Second Brazilian Conference on Statistical Modelling in Insurance and
    Finance
         

Maresias, August 28 - September 3, 2005



CONFERENCE PROGRAMME (TUESDAY, AUGUST 30)


8:30-10:50 Principal Hall
8:30-10:50 Alfred Mller: Stochastic Ordering and Comparing Risks (Short Course, Part 2)
10:50-11:20 Coffee Break
11:20-12:30 Principal Hall
11:20-12:30 Copula Session: Roger Nelsen (Chairman)
11:20-11:40 Hotta, L., Lucas, E. and Palaro, H.: Estimation of VaR Using Copula and Extreme Value Theory
11:45-12:05 Sanfins, M. and Mendes, B.: Extremal Dependence in Stochastic Processes
12:10-12:30 Goncalves, M., Fabris, A. and Kolev, N.: Bounds for Distortion Functions of Dependent Risks via Copulas
11:20-12:30 "Game" Hall
11:20-12:30 Financial Analysis Session 2: Chairman 3
11:20-11:40 Matsumura, M.: Analysis of Emerging Markets Sovereign Credit Spreads
11:45-12:05 Schechtman, R.: An Investigation of Credit Risk Capital Requirements in Brazil by Means of a Resampling Procedure
12:10-12:30 Kao, T. and Guo, R.: Empirical Evidences of Non-equilibrium in Johannesburg Stock Exchange System
12:30-14:00 Lunch
14:30-16:10 Principal Hall
14:30-16:10 Invited Talks Session: Nikolai Kolev (Chairman)
14:30-15:20 Roger Nelsen: Dependence Modeling with Archimedean Copulas
15:20-16:10 Beatriz Vaz de Melo Mendes: Robust Fits for Copula Models
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 2)
19:00-20:30 Dinner
20:30-21:30 Second Poster Session: Fernanda Chaves (Chairman)

Anjos, U.: Representation of Bivariate Copulas via Local Measure of Dependence

Cruz, R., Fernandes, C. and Pizzinga, A.: Testing Volatility Models in Terms of Value at Risk

Bhering, J. and Migon, H.: Dynamic Macro Allocation Model Applied to Contribution Plan Design

Dorea, C.: Fitting Levy Motions for High Frequency Data by Scaled Transformations of Random Walks

Duarte, S., Migon, H. and Valle, C.: Stochastic Frontier Production Function Model with Error in Variables: Bayesian Approach

Migon, H. and Neto, W.: Underwriting Risk Based Capital Valuation to Loss Reserve Using Bayesian Models

Kolev, N., Paiva, D. and Fernandez, M.: Random Sums of Partially Exchangeable Variables

Ozaki, V.A, Goodwin, B. and Shirota, R.: Pricing Crop Insurance Contracts and Non-parametric Analysis

Simonis, A., Peixoto, C. and Esteves, L.G.: On the Distribution of Number of Success Runs in Exchangeable Processes

Silva, R. and Oliveira, P.: Critical Values for the Unit Root Model Under t-garch Innovations