Webinar “Some extreme regression models”

The Working Group on Risk - CREAR, with the support of the IDS dpt , Institut des Actuaires, LabEx MME-DII and the group BFA-SFdS, has the pleasure to invite you to the seminar by:

Prof. Antoine USSEGLIO CARLEVE, Département Statistique et Informatique Décisionnelle, Université d’Avignon, France.

Wednesday May, 11 2022 12:30 pm (CET)
To participate via Zoom, please click here (password/code : WGRisk).

Topics
If estimating the median (quantile of level 0.5) or the (quantile of level 0.25 or 0.75) of a random variable Y is obvious when we have a sample of size n, what happens if the quantile level exceeds 1/n ? In such a case, the use of the classical order statistic systematically returns the maximum of the sample, and thus leads to a non-consistent estimation of the quantile. Using extreme value theory, we find in the literature some to extrapolate such extreme quantiles. The particularity of this work is that a covariable vector X is recorded alongside Y . The aim is thus to estimate extreme quantiles of Y given X = x. For that purpose, we firstly propose a purely nonparametric approach, by giving extreme quantile and expectile (an alternative of the classical quantile we will introduce) estimators, and studying their asymptotic properties. The speed of convergence of these estimators being very slow when the size of the covariate X increases, we then propose some dependence models over X and Y, in order to avoid the curse of dimensionality. Some applications in insurance or natural disaster are proposed.

Attending this webinar will enable you to acquire 6 points PPC CERA.