Dependence Structures and
Extremes of Stochastic Models

 Research group of the

Department of Probability Theory and Statistics
Eötvös Loránd University
Mathematical Institute

H-1117 Budapest. Pázmány Péter sétány 1/C
Tel: (+36)(1) 372-2500 /8523
Fax: (+36)(1) 381-2152

  • Publications

  • Projects


    Large number of random driving forces acting in a synchronised way may generate complex phenomena with non-linear inner interdependence. Complex
    modelling, identification of the interdependence structure, description of extremal behaviour, and long-term prediction - all heavily influenced by
    non-linearity - are the focus of interest of the research group. The problems we consider originate mainly from environmental applications,
    financial and actuarial risk management. Solutions may be provided by theoretical considerations as well as simulations, bootstrapping and cross
    validation techniques.
       Members of the  group:

    assoc. prof. Miklós Arató
    assoc. prof. László Márkus
    assoc. prof. Vilmos Prokaj
    assoc. prof. András Zempléni
    assist. prof. Villő Csiszár
    res.associate  Pál Rakonczai  (until 09. 2011)
    res.associate  Balázs Boros  (from 09. 2011)