Contact

Director

Prof. Dr Andreas Stein

+49 (0)441 798-3232

W1 2-216

Office

IfM Office

+49 (0)441 798-3004

Antje Hagen

+49 (0)441 798-3247

W1 1-115

Frauke Wehber

+49 (0)441 798-3247

W1 1-115

Desislava German

+49 (0)441 798-3241

W1 1-120

Equal Opportunities Officer

Carolin Lena Danzer

+49 (0)441 798-3227

W1 1-104

Dr Birte Julia Specht

+49 (0)441 798-3607

W1 1-110

Dr Sandra Stein

+49 (0)441 798-3237

W1 2-214

Ombudsperson for issues of
discrimination and sexual harassment

Antje Hagen

+49 (0)441 798-3247

W1 1-115

IT Officer

Veronika Viets

+49 (0) 441 798-3236

W1 1-116

Address

University of Oldenburg
Institute of Mathematics
Campus Wechloy
Carl-von-Ossietzky-Str. 9-11
26129 Oldenburg

How to find us


Lectures

Talks

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

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

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