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Recent developments in dependence modelling with applications in finance, insurance and pensions

The finance and insurance research group of Vrije Universiteit Brussel (VUB) is pleased to announce the seventh edition of the workshop “Recent developments in dependence modelling with applications in finance, insurance and pensions”

The event will take place from Wednesday 14th until Friday 16th September 2022, on the island of Agistri (near Athens, Greece).

Academic researchers and practitioners in the field of risk management, dependence modeling and actuarial mathematics are most welcome.

In addition to invited lectures, there will be sessions with contributed talks. If you would like to present a paper, please submit a title and a one-page abstract before April 21th to workshopdemo2022@gmail.com. We will inform you on acceptance of your proposal on an ongoing basis but no later than May 1st, 2022.

 

Organizing committee

Michalis Anthropelos (University of Piraeus, Greece)

Carole Bernard (Co-Chair, Vrije Universiteit Brussel, Belgium)

Kris Boudt (UGent, Belgium)

Sofie Devos (Vrije Universiteit Brussel, Belgium)

Steven Vanduffel (Co-Chair, Vrije Universiteit Brussel, Belgium)

Scientific committee

Michalis Anthropelos (University of Piraeus, Greece)

Carole Bernard (Co-Chair,Vrije Universiteit Brussel, Belgium)

Kris Boudt (UGent, Belgium)

Alfred Müller (Universität Siegen, Germany)

Antonis Papapantoleon (TU Delft, the Netherlands)

Giovanni Puccetti (University of Milan, Italy)

Ludger Rüschendorf (University of Freiburg, Germany)

Steven Vanduffel (Co-Chair, Vrije Universiteit Brussel, Belgium)

Nicolas Bousquet (UPMC Sorbonne Université, France)

Corina Constantinescu (University of Liverpool, United Kingdom)

Ed Furman (York University, Canada)

Daniel Linders (University of Amsterdam, the Netherlands)

Gildas Mazo (Université Paris-Saclay, France)

Silvana Pesenti (University of Toronto, Canada)

Marco Scarsini (Luiss University of Rome, Italy)

Tomer Shushi (Ben-Gurion University of the Negev, Israel)

Bertrand Tavin (Emlyon business school, France)

Phillip Yam (The Chinese University of Hong Kong, Hong Kong)

Aggregated Markov Chain Models in Life Insurance: Properties and Valuation
Jamaal Ahmad, Mogens Bladt and Christian Furrer

Efficient Monte Carlo Estimation of Portfolio Loss Economic Capital with ASRF Control Variate
Matteo Barbagli and Frédéric Vrins

Economic Capital Monotonicity Using Supermodularity and Stop Loss Arguments in an Elliptical Distribution Setup for Centrally Cleared and Bilateral Portfolios
Dorinel Bastide, Stéphane Crépey, Samuel Drapeau and Mekonnen Tadese

A Multi-Curve HJM Factor Model for Pricing and Risk Management
Tobias Bienek, Griselda Deelstra, Andreas Lichtenstern and Rudi Zagst

Time Series with Infinite-order Partial Copula Dependence
Martin Bladt and Alexander J. McNeil

Collective Risk Models with FGM dependence
Christopher Blier-Wong, Hélène Cossette and Etienne Marceau

Risk Aggregation with Bernstein Copulas
Christopher Blier-Wong and Hélène Cossette and Etienne Marceau

Finite-Sample Properties of Semiparametric Estimators for Dependence Parameters in Copula Models 
Alexandra Dias

High Dimensional Time Series Using a Composite Likelihood Approach With Sparsity
Dimitris Karlis. Talk based on joint work with Konstantinos Fokianos and Xanthi Pedeli.

On Attainability of Kendall's Tau Matrices and Concordance Signatures
Alexander J. McNeil, Johanna G. Neslehova and Andrew D. Smith

Quantifying Model Risk in Swaption Portfolios: the Effectiveness of a Parametric Approach
Andrea Monaco, Alessandro Sgarabottolo and Adamaria Perrotta

$L_p$-Norm Spherical Copulas
Alfred Müller. Talk based on joint work with Carole Bernard and Marco Oesting.

Bayesian Testing of Granger Causality in Functional Time Series
Rituparna Sen

Selecting Bivariate Copula Models Using Image Recognition
Andreas Tsanakas and Rui Zhu

Capital Allocation, Diversification, and Multivariate Stress Tests
Andreas Tsanakas. Talk based on joint work with Yuanying Guan, Pietro Millossovich and Ruodu Wang.

Measuring Association with Wasserstein Distances
Johannes Wiesel

Monitoring Network Changes in Social Media
Cathy Yi-Hsuan Chen, Yarema Okhrin and Tengyao Wang

Registration fee

The registration fee includes participation to the conference, all coffee breaks, lunches and dinners.

Academics: 225 €

Non-academics: 295 €

Cancellation policy

In case the event is cancelled we reimburse the registration fee.

Online registration


Click here

Venue

The workshop will be held in Hotel Rosy's Little Village on the island of Agistri (near Athens).

Accomodation

If you want to stay in this hotel, then please consult their website. The number of rooms is limited – prices are reasonable. 

Of course you are free to stay in another hotel of your choice. 

The organization will make the necessary arrangements for the invited speakers.

Travel information

Airport

The closest airport is Athens (ATH). From the airport, there are reliable bus, metro and train connections to Pireaus port from which you can take a ferry to Agistri.

Bus

You can catch the bus from the designate area at the arrivals level (between Exit 4 and Exit 5, very easy to find). The bus to take is the X96: Athens Airport-Piraeus. There is a bus leaving for Piraeus every twenty (during day) to forty minutes (during night) and it takes about 60-80 minutes to arrive in Piraeus (a taxi is about 20 minutes faster). You can find the schedule for the bus just outside from the baggage area of the airport. Tickets are available from the ticket kiosk at the bus departure area and cost 6.00€. You get off the bus when you see the port (with ferrries) on your left side. The ferries to Agistri depart in front of the street Akti Posidonos (Gate E8) and note that on google maps the indications for the different ferry routes are not very precise.

Metro/train

In the airport, after the customs follow the sign “trains”, you have two options, going by metro or going by direct train. Direct trains: https://tickets.trainose.gr/dromologia/, one train per hour (ticket=10 euros). You can also take the subway (ticket=10 euros) to go from Airport to Piraeus with one change at Monastiraki (first take M3 direction Agia Marina, change in Monastiraki after about 42 minutes and next take the M1 direction Piraeus until terminus (20 minutes)). There is a metro frequently. When you get out of the metro station, turn right and after 50 meters you are on the main street Akti Kalimasioti where you turn left until you reach the gate E8, from which the boat to Aegina-Agistri departs. It is about 500m. If you arrive by train, it is 300m further.

Ferry

Ferries from Piraeus to Agistri run every hour from 7 am to 8 pm  and cost approximately 17 euros. Tickets can be very easily purchased at the port (right in front of where the boat leaves). The trip by ferry takes about one and a half hour. You can also take a fast boat (On Sunday 15/9 there are after 18.30 only fast boats available, the last one is at 22.10).  The fast boat will bring you to Milos, 1.5 kilomers away from the hotel, and the ferry will bring you to Skala, only 200 meters away from the hotel. Here is a useful link where you can find the schedule for the connection piraeus-Agistri.