Second Brazilian Conference on Statistical Modelling in Insurance and

Maresias, August 28 - September 3, 2005


9:30-10:40 Contributed Talks
9:30-10:40 Principal Hall
9:30-10:40 Financial Analysis Session 3: Chairman 10
9:30-9:50 Fernandes, M. and Rocha, M.A.: Are Price Limits on Futures Markets that Cool? Evidence from the Brazilian Mercantile and Futures Exchange
9:55-10:15 Andrade, M. and Cobre, J.: The Stochastic Volatility in Mean Model: A Linear Approximation
10:20 -10:40 Sales, A. and Tannuri-Pianto, M.: The Use of Duration Models to Explain Bank Failures in Brazil (1994-1998)
10:40-11:40 Third Poster Session: Fernanda Chaves (Chairman)

Zeitouny, O.: Ruin Probability in the Presence of Risky Investment and Variable Premium Rate

Franco, M.A. and Fernandes, G.: Heterogeneity and Integer Valued Processes

Lebensztayn, E., Machado, F. and Zuluaga, M.: A Note on Random Walks and Self-Avoiding Random Walks on Homogeneous Trees

Aubin, E. and Cordeiro, G.: Improved Likelihood Ratio Statistics for Linear Normal Models when the Error of Covariance Matrix Is Nonscalar

Canton, A. and Ventura, A.: Volalatility Analysis of a Multivariate Distribution of a Daily Stock Returns

12:00-13:00 Lunch
14:00 Busses to Sao Paulo and Rio de Janeiro