Week 4: Extremes, Copulas and Actuarial Science

February 22 – 26, 2016
This week will be devoted to the following three themes: Extremes, Copulas and Actuarial Science, and to the interactions between them. 
The first two themes will be highlighted in both their theoretical developments (multivariate modeling, dependence, estimation and tests on 
copulas) and their applications, especially in relation to the third theme: the actuarial science.
The week will be divided into theoretical and practical lectures and 
mini courses on these three themes.

Scientific Committee

Anne-Laure Fougères (Université Claude Bernard Lyon 1)
Stéphane Loisel (ISFA, Université Claude Bernard Lyon 1)

Organizing Committee

Mohamed Boutahar (Aix-Marseille Université)
Denys Pommeret (Aix-Marseille Université)
Manuela Royer-Carenzi (Aix-Marseille Université)


Challenges in Reinsurance Modelling

Fractional Poisson process: long-range dependence and applications in ruin theory

Inference pour des modèles semi paramétriques définis par des conditions sur leurs L-moments

Weak convergence of the empirical copula process with respect to weighted metrics

Extreme-Value Copulae and Applications

On tail dependence coefficients of transformed multivariate Archimedean copulas 

Full lilelihood inference for multivariate max-stable distributions

Parameter Estimation for Mixed-type Distributions with Application to Destruction Rate Modeling in Insurance

Kernel estimation of extreme risk measures for all domains
of attraction

Fast Change of time Detection on Proportional Two Populations Hazard Rates

Single-index copulae

Estimation of tail risk based on extreme expectiles

Orthogonal polynomials expansions and lognormal sum densities

Estimation of the marginal expected shortfall

Applications of the multivariate tail process for extremal inference

Extremes on directed acyclic graphs

Testing for changes in series of block maxima

Ruin problems for processes in a changing environment

Discrete Schur-constant models

Nonparametric copula estimation under censoring

Behavioural risk: correlation and contagion effects

A measure of dependence for stable distributions

Copulas  for Discrete or Mixed Data and Applications

Probabilities of concurrent extremes

A characterization of the asymptotic cluster size distribution for a
Poisson Voronoi tessellation

Marginal standardization of  upper-semicontinuous processes, with applications to max-stable processes

Exogenous shock models in high dimensions

Extremes in time serie

Extreme versions of Wang risk measures and their estimation

Tail index estimation, concentration and adaptivity

Spatial dependence issues for extremes

Model points and Tail-VaR in life insurance