Recent events and major crisis have revealed the inability of modern societies to anticipate and cope with extreme risks, not only in finance but also in many other fields: epidemiological risk, food security issues, environmental disasters, major industrial accidents. How to model, estimate and regulate such risks has become a major issue in modern societies. First, adequate models of dependence are required, in particular to properly model the occurrence of extreme risks, conditional on current conditions. An immediate next step is to work out the required tools of statistical inference. Finally, developing relevant simulation techniques for rare events is an important and challenging topic. Researchers at Labex MME-DII are working at the frontier of this research agenda, designing statistical and econometric methods for analyzing and predicting extreme events, as well as applying these methods to financial market data, evaluation of food risk, natural disasters, environmental risk and insurance
Topics in Extreme Risks and Rare Events:
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