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Événements et séminaires - LSTA
Laboratoire de Statistique Théorique et Appliquée

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En salle de séminaire (salle 201)

4 place Jussieu

Couloir 15-16

2e étage

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17 enseignants-chercheurs

18 doctorants

3 personnels administratifs

 

20/01/2015 - Peter Tankov (Paris 6)

 GROUPE de travail théorie des valeurs extrêmes

Left tail of the sum of positive dependent random variables

 

We study the left tail behavior of the distribution function of a sum of dependent positive random variables, with a special focus on the setting of asymptotic independence. We compute log-scale asymptotics under general assumptions as well as sharp asymptotics in specific settings which are of particular interest for applications (multidimensional log-normal distribution, multidimensional log-normal mixtures). Applications to financial risk management, rare event simulation and, if time permits, estimation of wind energy production will be discussed.

References :
A. Gulisashvili and P. T., Tail behavior of sums and differences of log-normal random variables, Arxiv preprint 1309.3057
P.T., Left tail of the sum of dependent positive random variables, Arxiv preprint 1402.4683