Johannes Kepler Symposium für Mathematik

Im Rahmen des Johannes-Kepler-Symposiums für Mathematik wird Dr. Fabrizio Durante, Department of Knowledge-Based Mathematical Systems, JKU Linz, am Wed, Nov. 4, 2009 um 17:15 Uhr im HS 9 einen öffentlichen Vortrag (mit anschließender Diskussion) zum Thema "Modelling Dependence with Copulas" halten, zu dem die Veranstalter des Symposiums,

O.Univ.-Prof. Dr. Ulrich Langer,
Univ.-Prof. Dr. Gerhard Larcher
A.Univ.-Prof. Dr. Jürgen Maaß, und
die ÖMG (Österreichische Mathematische Gesellschaft)

hiermit herzlich einladen.

Series B - Mathematical Colloquium:

The intention is to present new mathematical results for an audience interested in general mathematics.

Modelling Dependence with Copulas

The concept of copula represents a flexible way for describing the dependence among the components of a given random vector. As such, it has gained a lot of popularity during the last years, especially in view of its applications to finance, insurance and natural sciences.

In this talk, we present some recent results concerning the use (and some abuses) of copulas for capturing tail dependencies among random variables. In particular, we will show how a variety of multivariate stochastic models having a specific tail behaviour can be obtained by considering special copula constructions.

Moreover, we introduce and discuss the recent concept of threshold copula, emphasizing its possible application to the detection of (spatial) contagion between two financial markets.