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…)
Le blog va se mettre en vacances quelques jours, le temps de descendre dans l’hémisphère sud… Je ferais un exposé à Belo Horizonte le mardi 31 mars, à Sao Paulo le jeudi 2 avril, et je ferais ensuite un short cours à la conférence à Maresias. Et dans 10 jours…. à suivre…
There has been recently a large interest in catastrophic risks, especially following hurricane seasons in 2004 and 2005. But measuring those risks and providing an appropriate cover might be difficult. In this course, we will first describe those risks, especially climate risks (or climate related), man based risks (large fires or business interuption), and mortality risks. For those risks, we will also discuss possible covers, from classical (re)insurance to securitization (cat or mortality bonds) or insurance-linked securities (cat options). As we will see, the pricing of those products can simply be related to the choice of a risk measure. We will then discuss risk measures for large risks, and conclude with the aggregation issue.
Two examples of natural catastrophes securitization will be studied carefully