Monday

 

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)

• 8:30-9:00: Johan Walden (cancelled), Heavy-tailed distributions and robustness in Economics and Finance (slides)
• 8:30-9:00: Paul Embrechts (in place of Johan Walden), Bernoulli and tail dependence compatilility (slides)
• 9:05-9:35: Natalia Nolde, The effect of aggregation on extremes from asymptotically independent light-tailed risks (slides)
• 9:40-10:10: Marius Hofert, An extreme value approach for modeling Operational Risk losses depending on covariates (slides)

Invited Session I1.1.b Extremes in insurance (8:30-10:15, Room: Forum Hall, Chair: Th. Mikosch)

• 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 

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)

• 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 (slides)
  
• 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 (slides)

Contributed Session C1.1.b Storms, hurricanes, and floods (10:35-12:15, Room: Great Lakes North, Chair: S. Stoev)

• 10:35-10:55: Eric Gilleland, Severe storm environments and extreme value analysis (slides)
• 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 (slides)

Contributed Session C1.1.c Multivariate extremes (10:35-12:15, Room: Forum Hall, Chair: M. Falk)

• 10:35-10:55: Clément Dombry, Exact simulation of max-stable distributions and max-stable random fields (slides)
• 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 (slides)
• 11:50-12:10: Holger Rootzén, Multivariate peaks over thresholds modeling 

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)

• 13:30-14:00: Chen Zhou, Tail beta (slides)
• 14:05-14:35: Liang Peng, Dynamic bivariate Normal copula
• 14:40-15:10: John Einmahl, An M-estimator of spatial tail dependence (slides)

Invited Session I1.2.b Extremes and numerical experiments. Prediction and scores (13:30-15:15, Room:  Forum Hall, Chair: Ph. Naveau)

• 13:30-14:00: Davide Faranda, A recurrence-based technique for detecting genuine extremes in instrumental records (slides)
• 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 (slides)

Coffee Break (15:15-15:45)

Contributed Session C1.2.a Limit theorems (15:45-17:25, Room: Great Lakes Central, Chair: J. Segers)

• 15:45-16:05: Lenka Glavaš, Limit distributions of partial maxima in the uniform AR(1) processes (slides)
• 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 (slides)
• 17:00-17:20: Yizao Wang, Invariance principles for operator-scaling Gaussian random fields (slides)

Contributed Session C1.2.b Tail dependence (15:45-17:25, Room: Great Lakes North, Chair: S. Padoan)

• 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 (slides)
• 17:00-17:20: Giulia Marcon, Non-parametric estimation and simulation of multivariate max-stable random vectors

Contributed Session C1.2.c Quantiles and inference (15:45-17:25, Room: Forum Hall, Chair: J. Einmahl)

• 15:45-16:05: Jana Jureckova, Extreme average regression quantile: Its asymptotic and finite sample properties (slides)
• 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 (slides)

Welcoming Reception (18:00-20:00, Location: Michigan League)

Tuesday

Coffee, Bagels and Registration (8:00-8:30)

Invited Session I2.1.a Recent advances in rare event analysis (8:30-10:15, Room: Great Lakes Central, Chair: J. Liu)

• 8:30-9:00: Juerg Huesler, Urn-based bivariate extreme shock models
• 9:05-9:35: Yimin Xiao, Excursion probability of Gaussian random fields on sphere
• 9:40-10:10: Gongjun Xu, Rare-event analysis for extremal eigenvalues of the beta-Laguerre ensemble

Invited Session I2.1.b Regression, robustness and bias reduction (8:30-10:15, Room: Forum Hall, Chair: A. Guillou)

• 8:30-9:00: Miguel de Carvalho, Predictor-dependent multivariate extremes at work (slides)
• 9:05-9:35: Anne-Laure Fougères, Bias correction in multivariate extremes (slides)
• 9:40-10:10: Armelle Guillou, Robust and bias-corrected estimation in multivariate extremes (slides)

Coffee Break and Registration (10:15-10:35)

