The mathematics and statistics of quantitative risk management. Abstracts from the workshop held September 20--26, 2015

DOI10.4171/OWR/2015/42MaRDI QIDQ1698014zbMATH OpenFDO

Authors

Publication date 21 February 2018

Published in Oberwolfach Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4171/OWR/2015/42

Mathematics Subject Classification ID

Collections of abstracts of lectures (00B05) Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Applications of stochastic analysis (to PDEs, etc.) (60H30) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Applications of statistics to actuarial sciences and financial mathematics (62P05) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Credit risk (91G40) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

Review text

Summary: It was the aim of this workshop to gather a multidisclipinary and international group of scientists at the forefront of research in econometrics, financial time series analysis, extreme value theory, financial mathematics, insurance mathematics and quantitative risk management. The heterogeneous composition of this group of researchers allowed one to discuss different facets of the mathematics and statistics of quantitative risk management, to communicate the state-of-the-art in the different areas, and to point towards new directions of research.

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