Présentation du Master Statistique & Économétrie aux étudiants de Licence de Mathématiques et de licence MASS de Brest, à l’UBO, mardi 5 mai, 12h45, Amphi F . La présentation se fera avec la présence de deux anciens élèves. L’après midi, je ferais un exposé au séminaire de probabilités (ici).
Category Archives: Students
Soutenance de thèse, Paris II
Soutenance de thèse de Noureddine Ben Lagha, à Paris II Assas, sur l’assurance automobile,
Son directeur de thèse était Michel Grun-Rehomme, avec dans le jury, Georges Bresson, Alain Trognon, Michel, Marc Fleurbaey et Denis Fougère.
Dynamic flood modeling: combining Hurst and Gumbel’s approach
The paper (with David Sibai) on High Frequency models in hydrology just appeared, in Environmetrics.
When working on river floods—annual river levels maxima—, two approaches are usually considered: one inspired from Emil Gumbel where annual maxima are supposed to be i.i.d. and distributed according to Gumbel’s distribution, and one inspired from Edwin Hurst where annual maxima are strongly dependent, and exhibit long range memory. This paper tries to solve this apparent paradox by deriving a dynamic model inspired from financial models, which does not take into account annual maxima only but also threshold exceedances. It studies the implications of such a paradox in terms of return period—a notion valid as long as the data are i.i.d—and of extremal events.