The next Extreme TiDE event will be on Thursday February 28, 2019 at Erasmus University Rotterdam. The program of the event is as follows.
15:00-15:45 Kate Saunders (TU Delft)
Title: A regionalisation approach for rainfall based on extremal dependence
Abstract: To mitigate the risk posed by extreme rainfall events, we require statistical models that reliably capture extremes in continuous space with dependence. However, assuming a stationary dependence structure in such models is often erroneous, particularly over large geographical domains. Furthermore, there are limitations on the ability to fit existing models, such as max-stable processes, to a large number of locations. To address these modelling challenges, we present a regionalisation method that partitions stations into regions of similar extremal dependence using clustering. To demonstrate our regionalisation approach, we consider a study region of Australia and discuss the results with respect to known climate and topographic features. To visualise and evaluate the effectiveness of the partitioning, we also fit max-stable models to the sub-regions. This work serves as a prelude to how one might consider undertaking a project where spatial dependence is non-stationary and is modelled on a continental scale.
15:45-16:00 Coffee break
16:00-17:00 Paul Embrechts (ETH Zürich)
Title: Risk-sharing, Robustness and Regulation
Abstract: In this talk I will summarize some recent work on the concept of risk-sharing, discuss in particular properties like robustness, moral hazard and equilibrium pricing and finally highlight consequences for capital regulation for the financial and insurance industry.
17:00-18:00 Snacks & drinks
The seminar will take place at room EB-12, E building, Erasmus University Rotterdam, Woudestein campus. Full address: Burgemeester Oudlaan 50, 3062 PA Rotterdam.
Our website: http://evt-seminar.nl/