International Workshop on High-Dimensional Dependence and Copulas

Copulas are multivariate distributions with standardized margins that capture scale-invariant dependence structures of random variables. The copula method offers great flexibility in building multivariate stochastic models and has become increasingly important in multivariate analysis. The purpose of this workshop is to bring together active experts working in the areas of copulas and quantitative risk management and to discuss recent advances, open questions and challenges.

The focus will be on high-dimensional distributions/copulas, such as vine copulas, and their applications in multivariate risk/ruin analysis, extreme value analysis, quantitative finance, climate change, etc. The workshop is intended to foster collaborations among experts from China, Europe/North America in this exciting and fast-growing research area. Workshop History: This international workshop is evolved from the four workshops that were successfully held in various parts of the world. The first two workshops on vine copulas were held in Delft in December 2007 and in December 2008 respectively.

The third workshop was held in Oslo in December 2009. The fourth workshop in the series was held in Munich in May 2011. The current workshop, which we have re-branded as "International Workshop on High-Dimensional Dependence and Copulas: Theory, Modeling, and Applications", focuses on the theoretical aspect and practical applications of the high-dimensional dependence models. 

Current List of Confirmed Invited Speakers:

1. Kjersti Aas (Norwegian Computing Center, Norway, kjersti@nr.no)
2. Elif Acar (University of Manitoba, Canada, Elif.Acar@umanitoba.ca)
3. Eike Brechmann (Technical University of Munich, Germany, brechmann@ma.tum.de)
4. Umberto Cherubini (University of Bologna, Italy, umberto.cherubini@unibo.it)
5. Roger Cooke (Delft University of Technology, Netherlands, and Resources for the Future, USA, Cooke@rff.org)
6. Claudia Czado (Technical University of Munich, Germany, cczado@ma.tum.de)
7. Jan Dhaene (KU Leuven, Belgium, Jan.Dhaene@econ.kuleuven.be)
8. Edward Frees (University of Wisconsin, USA, jfrees@bus.wisc.edu)
9. Oliver Grothe (University of Cologne, Germany, grothe@statistik.uni-koeln.de)
10. Lei Hua (Northern Illinois University, USA, hua@math.niu.edu)
11. Marius Hofert (ETH Zurich, Switzerland, marius.hofert@math.ethz.ch)
12. Piotr Jaworski (University of Warsaw, Poland, P.Jaworski@mimuw.edu.pl)
13. Harry Joe (University of British Columbia, Canada, harry@stat.ubc.ca)
14. Dorota Kurowicka (Delft University of Technology, Netherlands, d.kurowicka@tudelft.nl)
15. Hans Manner (University of Cologne, Germany, manner@statistik.uni-koeln.de)
16. Aris Nikoloulopoulos (University of East Anglia, UK, A.Nikoloulopoulos@uea.ac.uk)
17. Ulf Schepsmeier (Technical University of Munich, Germany, schepsmeier@ma.tum.de)
18. Pavel Shevchenko (CSIRO, Australia, Pavel.Shevchenko@csiro.au)
19. Emiliano Valdez (Michigan State University, USA, valdezea@math.msu.edu)
20. Ruodu Wang (University of Waterloo, Canada, ruodu.wang@uwaterloo.ca)
21. Gregor Weiss (TU Dortmund, Germany, gregor.weiss@tu-dortmund.de)
22. Chengguo Weng (University of Waterloo, Canada, c2weng@math.uwaterloo.ca)
23. Zhengjun Zhang (University of Wisconsin, USA, zjz@stat.wisc.edu)
24. Wei Wei (University of Wisconsin-Milwaukee, USA, weiw@uwm.edu)