Workshop on

"Multivariate Risk Management"

December 10-11, 2007

EURANDOM, Eindhoven, The Netherlands

Programme & Abstracts| Speakers  & Participants |Registration | Practical Information


Risk management is the technique of identifying, measuring, assessing, and handling risk addressed by diverse kinds of human activity. The objective of risk management is to reduce the risk to an acceptable level, defined by society or individuals. Risk reduction strategies depend often on several attributes, which leads to multivariate risk management. In multivariate setting, risk management treats different types and/or sources of risk and their impact as interacting with each other.

Risk management can be applied in such areas as mathematical statistics, reliability, operations research, biology, and physics, to name a few. Growing complexity of financial markets and traded instruments as well as stronger regulatory rules of the finance and insurance industry made multivariate risk management a topic of ultimate importance in finance, insurance, and economics. Typical examples of risk in finance are operational, credit and market risks.

The aim of the workshop is to bring together experts in multivariate risk management from different fields (finance, insurance, economics, reliability, biology, physics, etc) to find mutual interests, exchange ideas and expertise, and discuss possible common problems. The main focus of the workshop is on research methodology for multivariate risk management.

The workshop is organized in the framework of the “Multivariate Risk Modelling” project at EURANDOM.

An important aspect of the workshop is to create an arena to discuss the benefits and drawbacks of the different mathematical, statistical and computational approaches, principles and practice that underlies research in different branches of multivariate risk management. Therefore, speakers from different research fields are invited and each speaker is expected to give a talk followed by a discussion. There will be 15 contributed talks of 30 minutes including discussions.

The workshop is organised in connection with the coordinating meeting of the Joint European Project IB-JEP-25054-2004 "Training Centre for Actuaries and Financial Analysts" within the framework of the TEMPUS Programme (Trans-European Cooperation Scheme for Higher Education) financed by European Commission (Directorate-General for Education and Culture). The project consortium include: Katholieke Universiteit Leuven, Kyiv National Taras Shevchenko University, Mälardalen University (project coordinator), State Commission for Regulation of Financial Services Markets in Ukraine, Stockholm University, Ukrainian Actuarial Society, University of Aegean, University of Cologne.


Hansjörg Albrecher (RICAM and Graz University of Technology)
Svetlana Borovkova (Vrije Universiteit)
Hans Buehler (Deutsche Bank AG)
Nikolaus Hautsch (Humboldt-Universität zu Berlin)
Henrik Jönsson (EURANDOM)
Inge Koch (University of Antwerpen)
Dimitrios Konstantinides (Aegean University)
Viktoriya Masol (EURANDOM/KU Lueven)
Philipp Mayer (Graz University of Technology)
Alexander McNeil (Heriot-Watt University)
Ludger Rüschendorf (University of Freiburg)
Hanspeter Schmidli (University of Cologne)
Rafael Schmidt (University of Cologne)
Wim Schoutens (University of Leuven)
Tham Wing Wah (University of Warwick)


Monday December 10, 2007

9.30 – 9.45



9.45 – 10.15

Alexander McNeil

A New Perspective on Archimedean Copula

10.15 – 10.45

Hans Buehler

Measuring hedging performance

10.45 – 11.15

Coffee/Tea break


11.15 – 11.45

Rafael Schmidt

Modelling dynamic portfolio risk using risk drivers of elliptical processes

11.45 – 12.15

Svetlana Borovkova Basket options and implied correlations

12.15 – 14.00



14.00 – 14.30

Wim Schoutens

Credit CPPI and CPDO Pricing

14.30 – 15.00

Ludger Rüschendorf

Stochastic ordering and risk measures for portfolio vector

15.00 – 15.30

Coffee/Tea break


15.30 – 16.00

Henrik Jönsson

Single name credit derivatives under Lévy models

16.00 – 16.30

Viktoriya Masol

Levy base correlation




Tuesday December 11, 2007

9.30 – 10.00

Hansjörg Albrecher

Tax payments in risk theory

10.00 – 10.30

Hanspeter Schmidli

Optimal Dividend Strategies in a Cramér-Lundberg Model with Reinvestments

10.30 – 11.00

Coffee/Tea break


11.00 – 11.30

Inge Koch

The comonotonicity coefficient: a multivariate measure for positive dependence

11.30 – 12.00

Nikolaus Hautsch

Point Process Models for Financial High-Frequency Data

12.00 – 14.00



14.00 – 14.30

Philipp Mayer Robust calibration methods for financial market models

14.30 – 15.00

Dimitrios Konstantinides

A two-fluid actuarial model with an alternating payoff policy

15.00 – 15.30

Tham Wing Wah Time Deformation and the Yield Curve




There is no registration fee for full-time university staff.

On both days there are organised lunches free of costs for all participants, if ordered in the registration form.

For non-academia people the fee is 500 Euro for the two days all inclusive (lunches, workshop dinner, conference material).


Registration deadline is December 3, 2007.


Conference Location and Travel

the workshop location is EURANDOM,  Den Dolech 2, 5612 AZ Eindhoven, Laplace Building, 1st floor, LG 1.105.

EURANDOM is located on the campus of Eindhoven University of Technology, in the 'Laplacegebouw' building' (LG on the map). The university is located at 10 minutes walking distance from Eindhoven railway station (take the exit north side and walk towards the tall building on the right with the sign TU/e).

For all information on how to come to Eindhoven, please check


EURANDOM made preliminary group reservations in

hotel Hampshire Inn, Stratumsedijk 23d/f, Eindhoven. Special price single room  83* euro, double room 93* euro(breakfast included)

 * excl. tourist tax 3,50 euro per night.

If you want EURANDOM to make a reservation, indicate the requested nights in the registration page.

For privat bookings we suggest to consult the web pages of the Tourist Information Eindhoven, Postbus 7, 5600 AA Eindhoven.


On Monday-Tuesday lunches are being organised; free of costs for all participants, if ordered on the registration form.

On Monday, there will be an organised dinner. For non-invitees an amount of 35 euro is requested, to be paid at arrival in cash (preferably exact amount in euros). Indicate your attendance on the registration form.


For more information please contact Mrs. Lucienne Coolen, workshop officer of  EURANDOM, at


Henrik Jönsson (EURANDOM), Viktoriya Masol (EURANDOM/KU Leuven), Wim Schoutens (KU Leuven), Jef Teugels (EURANDOM/KU Leuven)


The Organizers would like to acknowledge the following organizations for their contributions


Last up-dated 24-02-09

This page is maintained by Lucienne Coolen