Contributed Session C2.1.a Rare event simulation (10:35-11:50, Room: Great Lakes Central, Chair: H. Hult)

• 10:35-10:55: Konstantinos Spiliopoulos, Rare event simulation in the neighborhood of a rest point
• 11:00-11:20: Pierre Nyquist, Min-max representations of viscosity solutions of Hamilton-Jacobi equations and applications in rare-event simulation
• 11:25-11:45: Karthyek Murthy, Tail probabilities of infinite series of regularly varying random sums – Exact and efficient simulation (slides)

Contributed Session C2.1.b RARE: Risk analysis, ruin and extremes (10:35-11:50, Room: Great Lakes North, Chair: P. Roy)

• 10:35-10:55: Ayan Bhattacharya, Point process convergence for branching random walks with regularly varying steps
• 11:00-11:20: Yogeshwaran Dhandapani, Comparison of point processes and applications to random geometric networks (slides)
• 11:25-11:45: Moumanti Podder, Inverse problem for weighted sums with dependent weights and regularly varying tails (slides)

Contributed Session C2.1.c Time series (10:35-12:15, Room: Forum Hall, Chair: R. Kulik)

• 10:35-10:55: Michal Warchol, Statistics for tail processes
• 11:00-11:20: Zhigang Tong, Multivariate tail estimation under extremal dependence and independence (slides)
  
• 11:25-11:45: Yuwei Zhao, The integrated periodogram of a dependent extremal event sequence (slides)
• 11:50-12:10: Michel Broniatowski, Estimation for models defined by conditions on their L-moments (slides)

Lunch Break (12:15-13:30)

Invited Session I2.2.a Extremes for time series (13:30-15:15, Room:  Great Lakes Central, Chair: R. Kulik)

• 13:30-14:00: Philippe Soulier, Practical conditions for weak convergence of tail empirical processes (slides)
• 14:05-14:35: Johan Segers, Extreme value copula estimation based on block maxima of a multivariate stationary time series (slides)
• 14:40-15:10: Jonathan Hill, Heavy-tail robust and optimally bias-corrected GMM (slides)

Invited Session I2.2.b Extreme quantiles and regression (13:30-15:15, Room:  Forum Hall, Chair: S. Girard)

• 13:30-14:00: Holger Drees, Analysis of residuals in boundary regression
• 14:05-14:35: Gilles Stupfler, On the asymptotic behaviour of extreme geometric quantiles (slides)
• 14:40-15:10: Benjamin Shaby, Downscaling extremes for fire risk assessment (slides)

Coffee Break (15:15-15:45)

Contributed Session C2.2.a Gaussian laws (15:45-17:25, Room: Great Lakes Central, Chair: J.-M. Azais)

• 15:45-16:05: Emmanuel Afuecheta, On the distribution of maximum of multivariate normal random vectors (slides)
• 16:10-16:30: Malika Chassan, Bound for the discretization error for the maximum of a  Gaussian stationary random field
• 16:35-16:55: Sinisa Stamatovic, On the maximum distribution of Gaussian non centered fields
• 17:00-17:20: Dong-Yun Kim, A test for abrupt change in hazard regression models with Weibull baselines

Contributed Session C2.2.b Insurance (15:45-17:25, Room: Great Lakes North, Chair: L. Peng)

• 15:45-16:05: Qihe Tang, Extreme risks in insurance and finance with multivariate regular variation (slides)
• 16:10-16:30: Fan Yang, Risk concentration based on expectiles for extreme risks under FGM copula
• 16:35-16:55: Farzad Alavi Fard, Pricing participating products with semi-heavy tailed risks: The case of Meixner process
• 17:00-17:20: Jonathan El Methni, Extreme versions of Wang risk measures and their estimation (slides)

Contributed Session C2.2.c Regular variation, implicit extremes, inference (15:45-17:25, Room: Forum Hall, Chair: Ph. Soulier)

