Second Brazilian Conference on Statistical Modelling in Insurance and

Maresias, August 28 - September 3, 2005


7:30-8:30 Registration
8:30-10:50 Principal Hall
8:30-10:50 Alfred Mller: Stochastic Ordering and Comparing Risks (Short Course, Part 1)
10:50-11:20 Coffee Break
11:20-12:30 Principal Hall
11:20-12:30 Time Series Session: Chairman 1
11:20-11:40 Morettin, P., Toloi, C., Chiann, C. and de Miranda, J.: Wavelet Estimation of Copulas for Time Series
11:45-12:05 Pizzinga, A. and Fernandes, C.: State Space Models for Dynamic Return-Based Style Analysis with Time-Varying Selectivity Measurement
12:10-12:30 Valle, C., Migon, H. and Lopes, H.F.: Stochastic Volatility Estimation: A Modern Dynamic Model Viewpoint
11:20-12:30 "Game" Hall
11:20-12:30 Financial Analysis Session 1: Chairman 2
11:20-11:40 Quintana, J.: Bayesian Efficient Trading
11:45-12:05 Sans, W.: A Short Note on Measurement Procedures for Improving the Variability Function
12:10-12:30 Belitsky, V. and Prado, F.: On Modeling the Formation of the Aggregated Demand in a Population of Interacting Heterogeneous Consumers
12:30-14:00 Lunch
14:30-16:10 Principal Hall
14:30-16:10 Invited Talks Session: Pedro A. Morettin (Chairman)
14:30-15:20 Marc Goovaerts: Decision Principles Derived from Risk Measures
15:20-16:10 Jorge Zubelli: Inverse Problems in Finance: A Short Survey of Calibration Techniques
16:10-16:30 Coffee Break
16:30-18:50 Principal Hall
16:30-18:50 Ernesto Mordecki: Lvy Processes in Finance and Insurance (Short Course, Part 1)
19:00-20:30 Dinner

First Poster Session: Fernanda Chaves (Chairman)

Andrade, M. and Oliveira, S.: AR-ARCH Models: ML and Bayesian Approaches Considering Brazilian Financial Data

Atherino, R. and Fernandes, C.: A State Model for IBNR Reserve Estimation: Revisiting De Jong & Zehnwirth

Busato, E. and Hotta, L.: Contagion Among Latin-American Markets

Felizatti, H. and Hotta, L.: Univariate and Bivariate Extreme Value Theory Applied to Stock Market Indices

Berti, A. and Morettin, P.: Estimation of Daily Volatility with High Frequency Data: Application to Ibovespa VaR Computation

de Miranda, J.: Modelling Daily Extreme Log-Returns

Kirchner, R., Souza, R. and Ziegelmann, F.: A Suggestion for Identifying the Structure of Linear and Non-linear Time Series: A Semi-parametric Approach

Neto, F., Faria, O. and Benze, B.: A Continuous Lifetime Value

Pinheiro, A., El-Dash, N. and Hotta, L.: Non-parametric Volatility Estimation in Continuous Time

Zhai, X.: Stochastikon Magister-An E-Learning System of Stochastic