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. ------------------------------------------------
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/