15th International Summer School 1999
of the Swiss Association of Actuaries
Modelling Extremal Events
for Insurance and Finance
10
Ecole d'été 1999 du groupe consultatif
des associations d'actuaires
des pays des communautés européennes
10
Ecole des HEC, University of Lausanne, August 9-13, 1999
10
Lecturers
Prof. Paul Embrechts, ETHZ (Scientific Director),
Dr. Alexander McNeil, ETHZ,
others to be announced.
Course outline
  • An overview of extreme value theory (EVT) will be given. The newly introduced methodology is exemplified via S-Plus software programs specially written for this purpose.
  • The EVT results are used to complement existing risk management (RM) techniques in finance and insurance. After giving an overview of current best practice in RM, we discuss the ways in which EVT offers a useful tool to go beyond the existing measures, such as Value-at-Risk (VaR). Various examples based on data from insurance and finance are given.
  • We also discuss the necessary RM methodology underlying an Integrated Risk Management System (the integration standing for underwriting as well as investment risk). The usefulness for finance of classical acturial classical tools will be highlighted.
  • Some common caveats based on the use of correlation in finance and insurance will be presented.
    • Language
    English
    Course text
    Embrechts, P., Klueppelberg, C., and Mikosch, T. (1997) Modelling Extremal Events for Insurance and Finance, Springer, Berlin.
    Participants
    Actuaries. The participants are expected to be familiar with basic probability theory.
    Fee
    Swiss Francs 1290.-
    This price includes tuition, the course text, hotel accomodation (single room), and half board.
    Location
    Institute of Actuarial Science, Ecole des HEC, University of Lausanne, Switzerland.
    Dates
    Monday, August 9 (morning) to Friday, August 13 (noon) 1999.
    The participants are expected to arrive
    Remark
    The number of participants is limited. Should your application be accepted, your registration will be confirmed by the end of April 1999.
    You can print the registration form (in pdf format) as the last page of bulletin 28 of the International Actuarial Association (IAA). Then send it by fax (0041 21 692 3305) to us.

    Hans U. Gerber
    Responsible for the International Summer School

    Herbert Lüthy
    President of the Swiss Association of Actuaries