EVA 2017

10th Extreme Value Analysis Conference
TU Delft ⎯ June 26-30, 2017

Tuesday, June 27

Invited Session I4: Extremes in complex models
(9:00-10:55, Room: Boole, Organizer/Chair: Thomas Mikosch) 
9:00-9:35 Johannes Heiny, Extreme eigenvalues of sample correlation matrices (best student paper competition)
9:40-10:15 Alexander Aue, Spectral properties of high-dimensional time series
10:20-10:55 Nelly Litvak, Extreme values and nearest neighbor degrees in large networks

Invited Session I5: Extreme risks in insurance and finance

(9:00-10:55, Room: Chip, Organizer/Chair: Qihe Tang) 
9:00-9:35 Jose Blanchet, Optimal transport and risk analysis
9:40-10:15 Henry Lam, Robust risk analysis in insurance applications
10:20-10:55 Zhongyi Yuan, CAT bond pricing under a product probability measure with EVT risk characterization

Invited Session I6: Max-stable processes and applications

(9:00-10:55, Room: Pi, Organizer/Chair: Stilian Stoev) 
9:00-9:35 Erwan Koch, Space-time max-stable models with spectral separability
9:40-10:15 Marco Oesting, On a class of max-stable processes represented via lp norms
10:20-10:55 Kirstin Strokorb, How to simulate a Brown-Resnick process? Comparison of previous approaches and efficiency gains by using locally equivalent covariances

Coffee Break (11:00-11:30)

Contributed Session C9: Discrete extremes
(11:00-11:55, Room: Boole, Chair: Boris Beranger)
11:30-11:55 Adrien Hitz, Discrete extremes
12:00-12:25 Takaaki Shimura, Discrete distributions whose truncated means have logarithmic order

Contributed Session C10: Data contamination
(11:30-12:25, Room: Chip, Chair: Alec Stephenson)
11:30-11:55 Xuan Leng, Endpoint estimation for observations with normal measurement errors
12:00-12:25 Rym Worms, Extreme value statistics for censored data with heavy tails under competing risks

Contributed Session C11: Block maxima
(11:30-12:25, Room: Data, Chair: Axel Bücher)
11:30-11:55 Clément Albert, On the relative approximation error of extreme quantiles by the block maxima method
12:00-12:25 Cláudia Neves, The block maxima method in extremum estimation

Contributed Session C12: Human life span
(11:30-12:25, Room: Pi, Chair: Pasquale Cirillo)
11:30-11:55 Holger Rootzén, Human life is unlimited - but short
12:00-12:25 John H.J. Einmahl, Limits to human life span through extreme value theory

Lunch (12:30-14:00)

Contributed Session C13: Insurance
(14:00-15:25, Room: Boole, Chair: Fan Yang)
14:00-14:25 Corina Birghila, Optimal insurance contract under ambiguity
14:30-14:55 Christian Rohrbeck, Extreme value modelling of water-related insurance claims
15:00-15:25 Yi Shen, The devil is in the tails: regression discontinuity design with measurement error in the assignment variable

Contributed Session C14: Spatial extremes
(14:00-15:25, Room: Chip, Chair: Holger Rootzén)
14:00-14:25 Boris Beranger, A composite likelihood based approach for max-stable processes using histogram-valued variables
14:30-14:55 Ana Ferreira, Estimating trend and dependence for extremal space-time processes
15:00-15:25 Miranda J. Fix, A simultaneous autoregressive model for spatial extremes

Contributed Session C15: Gaussian processes - I
(14:00-15:25, Room: Data, Chair: Peng Liu)
14:00-14:25 Arijit Chakrabarty, Asymptotic behavior of Gaussian minima
14:30-14:55 Enkelejd Hashorva, Generalised Pickands and Piterbarg constants
15:00-15:25 Oleg Seleznjev, Asymptotic behavior of maximum for sequences of Gaussian random fields

Contributed Session C16: Hill estimator revisited
(14:00-15:25, Room: Pi, Chair: Bojan Basrak)
14:00-14:25 Frederico Caeiro, A bias corrected generalized Hill estimator
14:30-14:55 Shrijita Bhattacharya, On trimming of the Hill estimator: robustness, optimality and adaptivity
15:00-15:25 M. Ivette Gomes, PORT estimation of parameters of extreme events through generalized means

Coffee Break (15:30-16:00)

Contributed Session C17: Multivariate statistics (parametric)
(16:00-16:55, Room: Boole, Chair: Andrea Krajina)
16:00-16:25 Clément Dombry, Asymptotic properties of likelihood estimators in multivariate extremes
16:30-16:55 Laleh Tafakori, Estimating the stable tail dependence function via the empirical beta copula
17:00-17:25 Délia Gouveia-Reis, Pareto-type models for precipitation in Madeira Island

Contributed Session C18: Catastrophic losses
(16:00-17:25, Room: Chip, Chair: Valérie Chavez-Demoulin)
16:00-16:25 Taehan Bae, On heavy-tailed crack distribution for loss severity modelling
16:30-16:55 Julien Hambuckers, What are the economic determinants of operational losses severity? A regularized generalized Pareto regression approach
17:00-17:25 Roger J.A. Laeven, Expected utility and catastrophic risk in a stochastic economy-climate model

Contributed Session C19: Extremal dependence (probability)
(16:00-17:25, Room: Data, Chair: Claudia Klüppelberg)
16:00-16:25 Adam Jakubowski, Phantom distribution functions for dependent random vectors
16:30-16:55 Nicolas Chenavier, Cluster size distributions of extreme values for the Poisson-Voronoi tessellation
17:00-17:25 Patryk Truszczyński, Quenched phantom distribution functions for Markov chains

Contributed Session C20: Extreme rainfall - II
(16:00-17:25, Room: Pi, Chair: Jonathan Jalbert)
16:00-16:25 Piyapatr Busababodhin, Modeling on maximum rainfall and temperature based on extreme value copula analyses
16:30-16:55 Daniela Castro Camilo, Local likelihood inference for high dimensional spatial extremes applied to US precipitation data
17:00-17:25 Michael Wehner, Spatial statistics for improving collective estimates of extreme precipitation at weather stations and its subsequent gridding

© EVA 2017 Delft