Actuarial Seminar: Evgeni Spodarev (University of Ulm, Germany)

Prediction of heavy–tailed random functions via excursion sets

Thursday 14 December 2023 - 11h00 to 12h00

Extranef 109

We use the concept of excursions for the prediction of random variables without any moment existence assumptions. To do so, an excursion metric on the space of random variables is defined which appears to be a kind of a weighted L_1 distance. Using equivalent forms of this metric and the specific choice of excursion levels, we formulate the prediction problem as a minimization of a certain target functional which involves the excursion metric. Existence of the solution and weak consistency of the predictor are discussed. An application to the extrapolation of stationary heavy-tailed random functions illustrates the use of the aforementioned theory. Numerical experiments with the prediction of Gaussian, alpha- and  max-stable  random functions show the practical merits of the approach.
Joint work with A. Das and V. Makogin

Seminar organized by Prof. Enkelejd Hashorva

Published from 14 September 2023 to 15 December 2023
Prof. Enkelejd Hashorva
Visibility:
archived