• 15:45-16:05: Anja Janssen, Joint extremal behavior of power products
• 16:10-16:30: Adrien Hitz, One-component regular variation for multivariate extremes
• 16:35-16:55: Phyllis Wan, Choice of threshold with a view towards inference on angular distribution of regularly varying data
• 17:00-17:20: Peter Scheffler, Implicit extremes and implicit max-stable laws (slides)

Poster Session (18:00-20:00, Room: Great Lakes Central)

Wednesday

Coffee, Bagels and Registration (8:00-8:30)

Invited Session I3.1.a Gaussian processes and extremes (8:30-10:15, Room: Great Lakes Central, Chair: J. Huesler)

• 8:30-9:00: Krzysztof Debicki, Ruin probability for vector-valued Gaussian processes
• 9:05-9:35: Adam Harper, Pickands’ constant Hα does not equal 1/Γ(1/α), for small α (slides)
• 9:40-10:10: Enkelejd Hashorva, Extremes of a class of non-homogeneous Gaussian random fields (slides)

Invited Session I3.1.b Max-stable processes and applications (8:30-10:15, Room: Forum Hall, Chair: Cl. Dombry)

• 8:30-9:00: Céline Lacaux, Time-changed extremal process as a random sup measure (slides)
• 9:05-9:35: Marco Oesting, Conditional modeling of extreme wind gusts by bivariate Brown-Resnick processes (slides)
• 9:40-10:10: Mathieu Ribatet, Probabilities of concurrent extremes (slides)

Coffee Break and Registration (10:15-10:35)

Invited Session I3.2.a Likelihood-based inference for multivariate extremes (10:35-12:20, Room: Great Lakes Central, Chair: J. Wadsworth)

• 10:35-11:05: Raphael Huser, A comparative study of likelihood estimators for multivariate extremes (slides)
• 11:10-11:40: Emeric Thibaud, Bayesian hierarchical modelling of extreme low temperatures in Northern Finland (slides)
• 11:45-12:15: Jenny Wadsworth, Modelling across (bivariate) extremal dependence classes (slides)

Invited Session I3.2.b RARE: Risk analysis, ruin and extremes (10:35-12:20, Room: Forum Hall, Chair: M. Kratz)

• 10:35-11:05: Bikramjit Das, Hidden large deviations for regularly varying Levy processes
• 11:10-11:40: Jean-Marc Azais, Asymptotic formula for the tail of the maximum of smooth Gaussian fields on non locally convex sets
• 11:45-12:15: Sreekar Vadlamani, CLT of Lipschitz-Killing curvatures of excursion sets of Gaussian random fields

Lunch and Excursion to the Henry Ford Museum (12:30-17:30, registration in advance required)

Thursday

Coffee, Bagels and Registration (8:00-8:30)

Invited Session I4.1.a Geometry and extremes (8:30-10:15, Room: Great Lakes Central, Chair: Cl. Dombry)

• 8:30-9:00: Matthias Schulte, Functional Poisson approximation in Rubinstein distance (slides)
• 9:05-9:35: Nicolas Chenavier, Extreme values for random tessellations (slides)
• 9:40-10:10: Kirstin Strokorb, Comonotonic max-stable processes (slides)

Invited Session I4.1.b Extremal behavior of random graphs and networks (8:30-10:15, Room: Forum Hall, Chair: R. Davis)

• 8:30-9:00: Sidney Resnick, Tauberian theory for multivariate regularly varying distributions with application to preferential attachment networks (slides)
• 9:05-9:35: Gennady Samorodnitsky, Nonstandard regular variation of in-degree and out-degree in the preferential attachment model (slides)
• 9:40-10:10: Claudia Klueppelberg, Extremes on directed acyclic graphs

Coffee Break and Registration (10:15-10:35)

Invited Session C4.1 History and future (10:35-12:15, Room: Great Lakes combined, Chair: T. Hsing)

• 10:35-10:55: Ross Leadbetter
• 11:00-11:20: Juerg Huesler
• 11:25-11:45: Paul Embrechts (slides)
• 11:50-12:10: Anthony Davison (slides)

Lunch Break (12:15-13:30)

