
I will give a talk at McGill university this afternoon, on “distorting probabilities in actuarial science“. Note that Louis Paul Rivest will give a talk just after, but at UQAM, at the statistical seminar (here)

I will give a talk at McGill university this afternoon, on “distorting probabilities in actuarial science“. Note that Louis Paul Rivest will give a talk just after, but at UQAM, at the statistical seminar (here)
Talk at the statistical seminar at the Université de Bretagne Occidentale, in Brest, Wednesday May 6th Tuesday May 5th, 14h (in 10 days), on “multivariate extremes“. Slides can be found here.
The talk will give a detailed introduction on multivariate extremes and related concepts. Then the case of Archimedean copula will be fully described (following the paper with Johan Segers).
[04/05/2009]: some applications in risk management will be shown at the end of talk, as well as some news things on spatial correlation.

and in order to illustrate tail convergence of Archimedean copulas, I have uploaded two animations, with tail independence below,

with tail dependence (or asymptotic dependence),

Talk at the workshop in Sao Paulo, Thursday, on “estimation of quantile related risk measures“. The workshop also invited Claudia Kluppelberg, Richard Davis, and Ermanno Pitacco to talk. Slides can be found here. And maybe to explain a bit more where this idea of beta-kernels and transformed kernel comes from, I should mention those slides (see here for a more detailed version of the slides, and there for the full version of the paper with Jean David Fermanian and Olivier Scaillet).

Talk at the statistical seminar at the university of Belo Horizonte, Wednesday, on “multivariate extremes“. Slides can be downloaded here.
The talk will give a detailed introduction on multivariate extremes and related concepts. Then the case of Archimedean copula will be fully described (following the paper with Johan Segers).
Many thanks to Renato Martins Assunção (here) for inviting me for a couple of days in Belo Horizonte ! Thanks also for your interest in my blog… and since I understood that some people who do not speak French might be interested in my blog, I started to write my blog in English (or at least a langage that should not be too far away from English). There is a nice discussion about langage on this blog (here, unfortunately in French…)
Exposé à Toulouse 1, sur l’estimation nonparamétrique de quantiles.
In this talk we propose several nonparametric estimators of quantiles based on Beta kernel and applied to transformed data by the generalized Champernowne distribution initially fitted to the data. A Monte-Carlo based study will show that those estimators improve the efficiency, not only for light tailed distributions, but mainly for heavy tailed, when the probability level is close to 1. Another application will be seen, on portfolio optimization in the mean-VaR context.