Olivier Wintenberger (CEREMADE, université Paris Dauphine)

Quantification of the clustering of extremes. Applications to risk management.

vendredi 15 mars 2013, 9h30 - 10h30

Salle de réunion, espace Turing

We introduce the cluster index to quantify the clustering of extremes for
regularly varying stationary Markov chains. We then characterize the
precise large deviations of the partial sums with this index and the large
deviations of the margin. This result is applied to adapt the value at
risk calculation of the Peaks Over Threshold method to the dependent case.
It is a work in collaboration with T. Mikosch.