Coffee, Bagels and Registration (8:00-8:20)
Welcoming Remarks (8:20-8:30, Room: Forum Hall)
Invited Session I1.1.a Extremes in economics and finance (8:30-10:15, Room: Great Lakes Central, Chair: P. Embrechts) [expand, title=”(more)”]
- 8:30-9:00: Johan Walden, Heavy-tailed distributions and robustness in Economics and Finance
- 9:05-9:35: Natalia Nolde, The effect of aggregation on extremes from asymptotically independent light-tailed risks
- 9:40-10:10: Marius Hofert, An extreme value approach for modeling Operational Risk losses depending on covariates[/expand]
Invited Session I1.1.b Extremes in insurance (8:30-10:15, Room: Forum Hall, Chair: Th. Mikosch)[expand, title=”(more)”]
- 8:30-9:00: Jeffrey Collamore, Large deviation estimates describing the extremal path behavior of matrix recursions
- 9:05-9:35: Olivier Wintenberger, A large deviations approach to limit theory for heavy-tailed time series
- 9:40-10:10: Jose Blanchet, Conditional simulation of max-stable processes and insurance applications [/expand]
Coffee Break and Registration (10:15-10:35)
Contributed Session C1.1.a Large deviations and limit theorems (10:35-12:15, Room: Great Lakes Central, Chair: H. Drees)[expand, title=”(more)”]
- 10:35-10:55: Vicky Fasen, Stable random fields, point processes and large deviations
- 11:00-11:20: Snigdha Panigrahi, Maximal moments and modulus of continuity of stable random fields
- 11:25-11:45: Bojan Basrak, On extremes of random variables observed at random times
- 11:50-12:10: Cees de Valk, A large deviations approach to estimation of very small probabilities of multivariate extreme events [/expand]
Contributed Session C1.1.b Storms, hurricanes, and floods (10:35-12:15, Room: Great Lakes North, Chair: S. Stoev)[expand, title=”(more)”]
- 10:35-10:55: Eric Gilleland, Severe storm environments and extreme value analysis
- 11:00-11:20: James Elsner, An application of extreme value analysis in hurricane and tornado research
- 11:25-11:45: Paul Whitfield, Floods – Some statistical considerations and realities
- 11:50-12:10: Boris Beranger, Exploratory data analysis of extreme values using non-parametric kernel methods[/expand]
Contributed Session C1.1.c Multivariate extremes (10:35-12:15, Room: Forum Hall, Chair: M. Falk)[expand, title=”(more)”]
- 10:35-10:55: Clément Dombry, Exact simulation of max-stable distributions and max-stable random fields
- 11:00-11:20: Anna Kiriliouk, Estimating tail dependence parameters by least-squares fitting of extremal coefficients
- 11:25-11:45: Maximilian Zott, On records and champions in higher dimensions
- 11:50-12:10: Holger Rootzén, Multivariate peaks over thresholds modeling [/expand]
Lunch Break (12:15-13:30)
Invited Session I1.2.a Statistics of multivariate extremes (13:30-15:15, Room: Great Lakes Central, Chair: A.-L. Fougères)[expand, title=”(more)”]
- 13:30-14:00: Chen Zhou, Tail beta
- 14:05-14:35: Liang Peng, Dynamic bivariate Normal copula
- 14:40-15:10: John Einmahl, An M-estimator of spatial tail dependence[/expand]
Invited Session I1.2.b Extremes and numerical experiments. Prediction and scores (13:30-15:15, Room: Forum Hall, Chair: Ph. Naveau)[expand, title=”(more)”]
- 13:30-14:00: Davide Faranda, A recurrence-based technique for detecting genuine extremes in instrumental records
- 14:05-14:35: Brook Russell, Data mining for extreme behavior with application to ground level Ozone
- 14:40-15:10: Anne Sabourin, Dependence based dimension reduction in multivariate extremes[/expand]
Coffee Break (15:15-15:45)
Contributed Session C1.2.a Limit theorems (15:45-17:25, Room: Great Lakes Central, Chair: J. Segers)[expand, title=”(more)”]
- 15:45-16:05: Lenka Glavaš, Limit distributions of partial maxima in the uniform AR(1) processes
- 16:10-16:30: Pavle Mladenović, Asymptotic behavior of point processes associated with coupon collector’s problem
- 16:35-16:55: Leonardo Rojas-Nandayapa, Asymptotic tail behavior of phase–type scale mixture distributions
- 17:00-17:20: Yizao Wang, Invariance principles for operator-scaling Gaussian random fields[/expand]
Contributed Session C1.2.b Tail dependence (15:45-17:25, Room: Great Lakes North, Chair: S. Padoan)[expand, title=”(more)”]
- 15:45-16:05: Claudio Semadeni, A coefficient of extremal asymmetry
- 16:10-16:30: Mikael Escobar-Bach, Bias-corrected estimation of stable tail dependence function
- 16:35-16:55: Sabrina Vettori, On parametric and non-parametric estimation of the dependence function in multivariate extremes
- 17:00-17:20: Giulia Marcon, Non-parametric estimation and simulation of multivariate max-stable random vectors[/expand]
Contributed Session C1.2.c Quantiles and inference (15:45-17:25, Room: Forum Hall, Chair: J. Einmahl)[expand, title=”(more)”]
- 15:45-16:05: Jana Jureckova, Extreme average regression quantile: Its asymptotic and finite sample properties
- 16:10-16:30: Mei Ling Huang, On high conditional quantile for extremes
- 16:35-16:55: Yi He, Estimation of extreme depth-based quantile regions
- 17:00-17:20: Raúl Andrés Torres Díaz, A directional multivariate extremes identification[/expand]
