kaiyun開云官方網(wǎng)站“創(chuàng)源”大講堂研究生學(xué)術(shù)講座
講座題目：Tail Dependence and Extreme Quantiles
報(bào)告人： Peng Liang教授，復(fù)旦大學(xué)管理學(xué)院，Georgia Institute of Technology
主持人：
殷向榮教授
講座時(shí)間： 2014年7月7日上午10:00
講座地點(diǎn)： 犀浦校區(qū)二號(hào)教學(xué)樓X2511
內(nèi)容簡(jiǎn)介：In this talk, I will introduce extreme value theory and propose new
measures for detecting asymptotic independence and dependence, which plays an
important role in managing catastrophic risks. Secondly we propose a
semi-parametric method for estimating extreme quantiles, where nonparametric
method fails and parametric method is not robust.
主講人簡(jiǎn)介：
Liang Peng，復(fù)旦大學(xué)管理學(xué)院教授，Georgia Institute of Technology教授。主要研究方向?yàn)椋篍xtreme value theory and risk analysis in insurance and finance, Heavy
tailed, long-range dependent, nonlinear time series, Nonparametric smoothing
and empirical likelihood methods, Financial Econometrics, Copulas and actuarial
sciences. 已在STAT SCI, ANN STAT， JASA, Econometric Theory等著名雜志發(fā)表多篇論文。
主辦：研究生院
承辦：kaiyun開云官方網(wǎng)站
