Extrêmes – Copules – Actuariat
22 au 26 février 2016
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Cette semaine sera consacrée à trois thèmes : les valeurs extrêmes, les copules et l’actuariat, et aux différentes interactions entre ces thèmes.
L’aspect statistique sera mis en avant à la fois par des développements théoriques récents, mais aussi à travers des applications. La semaine sera divisée en exposés théoriques et appliqués et en mini cours sur ces trois thèmes. |
Comité scientifique
Anne-Laure Fougères (Université Lyon 1) Comité d’organisation Mohamed Boutahar (Aix-Marseille Université) Conférenciers
Challenges in Reinsurance Modelling
Fractional Poisson process: long-range dependence and applications in ruin theory
Inference pour des modèles semi paramétriques définis par des conditions sur leurs L-moments
Weak convergence of the empirical copula process with respect to weighted metrics
Extreme-Value Copulae and Applications
On tail dependence coefficients of transformed multivariate Archimedean copulas
Full lilelihood inference for multivariate max-stable distributions
Parameter Estimation for Mixed-type Distributions with Application to Destruction Rate Modeling in Insurance
Kernel estimation of extreme risk measures for all domains
Fast Change of time Detection on Proportional Two Populations Hazard Rates
Single-index copulae
Estimation of tail risk based on extreme expectiles
Orthogonal polynomials expansions and lognormal sum densities
Estimation of the marginal expected shortfall
Applications of the multivariate tail process for extremal inference
Extremes on directed acyclic graphs
Testing for changes in series of block maxima
Ruin problems for processes in a changing environment
Discrete Schur-constant models
Nonparametric copula estimation under censoring
Behavioural risk: correlation and contagion effects
A measure of dependence for stable distributions
Copulas for Discrete or Mixed Data and Applications
Probabilities of concurrent extremes
A characterization of the asymptotic cluster size distribution for a
Marginal standardization of upper-semicontinuous processes, with applications to max-stable processes
Exogenous shock models in high dimensions
Extremes in time serie
Extreme versions of Wang risk measures and their estimation
Tail index estimation, concentration and adaptivity
Spatial dependence issues for extremes
Model points and Tail-VaR in life insurance |