Umberto Cherubini (University of Bologna, Italy, umberto.cherubini@unibo.it)
Roger Cooke (Delft University of Technology, Netherlands, and Resources for the Future, USA, Cooke@rff.org)
Claudia Czado (Technical University of Munich, Germany, cczado@ma.tum.de)
Jan Dhaene (KU Leuven, Belgium, Jan.Dhaene@econ.kuleuven.be)
Edward Frees (University of Wisconsin, USA, jfrees@bus.wisc.edu)
Oliver Grothe (University of Cologne, Germany, grothe@statistik.uni-koeln.de)
Lei Hua (Northern Illinois University, USA, hua@math.niu.edu)
Marius Hofert (ETH Zurich, Switzerland, marius.hofert@math.ethz.ch)
Piotr Jaworski (University of Warsaw, Poland, P.Jaworski@mimuw.edu.pl)
Harry Joe (University of British Columbia, Canada, harry@stat.ubc.ca)
Dorota Kurowicka (Delft University of Technology, Netherlands, d.kurowicka@tudelft.nl)
Hans Manner (University of Cologne, Germany, manner@statistik.uni-koeln.de)
Aris Nikoloulopoulos (University of East Anglia, UK, A.Nikoloulopoulos@uea.ac.uk)
Ulf Schepsmeier (Technical University of Munich, Germany, schepsmeier@ma.tum.de)
Pavel Shevchenko (CSIRO, Australia, Pavel.Shevchenko@csiro.au)
Emiliano Valdez (Michigan State University, USA, valdezea@math.msu.edu)
Ruodu Wang (University of Waterloo, Canada, ruodu.wang@uwaterloo.ca)
Gregor Weiss (TU Dortmund, Germany, gregor.weiss@tu-dortmund.de)
Chengguo Weng (University of Waterloo, Canada, c2weng@math.uwaterloo.ca)
Zhengjun Zhang (University of Wisconsin, USA, zjz@stat.wisc.edu)
Wei Wei (University of Wisconsin-Milwaukee, USA, weiw@uwm.edu)

FRIDAY (JANUARY 3, 2013)

09:00-11:30   Short Course 1: Claudia Czado, Harry Joe and Ulf Schepsmeier, High-Dimensional Copulas via Pairwise Constructions
12:00-14:00   Lunch
14:00-16:00   Short Course 2: Haijun Li, High-dimensional Multivariate Extremes and Copulas

SATURDAY (JANUARY 4, 2013)

08:00-08:30   Opening Remarks
08:30-09:15   Keynote 1: Claudia Czado, Model Selection of Vine Copulas with Applications
09:15-10:00   Keynote 2: Harry Joe, Vine Copulas with Latent Variables
10:00-10:30   Coffee/Tea Break
10:30-11:00   Invited 1: Edward Frees, Insurance Company Operations and Dependence Modeling
11:00-11:30   Invited 2: Marius Hofert, Sibuya Copulas
11:30-12:00   Invited 3: Zhengjun Zhang, Nested Asymptotic (In)dependent Extreme Value Copulas with Application to High Frequency Financial Data
12:00-12:30   Invited 4: Aristidis Nikoloulopoulos, On the Estimation of Normal Copula Discrete Regression Models Using the Continuous Extension and Simulated Likelihood
12:30-14:00   Lunch
14:00-14:45   Keynote 3: Kjersti Aas, Learning Bayesian Networks Using Vine Methodology
14:45-15:15   Invited 5: Emiliano Valdez, Correlated Loss Triangles for Multiple Lines of Business
15:15-15:45   Invited 6: Oliver Grothe, Dependence Conceptsin MultivariateLévyprocesses Revisited
15:45-16:00   Coffee/Tea Break
16:00-16:30   Invited 7: Chengguo Weng, SparseVineCopulas
16:30-17:00   Invited 8: Pavel Shevchenko, A Generalized Groupedt-copulawith Multiple Parametersof Degreesof Freedom: Simulation, Calibrationand Model Selection
17:00-17:30   Invited 9: Wei Wei, A New Class of Dependence Notions with Applications in Finance
17:30-17:45   Coffee/Tea Break
17:45-18:45   Contributed Session (TBA)
18:15-19:00   Break
19:00-21:00   Dinner

SUNDAY (JANUARY 5, 2013)

08:15-08:30
08:30-09:15   Keynote 1: Dorota Kurowicka, Joint distribution of correlations in correlation matrix with chordal spasity pattern with application to model calibration
09:15-10:00   Keynote 2: Roger M. Cooke, Hither, Whither and Thither
10:00-10:30   Coffee/Tea Break
10:30-11:00   Invited 1: Jan Dhaene, On the use of the comonotonic copula to measure the implied degree of herd behavior in stock markets
11:00-11:30   Invited 2: Elif Acar, Testing of Simplified Pair Copula Constructions
11:30-12:00   Invited 3: Umberto Cherubini, Systemic Risk and Contagion
12:00-12:30   Invited 4: Gregor Weiss, Beyond Stock Returns - Some New Applications of Vine Copulas
12:30-14:00   Lunch
14:00-14:45   Keynote 3: Eike Brechmann, Truncation of Vine Copulas Using Fit Indices
14:45-15:15   Invited 5: Piotr Jaworski, Univariate conditioning of vine copula
15:15-15:45   Invited 6: Hans Manner, Modeling Multivariate Extreme Events Using Self-Exciting Point Processes
15:45-16:00   Coffee/Tea Break
16:00-16:30   Invited 7: Lei Hua, Tail Orderand Its Applications
16:30-17:00   Invited 8: Ruodu Wang, From the Fréchet Lower Copula to Convex Optimization
17:00-17:30   Invited 9: Ulf Schepsmeier, Efficient Goodness-of-Fit Testsin Multi-dimensional Vine Copula Models
17:30-17:45   Coffee/Tea Break
17:45-18:45   Contributed Session (TBA)
18:15-19:00   Break
19:00-21:00   Dinner

MONDAY (JANUARY 6, 2013)

Organized Tour to Great Wall

		Register after December 15, 2013
Full time Student	Short Course (Jan 3)	RMB 300
Full time Student	Conference (Jan 4-5)	RMB 1000
Other Participant	Short Course (Jan 3)	RMB 500
Other Participant	Conference (Jan 4-5)	RMB 1800

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会议标签：

数学/力学

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