Woensdag 17 september 2003
Vanaf half 11 is er koffie en chocola.
||Dietmar Pfeifer (Oldenburg)
||Modeling and generating dependent risk processes for IRM and DFA
||11:00 - 12:00
||CK N4 (N3045)
Modern Integrated Risk Management (IRM) and Dynamic Financial Analysis (DFA)
rely in great part on appropriate modeling of the stochastic behavior of
the various risky assets and processes that influence the performance of the
company under consideration.
A major challenge here is a more substantial and realistic description and
modeling of the various complex dependence structures between such risks
showing up on all scales.
In this presentation, we propose some approaches towards modeling and
generating (stimulating) dependent risk processes in the framework of
collective risk theory, in particular w.r.t. dependent claim number processes
of Poisson type (homogeneous and non-homogeneous), and compound Poisson