[APDIO] [Mat.escolas] GEMAC - Seminar 2012

["A. Ismael F. Vaz" <aivaz@dps.uminho.pt>]

Statistical, Modeling and Computational Applications

Este seminário é organizado conjuntamente pelo GEMAC (Gabinete de Estatística, Modelação e Aplicações Computacionais) <http://cmup.fc.up.pt/cmup/gemac/> e pelas áreas de investigação do CMUP “Análise Numérica, Probabilidades e Estatística” e “Processamento de Sinal e Análise de Dados”.

Seminar 2012

http://cmup.fc.up.pt/cmup/gemac/formacao/seminarios2012.html

2 Fevereiro 11h30 -12h30	1.08 DM	Jorge Freitas	CMUP/GEMAC DM/FCUP	Introduction to Exreme Value Theory and its applications	In this lecture, we will present a brief introduction to Extreme Values. We will start by the classical theory, the extremal types theorem, the domains of attraction, their connection with the tail of the distribution. Then we will address the dependent case, the possible appearance of clustering and the extremal index. Finally, we will talk about the tail index, its estimation and its applications.
9 Fevereiro 11h30 -12h30	1.08 DM	Ana Cristina Freitas	CMUP/GEMAC FEP	Upper bounds for ruin probabilities in the Sparre Andersen m	We consider the problem of estimating the adjustment coefficient R in the Sparre Andersen model, which allows us to estimate upper bounds for the ruin probability of insurance companies. We propose a consistent estimator for R and establish a result about its asymptotic normality. Moreover, we show that it is possible to construct confidence intervals for R based on that estimator, using the tail bootstrap procedure. We also compare the confidence intervals computed using the normal approximations and the tail bootstrap method. We present the results of a simulation study in some particular cases.

CMUP/GEMAC
Centro de Matemática da Universidade do Porto
Edifício da Matemática da FCUP
Rua do Campo Alegre, 687
4169-007 Porto

Tel: 220 402 131
Telem: 93 319 27 63
Fax: 220 402 108
Email: gemac@fc.up.pt

Homepage:
www.fc.up.pt/cmup/gemac