Vine Copulas and their Applications
Time: July 8 and 9, 2019 (prior to the 23rd International Congress on Insurance: Mathematics and Economics)
Place: Institute for Advanced Study, Garching
Registration fee: 100/200€ (academic/industry), coffee breaks will be provided.
Note that a short course to introduce vine copulas and their estimation using R will take place prior to the workshop on July 7, 2019 from 9:00 to 17:00 (fee: 50/100 € (academic/industry)). The cost for the short course will cover coffee breaks and lunch snacks.
The book of abstracts including the schedule can be found below.
Realistic big data analyses require statistical models accounting for dependence. The class of vine copulas (vine-copula.org) has been shown to capture flexibly dependence patterns with tail dependence and asymmetry. Vine copulas significantly extend the Gaussian copula. This two day workshop is devoted to theoretical and methodological advances in vine copula models, including estimation, model selection, simulation, statistical learning, and survival models. Another focus is to showcase important applications in the area of finance, insurance, life sciences, engineering and machine learning.
Confirmed keynote speakers
Kjersti Aas, Norwegian Computing Center
Carole Bernard, Grenoble Ecole de Management
Roger Cooke, Resources for the Future
Harry Joe, University of British Columbia
Dorota Kurowicka, TU Delft