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Habilitation À Diriger Des Recherches Year : 2020

Contributions to statistical aspects of extreme value theory and risk assessment

Abstract

This report describes my research activities since I defended my PhD thesis. Chapter 1 outlines my research interests and summarises the background and main contributions of my research. These are organised into strands of work representing my research interests which can very roughly be classified into conditional extreme value analysis, multivariate extreme value theory and its offshoots, extremes in missing data contexts and risk assessment using extreme value theory. This last theme of research is currently my primary area of work. Chapter 2, which is the main chapter of this report, then expands further upon my contributions to this field, mostly through the introduction, study and estimation of risk measures at extreme levels, presenting and discussing the main results of my work in detail and providing some perspectives for future research.
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Dates and versions

tel-03142415 , version 1 (16-02-2021)

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  • HAL Id : tel-03142415 , version 1

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Gilles Stupfler. Contributions to statistical aspects of extreme value theory and risk assessment. Statistics [math.ST]. Université de Rennes 1 (UR1), 2020. ⟨tel-03142415⟩
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