The next Extreme TiDE - VVSOR - VVSOR

Vereniging voor Statistiek en Operations Research
28 February 2019

The next Extreme TiDE

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/