Heavy-tailedness and dependence: Implications for economic decisions and financial and insurance markets

Tuesday 14th February 2012 – 14:15 to 15:15

Speaker: Rustam Ibragimov (Harvard)

The talk will discuss the implications of risk distributional properties and dependence for a number of models in economics, finance and insurance, including diversification failures and catastrophe insurance markets. Several results discussed in the talk indicate, in particular, that, depending on their degree, the presence of heavy tails or dependence can either reinforce or reverse the conclusions of models in the above fields.

Part of the OMI Seminar Series