[Forum SIS] Seminar

[Simone Padoan]

Dear All,
We are glad to announce the following talk

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DEC - Statistics Seminar - Università Bocconi,

Thursday, April 23rd, 2015,

Room 3-E4-SR03, Via Roentgen 1 - 3rd floor

Time: 12:30pm

(The complete DEC seminars schedule is available at            
                 http://www.unibocconi.eu/statseminar)
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Speaker

Holger Rootzén
(Chalmers University of Technology)


Title

"Extreme episodes and Multivariate Peaks over Thresholds modelling"


Abstract


Extreme windstorms such as the windstorm Gudrun which struck Sweden in 2006 and caused around 1.4 billion in damage pose very significant economic risks.  Motivated by results from a collaboration on wind storm insurance with the largest Swedish insurance company, this talk will review ongoing work on Multivariate Peaks over Thresholds modeling aimed at handling broad spectrum of economic and environmental risks.  Multivariate Generalized Pareto distribution will be used as the main modelling tool for risk handling. I will discuss properties of these distributions, including asymptotic motivation and basic properties of the models; statistical methods; spectral representations; connection between statistical methods based on multivariate point processes models and based on multivariate generalized Pareto models; and spatial extreme value models. Joint work with Anna Kirilouk, Nader Tajvidi, Jennifer Wadsworth.

sis

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Dr. Simone Padoan, PhD.
Assistant Professor

Department of Decision Sciences
Bocconi University of Milan
via Roentgen, 1 20136 Milano - Italy
tel. +39 02 5836 5368
Email: simone.padoan a unibocconi.it
Webpage: http://faculty.unibocconi.it/simonepadoan
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