[Forum SIS] Webinar in Statistics GILLES STUPFLER

[Pierpaolo De Blasi]

WEBINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO
<https://www.carloalberto.org/events/category/seminars/seminars-in-statistics/?tribe-bar-date=2019-09-01>

Venerdi 9 Aprile 2021, alle ore 12.00, si terrà il seguente webinar:

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Speaker: *Gilles Stupfler *(ENSAI Rennes and CREST, France)


Title: *Asymmetric least squares techniques for extreme risk estimation*


Zoom link:
https://us02web.zoom.us/j/81720792366?pwd=QWtaYVRRejVSVGlOMXFMaDdsemxjdz09
Meeting ID: 817 2079 2366
Passcode: 241135

Abstract:
Financial and actuarial risk assessment is typically based on the
computation of a single quantile (or Value-at-Risk). One drawback of
quantiles is that they only take into account the frequency of an extreme
event, and in particular do not give an idea of what the typical magnitude
of such an event would be. Another issue is that they do not induce a
coherent risk measure, which is a serious concern in actuarial and
financial applications. In this talk, I will explain how, starting from the
formulation of a quantile as the solution of an optimisation problem, one
may come up with two alternative families of risk measures, called
expectiles and extremiles. I will give a broad overview of their
properties, as well as of their estimation at extreme levels in
heavy-tailed models, and explain why they constitute sensible alternatives
for risk assessment using some real data applications. This is based on
joint work with Abdelaati Daouia, Irène Gijbels, Stéphane Girard and
Antoine Usseglio-Carleve.
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Il webinar è organizzato dalla "de Castro" Statistics Initiative

www.carloalberto.org/stats


Cordiali saluti,

Pierpaolo De Blasi

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University of Torino & Collegio Carlo Alberto

carloalberto.org/pdeblasi
<https://sites.google.com/a/carloalberto.org/pdeblasi/>
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