Colloquium Instuctor

Prof. Dr. Gero Junike

uol.de/gero-junike

W01 2-232, Carl-von-Ossietzky-Str. 9 - 11 (» Adress and map)

+49 441 798-3729  (F&P

Mathematics and Mathematics Didactics Colloquium

Lecture: Prof Dr Dietmar Pfeifer

Title: "Generating unfavourable VaR scenarios under Solvency II with patchwork copulas"

As the central idea of the presentation, we present a general, simple patchwork construction principle for multivariate copulas, with which unfavourable VaR (i.e. Value at Risk) scenarios are possible while maintaining the given risk-rank distributions. This is particularly important for the so-called internal models or Pillar II (ORSA) under Solvency II. Since it seems unrealistic that the potentially absolute worst-case scenario will materialise in reality, "almost worst-case" scenarios as addressed in this presentation are good modelling alternatives, especially in higher dimensions. Our approach can be seen as a special case of the so-called ordinal sums, which even represent the absolute worst VaR scenario in two dimensions. The lecture will be held in German.

The lecture will take place on

Wednesday, 17 January 2024 at 5.15 pm in room W01 0-006

Coffee/tea 16.45 in room W1 2-213

 

Interested parties are cordially invited.

 

17.01.2024 17:15 – Open End

(Changed: 20 Jun 2024)  | 
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