Abstract

In this three days workshop, we will briefly introduce and study time series and their applications in finance and insurance. In the first part we will study few known time series, including AR, ARMA, ARIMA, GARCH processes. For instance, we will discuss the dependence structure, the memory and some related discussions in this field. In the second part we will discuss applications of time series to insurance and finance. In particular, we will discuss how to create economic scenario generators (ESG) for insurance applications. We will also discuss the application of time series to model financial data sets, in particular the commodity market prices.

This mini-workshop is free of charge and everyone is welcome to attend.



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