Montag, 22. März 2021, 16:45 - 17:45 iCal
ISOR Colloquium
"Asymmetric least squares techniques for extreme risk estimation"
Speaker: Gilles Stupfler (ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information, France)
ONLINE
Vortrag
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.
The talk will give an overview of what Gilles Stupfler has been working on in the past few years. The main two underlying papers can be found at doi.org/10.1111/rssb.12254 and doi.org/10.1080/01621459.2018.1498348
To participate please join our ZOOM MEETING:
univienna.zoom.us/j/95698652741
Meeting room opens at: Mar 22, 2021 4.30 pm Vienna
Meeting ID: 956 9865 2741
Password: 355404
Zur Webseite der Veranstaltung
Veranstalter
Institut für Statistik und Operations Research
Kontakt
Sabine Sobotka-Tompits, BA
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38631
sabine.sobotka-tompits@univie.ac.at
Erstellt am Montag, 15. März 2021, 16:22
Letzte Änderung am Dienstag, 23. März 2021, 16:35