- FCUL – Campo Grande Bloco C6 Piso 1 Anfiteatro 6.1.36
- Segunda-feira, 6 de Junho de 2011 a Terça-feira, 7 de Junho de 2011
- Website: http://www.rev2011.ceaul.fc.ul.pt/
- Anexo: Book of Abstracts
Lisbon, 2011, June, 6 – 7
Focus of the Workshop
This is a two-day workshop aimed to build a bridge between researchers and practitioners. The focus is on Financial Extreme Values and EVT as a practical risk mitigation tool. The Workshop on Risk & Extreme Values in Insurance and Finance is held in the framework of the 100-year anniversary of the Faculty of Sciences of the University of Lisbon in 2011.
The conference represents a unique event which will bring together in Portugal the three authors of the book “Modelling Extremal Events for Insurance and Finance” Paul Embrechts (Zurich, Switzerland), Claudia Klüppelberg (Munchen, Germany), and Thomas Mikosch(Copenhagen, Denmark) – and present new challenges for the second decade of the 21st century, both for academics and practitioners of the financial world.
The “EKM book” constitutes an encyclopedic handbook of theory and statistical praxis and has been classified as the ” great value to actuaries and statisticians in the fields concerned and at the same time a useful and well motivated text book for those who need a guide for entering the area without getting lost either in pure theory or messy practice ” – MATHEMATICS TODAY.
More than 10 years after the first edition in 1997, there is consensus all over the world that it represents “ … the indispensable starting point for anyone interested in contemporary applications and extensions of classical EVT. ” – EXTREMES.
Three other scientists specialized in the interplay between probability, statistics, risk and finance will give invited addresses: Holger Drees (Hamburg, Germany) Casper de Vries (Rotterdam, The Netherlands) and Chen Zhou (De Nederlandsche Bank).
The main sponsor of the workshop is GENERALI Insurance.
The workshop is organized jointly by the FCT/MCTES research projects:
“EXTREMA –STATISTICAL EXTREMES IN TODAY’S WORLD“PTDC /MAT /101736 /2008
“ENES –EXTREMES IN SPACE“ PTDC/MAT/112770/2009