Faculty of Actuarial Science & Insurance Research Seminar with Kjersti Aas

Faculty of Actuarial Science & Insurance Research Seminar with Kjersti Aas

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Presentation

Wed, 26 Feb 2020

4:00 PM – 5:00 PM

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Cass Business School, 106 Bunhill Row
Seminar Room 2005

106 Bunhill Row, London EC1Y 8TZ, UK

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ABSTRACT:
Dependence modelling via Vine Copulas Vine copulas have proven to be flexible dependence models, which are able to model tail dependence pattern as they occur in financial and insurance data. The models power is driven by the ability to construct a d- dimensional dependence model from a collection of bivariate models through appropriate conditioning. This pair copula construction allows to work with high dimensional data. I will discuss the basic construction principle and give a review of its applications to finance.

BIOGRAPHY:
Kjersti Aas is Assistant Research Director at NR, where she is also Research Leader for the research area Finance, insurance and commodity markets. She received her M.Sc. in Industrial Mathematics from The Norwegian Institute of Technology (NTH) in 1990 and her Dr.Philos. in 2008 from the Department of Mathematical Sciences, Norwegian Institute of Science and Technology (NTNU). She started as a research scientist at NR in 1991. Until 2000 her research was mostly within image analysis and pattern recognition. Since then her research has been focused on quantitative finance. Kjersti had a 20% position as adjunct professor at the Department of Mathematics, University of Bergen from 2011—2017, was key innovator in the research based innovation centre Statistics for Innovation 2007—2014, and is co-director for the research-based innovation centre BigInsight from 2015—2023. Kjersti has been project leader for more than 150 academic and industrial NR-projects during 1991—2019. She has published more than 25 peer-reviewed papers, and supervised 5 PhD candidates and 10 master students.
Food Provided (Tea and Coffee will be provided at 15:45)



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Where

Cass Business School, 106 Bunhill Row
Seminar Room 2005

106 Bunhill Row, London EC1Y 8TZ, UK