[Forum SIS] Extremes and Risks in Higher Dimensions - Call for Paper (secondo e ultimo annuncio)

[Pasquale Cirillo - EWI]

*** Second and Last Announcement ***


Extremes and Risks in Higher Dimensions

September 12-16, 2016
Leiden, The Netherlands.

Call for Papers

 Extreme value theory (EVT) is the branch of probability and statistics dealing with the modeling and the study of extreme and rare events, that is events whose magnitude and occurrence over time is not usual, but rather seen as “extremely different from the average”.

Within EVT, a recent field of research is the one related to multivariate extremes, or extremes in higher dimensions.

To deal with multivariate extremes (and the related risks), many tools have been and are continuously proposed, from the more or less direct generalization of univariate techniques to new measures of extremal dependence, from copulas to urn-based shock models, from novel results in large deviations to multivariate Gaussian processes.

From an applied point of view, multivariate extremes are becoming tremendously important in fields like finance and risk management, where the modeling of dependence, especially for extremal losses (or profits), is of pivotal importance.

In this workshop, thanks to the help of our invited speakers and 10 (ten) contributed papers we will carefully select, we will cover the most important topics related to extremes and risks in higher dimensions. We will focus on the latest findings, and discuss future trends, with the main aim of fostering new fruitful collaborations.
A section with professionals from the financial sector will enrich the discussion from the applied side.

The list of invited speakers includes: Valérie Chavez-Demoulin, Laurens de Haan, John Einmahl, Jürg Hüsler, Giovanni Puccetti, Nassim Nicholas Taleb, Chen Zhou.

Interested researchers can send their contributions, in the form of an extended abstract or paper. We are able to contribute to travel and accommodation expenses for those (10) who are selected. Selected speakers are kindly asked to stay for the entire workshop, or at least for a good part of it.

The deadline for the submission of extended abstracts or papers is June 10, 2016, but we favor earlier submissions. The acceptance/rejection will be communicated by June 30 at latest.

We strongly encourage young researchers to send their contributions, as well as women and minorities.

Please send your work in pdf form to: P.Cirillo a tudelft.nl<mailto:P.Cirillo a tudelft.nl> or J.J.Cai a tudelft.nl<mailto:J.J.Cai a tudelft.nl> (you can also ask for questions). Email subject: MEVT2016.

More info (website under preparation): http://www.lorentzcenter.nl/lc/web/2016/837/info.php3?wsid=837&venue=Oort

We hope to receive many high quality papers.


Best regards,

Juan-Juan Cai, Pasquale Cirillo, Armelle Guillou


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

Dr. Pasquale Cirillo
Assistant Professor of Applied Probability
"MOOC Professor" of Risk Management

Delft Institute of Applied Mathematics
Delft University of Technology - TU Delft
HB-06.090, Mekelweg 4
2628 CD Delft - The Netherlands
+31.152.782.589

www.pasqualecirillo.eu<http://www.pasqualecirillo.eu/>


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