StochastikKolloquium The geometry of tail dependence |  |
Vortragende Person:Dr. Kirstin Strokorb, Cardiff School of Mathematics, Cardiff University
Veranstalter:Institut für Mathematische Stochastik
Beschreibung:
The stable tail dependence function (stdf; Huang 1992, Drees and Huang 1998) is a well-known dependence function in multivariate extreme value analysis that appears naturally in different contexts (e.g. as part of MGEVs or MGPDs). Ressel (2013) gave the first complete set of conditions that a function has to fulfill in order to be a stdf. In this talk I will show how such conditions can be reinterpreted geometrically and in a spatial context and how this interpretation may lead to new insights and connections between extreme value theory, stochastic geometry and the theory of risk measures. In the first part of the talk I will give a brief introduction to the research area of extreme value theory.
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Veranstaltungsart:Kolloquium
Veranstaltungssprache:Englisch
Kategorie:Forschung
Name der einladenden Person:Dozenten des Instituts für Mathematische Stochastik
Externer Link:http://www.stochastik.math.uni-goettingen.de/
Zusätzliche Informationen:PDF-Anhang herunterladen
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Direkter Link zur Veranstaltung:https://events.goettingen-campus.de/event?eventId=13709
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