Kate Saunders & Paul Embrechts


At Erasmus University Rotterdam

Kate Saunders (TU Delft)

Title: A regionalisation approach for rainfall based on extremal dependence

Abstract: To mitigate the risk posed by extreme rainfall events, we require statistical models that reliably capture extremes in continuous space with dependence. However, assuming a stationary dependence structure in such models is often erroneous, particularly over large geographical domains. Furthermore, there are limitations on the ability to fit existing models, such as max-stable processes, to a large number of locations. To address these modelling challenges, we present a regionalisation method that partitions stations into regions of similar extremal dependence using clustering. To demonstrate our regionalisation approach, we consider a study region of Australia and discuss the results with respect to known climate and topographic features. To visualise and evaluate the effectiveness of the partitioning, we also fit max-stable models to the sub-regions. This work serves as a prelude to how one might consider undertaking a project where spatial dependence is non-stationary and is modelled on a continental scale.

Paul Embrechts (ETH Zürich)

Title: Risk-sharing, Robustness and Regulation

Abstract: In this talk I will summarize some recent work on the concept of risk-sharing, discuss in particular properties like robustness, moral hazard and equilibrium pricing and finally highlight consequences for capital regulation for the financial and insurance industry.