Banca de DEFESA: Paulo Augusto Caixeta Borges

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
STUDENT : Paulo Augusto Caixeta Borges
DATE: 15/12/2023
TIME: 10:00
LOCAL: auditório do MAT
TITLE:

Asymptotic properties of an extreme-value-based estimator for the Conditional Tail Moment.

KEY WORDS:

Risk Measures; Conditional Tail Moment ; Estimation; Order statistics; Extreme Value Theory.

PAGES: 70
BIG AREA: Ciências Exatas e da Terra
AREA: Matemática
SUMMARY:

In this dissertation we study the asymptotic properties of an estimator, presented by Goegebeur et al. (2022), for the risk measure known as conditional tail moment. The situation considered corresponds to extrapolation outside the data range and requires arguments from extreme value theory for the construction of the appropriate estimator. We performed a brief analysis of the main risk measures found in the literature, as well as their relationships with conditional tail moment. The results obtained by Goegebeur et al. (2022), which establish
under suitable conditions, the limit distribution of the properly normalised estimator are presented in detail.

COMMITTEE MEMBERS:
Presidente - 1287605 - CATIA REGINA GONCALVES
Externa ao Programa - 2279025 - CIRA ETHEOWALDA GUEVARA OTINIANO - nullInterno - 1364541 - LEANDRO MARTINS CIOLETTI
Externo à Instituição - MARCELO BOURGUIGNON PEREIRA - UFRN