Oberwolfach-Seminar: Dependence and Tail Modelling with Applications to Finance, Insurance, Teletraffic and Climate

November 19th - November 25th, 2006
Richard Davis, Fort Collins
Holger Drees, Hamburg
Thomas Mikosch, Copenhagen
The analysis of data exhibiting heavy tails often depends on the notion of regular variation (power law behavior of tails) of random variables and random vectors. In the course we show that multivariate regular variation arises in some common linear and non-linear time series models. Therefore it is a very natural concept in this context that also fits nicely into the theory of multivariate extremes. Moreover, the relationship between regular variation and the convergence of certain point processes can be used to derive the large sample behavior of statistics describing the dependence between the observations. Finally, an extension of regular variation to stochastic processes and its applications to large deviations for random walks and Levy processes with heavy tails are discussed.
Familiarity with stochastic processes and measure theory.
Deadline for applications:
October 1, 2006

The seminars take place at the Mathematisches Forschungsinstitut Oberwolfach. The number of participants is restricted to 24. The Institute covers accommodation and food. Travel expenses cannot be reimbursed. Applications including

should be sent as hard copy or by e-mail (.ps or .pdf file) to:

Prof. Dr. Gert-Martin Greuel
Universität Kaiserslautern
Fachbereich Mathematik
Erwin Schrödingerstr.
67663 Kaiserslautern, Germany

Mathematisches Forschungsinstitut Oberwolfach   updated: October 8th, 2005