[Forum SIS] DEC Seminar (Bocconi) - October 1st

[Raffaella Piccarreta]

Dear all, we are glad to announce the next DEC statistics seminar. 
Regards, 
Raffaella Piccarreta and Isadora Antoniano 


****************************** 


DEC - Statistics Seminar 
Università Bocconi, 
Room 3-E4-SR03 
Via Rontgen 1 - 3rd floor 
Time: 12:30pm 



The DEC seminar schedule is available at http://www.unibocconi.eu/statseminar 



Thursday, October 1st 



Michael Falk 
(Universität Würzburg) 




"An Offspring of Multivariate Extreme Value Theory: D-Norms" 



Abstract 
Multivariate extreme value theory (MEVT) is the proper toolbox for analyzing several extremal events simultaneously. Its practical relevance in particular for risk assessment is, consequently, obvious. 
But on the other hand MEVT is by no means easy to access; its key results are formulated in a measure theoretic setup, a fils rouge is not visible. 
Writing the 'angular measure' in MEVT in terms of a random vector, however, provides the missing fils rouge: Every result in MEVT, every relevant probability distribution, be it a max-stable one or a generalized Pareto distribution, every relevant copula, every tail dependence coefficient etc. can be formulated using a particular kind of norm on multivariate Euclidean space, called D-norm. Norms are introduced in each course on mathematics as soon as the multivariate Euclidean space is introduced. The definition of an arbitrary D-norm requires only the additional knowledge on random variables and their expectations. But D-norms do not only constitute the fils rouge through MEVT, they are of particular mathematical interest of their own. 


-- 
*************************************************** 
Raffaella Piccarreta 
DEC - Department of Decision Sciences, 
Universita' L.Bocconi, via Guglielmo Röntgen 1 (3rd floor, room D1-09). 20136, Milano. 
email: piccarreta a unibocconi.it 
tel. +39-02-58365659 / fax +39-02-58365630 

Web page (ENGLISH VERSION): http://faculty.unibocconi.eu/raffaellapiccarreta/ 
(ITALIAN VERSION): http://faculty.unibocconi.it/raffaellapiccarreta/ 
*************************************************** 
-------------- parte successiva --------------
Un allegato HTML è stato rimosso...
URL: <http://www.stat.unipg.it/pipermail/sis/attachments/20150924/67b8ef87/attachment-0001.html>
-------------- parte successiva --------------
Un allegato non testuale è stato rimosso....
Nome:        M. Falk 01.10.2015.pdf
Tipo:        application/pdf
Dimensione:  44347 bytes
Descrizione: non disponibile
URL:         <http://www.stat.unipg.it/pipermail/sis/attachments/20150924/67b8ef87/attachment-0001.pdf>