Invited Session I4.2.a Extremes in high dimensions (13:30-15:15, Room: Great Lakes Central, Chair: H. Rootzén)

• 13:30-14:00: Stefan Wager, Semiparametric Exponential families for heavy-tailed data (slides)
• 14:05-14:35: Dmitrii Zholud, Tail estimation for window censored processes
• 14:40-15:10: Robert Yuen, Universal bounds on extreme value-at-risk under fixed extremal coefficients

Invited Session I4.2.b Statistics for environmental and weather extremes (13:30-15:15, Room:  Forum Hall, Chair: D. Cooley)

• 13:30-14:00: Brian Reich, A hierarchical model for serially-dependent extremes (slides)
• 14:05-14:35: Soyoung Jeon, Scale mismatch problem in the analysis of Central U.S. Temperature anomaly
• 14:40-15:10: Dan Cooley, Assessing regional climate models’ ability to produce extreme precipitation (slides)

Coffee Break (15:15-15:45)

Contributed Session C4.2.a Inference for multivariate extremes (15:45-17:25, Room: Great Lakes Central, Chair: J. Nolan)

• 15:45-16:05: Beth Andrews, Model identification for infinite variance autoregressive processes
• 16:10-16:30: Cécile Mercadier, Adapting extreme value statistics to financial time series: dealing with bias and serial dependence (slides)
• 16:35-16:55: Johanna G. Neslehova, Multivariate Archimax copulas
• 17:00-17:20: John Nolan, Estimation for multivariate extreme value distributions using max projections (slides)

Contributed Session C4.2.b Risk measures (15:45-17:25, Room: Great Lakes North, Chair: N. Nolde)

• 15:45-16:05: M. Ivette Gomes, Reduced-bias Value-at-Risk semi-parametric estimation
• 16:10-16:30: Maria Elena Rivera Mancia, Expert elicitation and extreme events
• 16:35-16:55: Felipe Abaunza, Modeling load-at-risk (LaR) for computing systems: an extreme value approach
• 17:00-17:20: Tom Reynkens, Hunting for Black Swans in the european banking sector using extreme value analysis (slides)

Contributed Session C4.2.c Tail inference (15:45-17:25, Room: Forum Hall, Chair: A. Guillou)

• 15:45-16:05: Maud Thomas, Tail index estimation, concentration and adaptivity (slides)
• 16:10-16:30: Jan Picek, Testing max-domains of attractions under  nuisance regression (slides)
• 16:35-16:55: Jelena Jocković, Tail index estimation: a generalization of Hill’s estimator and some optimization problems
• 17:00-17:20: Jan Beirlant, Tail fitting of Pareto-type tails truncated at intermediate levels

Conference Dinner  (18:00-21:30, Michigan League, the Ball Room)

Friday

Coffee, Bagels and Registration (8:00-8:30)

Invited Session I5.1.a Rare events in random topology (8:30-10:15, Room: Great Lakes Central, Chair: P. Embrechts)

• 8:30-9:00: Yogeshwaran Dhandapani, Random geometric complexes in the thermodynamic regime (slides)
• 9:05-9:35: Omer Bobrowski, The topology of noise
• 9:40-10:10: Takashi Owada, Limit theorems for point processes under geometric constraints (and Topological Crackle) (slides)

Invited Session I5.1.b Spatio-temporal models and inference (8:30-10:15, Room: Forum Hall, Chair: A. Davison)

• 8:30-9:00: Hugo Winter, Assessing the risk of heatwaves using extreme value theory
• 9:05-9:35: Simone Padoan, Extremes of skew-symmetric distributions
• 9:40-10:10: Sebastian Engelke, Extremes on river networks

Coffee Break and Registration (10:15-10:35)

Contributed Session C5.1.a Wave and climate extremes (10:35-12:15, Room: Great Lakes Central, Chair: Ph. Naveau)

• 10:35-10:55: Francesco Fedele, Revisiting the Draupner freak wave
• 11:00-11:20: Toshikazu Kitano, A simple but enhanced test for detecting the occurrence difference in past and future climates (slides)
• 11:25-11:45: David Randell, Bayesian inference for non-stationary extremes
• 11:50-12:10: Ross Towe, Predicting the future extreme wave climate of the North Sea

