Il giorno lunedì 12 gennaio alle ore 17 presso la aula seminari 4096 al
quarto piano dell'edificio U7 della Università di Milano-Bicocca, il dott.
Felix-Benedikt Liebrich della Università di Amsterdam terrà un seminario
dal titolo
Lambda-quantiles: A closer look at the new kid on the block
Abstract: Lambda-VaR has initially been suggested by Frittelli et al.
(2014) as a generalisation of classical Value-at-Risk. Recent years have
seen a surge in work on these functionals (or slightly more generally: on
Lambda-quantiles), both in financial and insurance applications and from a
decision-theoretic perspective. This talk focuses on Lambda-quantiles of
univariate probability distributions which generalise classical quantiles
by replacing the defining constant threshold in the unit interval with a
function Lambda mapping the real line to the unit interval. Working under
minimal assumptions, we analyse how the choice of Lambda determines
mathematical properties of the resulting functional. In particular, we
examine aggregation behaviour, continuity, identifiability of the
functional parameter Lambda, and the preservation of finer properties of
classical quantiles such as ordinal covariance. We conclude by discussing
interpretational issues in financial applications. Based on joint work with
Fabio Bellini.
Tutti gli interessati sono invitati a partecipare.
Fabio Bellini
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Prof. Fabio Bellini
Dipartimento di Statistica e Metodi Quantitativi (DISMEQ)
Università degli Studi di Milano-Bicocca
Edificio U7, IV piano, stanza 4055
Via Bicocca degli Arcimboldi 8, 20126 Milano
Webex: https://unimib.webex.com/meet/fabio.bellini
Orcid: https://orcid.org/0000-0002-3597-808X
Scholar: https://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it
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Si avvisa che domani, 08/01/2026, alle ore 14:30
presso il Politecnico di Milano, Dipartimento di Matematica, Aula Saleri,
nell’ambito delle attività del MOX, si svolgerà il seguente seminario:
Daniela Witten
Università di Washington
Titolo: Data thinning and beyond
Abstract: Contemporary data analysis pipelines often involve the use and reuse of data. For instance, a scientist may explore a dataset to select an interesting hypothesis, and then wish to test this hypothesis with the same data. From a statistical perspective, this double use of data is highly problematic: it induces dependence between the hypothesis generation and testing stages, which complicates inference. Failure to account for this dependence renders classical inference techniques invalid.
I will present "data thinning", a set of strategies for obtaining independent training and test sets so that the former can be used to select a hypothesis, and the latter to test it. Data thinning enables valid selective inference in settings for which no solutions were previously available. However, it is also restrictive, in the sense that it requires strong distributional assumptions. Therefore, I will also present strategies inspired by data thinning that enable valid post-selection inference without such assumptions.
Il link per seguire il seminario online sarà reso disponibile pochi minuti prima dell’avvio del seminario al seguente indirizzo
https://mox.polimi.it/mox-colloquia-seminars-list/mox-seminars/?id_evento=2…
Tutti gli interessati sono invitati a partecipare.
Cordialmente,
Laura Sangalli
——
Laura Maria Sangalli
MOX - Dipartimento di Matematica
Politecnico di Milano
Piazza Leonardo da Vinci 32
20133 Milano - Italy
(+39) 02 2399 4554
laura.sangalli(a)polimi.it
https://sangalli.faculty.polimi.it
Dear all,
This is a reminder that the deadline for registration (*2026-01-07*) for
the *DeFi & Crypto Workshop*, which will be held at Scuola Normale
Superiore (Pisa, Italy) *from 26/01/2026 to 28/01/2026*, is approaching.
The workshop explores key policy, technological, and market dynamics of the
crypto ecosystem, with a focus on DeFi mechanisms, market microstructure,
risk, and price formation.
The program features nine invited talks by leading academics and industry
experts, complemented by contributed sessions highlighting current trends
and future challenges in DeFi. For more information please refer to
the official
website <https://sns-defi.github.io/>.
Best regards,
DeFi & Crypto Workshop Organizing Committee
