Multivariate risk modeling and applications

多变量风险建模及应用

• 批准号: RGPIN-2016-04720
• 负责人: Genest, Christian
• 金额: $ 4.01万
• 依托单位: McGill University
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2017
• 资助国家: 加拿大
• 起止时间: 2017-01-01 至 2018-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=636018
• 关键词: Multivariate; risk; modeling; applications

This research program is concerned with the development of stochastic models and statistical inference procedures for the study of dependence between heterogeneous risks, particularly in situations where rare events could have disastrous economic consequences or affect public safety. This topic is of great importance, e.g., in insurance, finance or hydrology, where accounting for dependence between claims, assets or extreme precipitations is essential for responsible risk management.

这项研究计划致力于发展随机模型和统计推断程序，以研究不同风险之间的相关性，特别是在罕见事件可能造成灾难性经济后果或影响公共安全的情况下。这一主题非常重要，例如在保险、金融或水文学中，对索赔、资产或极端降雨量之间的相关性进行核算对于负责任的风险管理至关重要。