Guest Lecture, Eike Brechmann, Allianz- Private Krankenversicherung AG, München
On February 4th, 2015 Prof. Sandra Paterlini invited Eike Brechmann to a guest lecture.
Titel: “Dependence Modelling with Copulas and Applications in Finance”
Presentation of the concept of statistical dependence modelling using copulas, which was recently become very popular in science and industry. After looking at the most important properties of copulas, common model classes and recent developments were discussed. Special focus was given to models for high-dimensional applications as they were common in finance. Examples of such applications in marker, operational and systemic risk assessment were presented.