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UID:1716@i2m.univ-amu.fr
DTSTART;TZID=Europe/Paris:20170424T140000
DTEND;TZID=Europe/Paris:20170424T150000
DTSTAMP:20170409T120000Z
URL:https://www.i2m.univ-amu.fr/evenements/robust-estimation-of-probabilit
 ies-of-extreme-failure-sets-and-new-closed-form-formulas-of-actuarial-indi
 cators-in-claim-reserving/
SUMMARY: (...): Robust estimation of probabilities of extreme failure sets 
 and new closed-form formulas of actuarial indicators in claim reserving
DESCRIPTION:: Multivariate extreme value statistics deals with the estimati
 on of the tail of a multivariate distribution function based on a random s
 ample. Of particular interest is the estimation of the extremal dependence
  between two or more variables. Accurate modelling of extremal events is n
 eeded to better understand the relationship of possibly dependent risks at
  the tail. We introduce a robust and (asymptotically) unbiased estimator f
 or both the coefficient of tail dependence and probabilities of failure se
 ts. The estimators are obtained by using the minimum density power diverge
 nce criterion. The asymptotic properties of both estimators are derived un
 dersome mild regularity conditions. Furthermore\, we present an efficient 
 way to compute all the key indicators in a unified approach of the ruin th
 eory and claim reserving methods. The proposed framework allows to derive 
 closed-form formulas for both ruin theory and claim reserves indicators. F
 inally\, we illustrate the practical applicability of the methods on actua
 rial datasets.http://dutangc.free.fr
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DTSTART:20170326T030000
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