Actuarial Seminar: Simone Padoan (Bocconi University, Milan, Italy)

Some advances on likelihood-based inference arising from the Peaks Over Threshold method

Thursday 25 April 2024 - 14h00 to 15h00

Anthropole 2102

Abstract: The Peaks Over Threshold (POT) method is the most popular statistical and "longevous" method for the analysis of univariate extremes. Despite this, some basic results relative to the corresponding likelihood-function are still unknown today. After discussing them briefly, we explain what their implications are for the inference and prediction of extreme events stemming from the ordinary to a conditional POT method.

Seminar organized by Prof. Hashorva

Published from 5 March 2024 to 26 April 2024
Prof. Enkelejd Hashorva
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