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Title: "Non-parametric estimators for risk measures: application to loss distributions and portfolio optimization"

Event details of Insurance seminar: Arthur Charpentier (Université Rennes)
Date 28 January 2008
Time 11:00 -12:00
Location Roeterseilandcampus - building E

Title: "Non-parametric estimators for risk measures: application to loss distributions and portfolio optimization"

Abstract: In this talk we propose several nonparametric estimators of quantiles based on Beta kernel and applied to transformed data by the generalized Champernowne distribution initially fitted to the data. A Monte-Carlo based study will show that those estimators improve the efficiency, not only for light tailed distributions, but mainly for heavy tailed, when the probability level is close to 1.Another application will be seen, on portfolio optimization in the mean-VaR context.

The seminar will take place in E-building, see below for the address.

Roeterseilandcampus - building E

Roetersstraat 11
1018 WB Amsterdam

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