Contributed Session C5.1.b Inference methodology (10:35-12:15, Room: Great Lakes North, Chair: J. Beirlant)

• 10:35-10:55: Deyuan Li, Tail index of an AR(1) model with ARCH(1) errors
• 11:00-11:20: Laurent Gardes, A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes (slides)
• 11:25-11:45: Derek Young, Pointwise tolerance intervals for non-stationary generalized extreme value regression models (slides)
• 11:50-12:10: Thomas Yee, Vector generalized linear and additive extreme value models (slides)

Contributed Session C5.1.c Space and time (10:35-11:45, Room: Forum Hall, Chair: M. Ribatet)

• 10:35-10:55: Monika Kereszturi, Parsimonious and flexible models for spatial extremes (slides)
• 11:00-11:20: Nilanjana Laha, Extreme Value Theory for space-time Gaussian fields
• 11:25-11:45: Erwan Koch, Spatial risk measures and applications to max-stable processes

Lunch Break (12:15-13:30)

Contributed Session C5.2.a Location of extremes and level crossings (13:30-15:10, Room: Great Lakes Central, Chair: T. Hsing)

• 13:30-13:50: Yi Shen, Distribution of the supremum location of self-similar processes with stationary increments
• 13:55-14:15: Xiaoou Li, Level crossing of random functions
• 14:20-14:40: Rodney Martin, Extensions and analysis of a state-space approach to optimal level-crossing prediction for linear Gaussian processes (slides)
• 14:45-15:05: Kamil Kosiński, An Erdos-Revesz type law of the iterated logarithm for Gaussian storage processes

Contributed Session C5.2.b Modeling extreme events: terrorism and electricity (13:30-15:10, Room: Great Lakes North, Chair: Cl. Klueppelberg)

• 13:30-13:50: Pasquale Cirillo, Extremely dangerous events: modeling terrorist attacks
• 13:55-14:15: Mark Dowdeswell, Non-stationary point processes and their extremes: an exploration of electricity demand in South Africa
• 14:20-14:40: Stephen Chan, Extreme value analysis of electricity demand in the UK (slides)
• 14:45-15:05: Molete Mokhele, Modelling summer daily peak load demands in South Africa using discrete time Markov chain analysis

Contributed Session C5.2.c Modeling extreme events: precipitation and floods (13:30-15:10, Room: Forum Hall, Chair: P. Whitfield)

• 13:30-13:50: Julie Carreau, Spatial dependence structure for flood-risk rainfall (slides)
• 13:55-14:15: Nicholas Cavanaugh, Probabilistic tail dependence of intense precipitation on spatiotemporal scale in observations, reanalyses, and GCMs (slides)
• 14:20-14:40: Whitney Huang, Temperature extremes in climate model simulations under increased CO2 concentrations
• 14:45-15:05: Ilaria Prosdocimi, A point process analysis of the impact of increasing urbanization on flood risk (slides)

Coffee Break (15:10-15:30)

Invited Session I5.2.a Extremes for random fields (15:30-17:15, Room: Great Lakes Central, Chair: S. Stoev)

• 15:30-16:00: Dan Cheng, Distribution of the height of local maxima of Gaussian random fields
  (slides)
• 16:05-16:35: Parthanil Roy, Extremes and large deviations for heavy-tailed random fields with strong dependence
• 16:40-17:10: Jingchen Liu, Rare-event simulation for the stochastic Korteweg-de Vries equation

Invited Session I5.2.b Detection and attribution of climate extremes (15:30-17:15, Room: Forum Hall, Chair: R. Smith)

• 15:30-16:00: Philippe Naveau, Return periods and attributable risks for climate extremes (slides)
• 16:05-16:35: Pardeep Pall, Diagnosing possible anthropogenic contributions to heavy Colorado rainfall in September 2013
• 16:40-17:10: Richard L. Smith, TBA

Conference ends (17:15)