19 T.W. Alexander Drive
P.O. Box 14006
Research Triangle Park, NC 27709-4006
Tel: 919.685.9350
Fax: 919.685.9360
[email protected]

2007 Program on Risk Analysis, Extreme Events and Decision Theory

EXTREMES: Events, Models and Mathematical Theory

January 22-24, 2008

General Information
Application
Schedule

General Information

The EXTREMES: Events, Models and Mathematical Theory Workshop for the SAMSI program on Risk Analysis, Extreme Events and Decision Theory will be held on Tuesday - Thursday, January 22-24, hosted by SAMSI-NISS at the Radisson Hotel RTP in Research Triangle Park, NC.

Confirmed Speakers and Invited Discussants: Laurens de Haan (Erasmus University Rotterdam), Debbie Dupuis (HEC Montréal), Vicky Fasen (Munich University of Technology), Ross Leadbetter (University of North Carolina-Chapel Hill), Thomas Mikosch (University of Copenhagen), Pilar Munoz (Technical University of Catalonia), John Nolan (American University), Luis Pericchi (Universidad de Puerto Rico), Sidney Resnick (Cornell University), Holger Rootzen (Chalmers University of Technology), Gennady Samorodnitsky (Cornell University), Jery Stedinger (Cornell University), Stilian Stoev (University of Michigan), Ishay Weissman (Technion - Israel Institute of Technology), Bas Werker (Tilburg University), Zhengjun Zhang (University of Wisconsin), Chen Zhou (Erasumus University Rotterdam), Francis Zwiers (Canadian Centre for Climate Modelling),

Application

On-line Registration is now closed.
However, you may register on-site. Please call SAMSI at (919)685-9350 if you have any questions.

Schedule

Tuesday, January 22, 2008
Radisson Hotel RTP

7:45-8:45	Registration and Continental Breakfast
8:45-9:00	Welcome Nell Sedransk, SAMSI and NISS
9:00-10:15	Thomas Mikosch, University of Copenhagen Regularly Varying Functions
10:15-10:30	Break
10:30-12:15	Luis Pericchi, Universidad de Puerto Rico Experiences with Extreme Data in the Caribbean: Bayes, Re-Parametrizations and the Multivariate Approach of Heffernan and Tawn Multivariate Extreme Value Modeling by Conditional Dependence with Applications to Flooding in Puerto Rico Debbie Dupuis, University of Western Ontario Robust Prediction Error Criterion for Pareto Modeling of Upper Tails
12:15-1:30	Lunch
1:30-2:30	New Researchers Session Chen Zhou, Erasmus University Rotterdam Portfolio Selection with Secondary Risk Indicators of Heavy Tailed Distributions Elaine Spiller, SAMSI Constructing a Risk Map for Pyroclastic Flows: Using Simulations and Data to Predict Rare Events
2:30-3:00	Break
3:00-4:45	Holger Rootzen, Chalmers University of Technology Three Extreme Challenges: Wind Storms, Material Fatigue, and Corrosion Ishay Weissman, Technion - Israel Institute of Technology On Dependence Among Multivariate Extremes

Wednesday, January 23, 2008
Radisson Hotel RTP

8:00-9:00	Registration and Continental Breakfast
9:00-10:15	Sidney Resnick, Cornell University Conditioned Limit Theorems: Does the Story End with a Bang or a Whimper?
10:15-10:30	Break
10:30-12:15	Jery Stedinger, Cornell University Regionalization of Statistics Describing the Distribution of Hydrologic Extremes Vicky Fasen, Munich University of Technology Extremes of Autoregressive Threshold Processes
12:15-1:30	Lunch
1:30-2:30	New Researchers Session Zhengjun Zhang, University of Wisconsin Extreme Value Copula and Applications Stilian Stoev, University of Michigan Max-Stable Processes: Representations, Ergodic Properties and Statistical Applications
2:30-3:00	Break
3:00-5:00	Laurens de Haan, Erasmus University Rotterdam On Spatial Extremes: With Application to a Rainfall Problem Francis Zwiers, Canadian Centre for Climate Modeling Analysis of Extremes in Climate Science
6:00-9:00	Poster Session and Reception SAMSI will provide poster presentation boards and tape. The board dimensions are 4 ft. wide by 3 ft. high. They are tri-fold with each side being 1 ft. wide and the center 2 ft. wide. Please make sure your poster fits the board. The boards can accommodate up to 16 pages of paper measuring 8.5 inches by 11 inches.

Thursday, January 24, 2008
Radisson Hotel RTP

8:00-9:00	Registration and Continental Breakfast
9:00-10:15	Gennady Samorodnitsky, Cornell University Inverse Problems for Regular Variation of Linear Filters
10:15-10:30	Break
10:30-12:15	Pilar Munoz, Technical University of Catalonia Price, Volatility and Risk in the Electricity Markets Bas Werker, Tilburg University The Asymptotic Structure of Nearly Unstable Nonnegative Integer-Valued AR(1) Models
12:15-1:30	Lunch
1:30-2:30	New Researchers Session Dominik Lambrigger, Eidgenossische Technische Hochschule Zurich Multivariate Extremes and the Aggregation of Dependent Risks: Examples and Counter-Examples
2:30-3:00	Break
3:00-4:45	John Nolan, American University Stable Laws and Extreme Value Laws Ross Leadbetter, University of North Carolina-Chapel Hill When EVT May be Inappropriate for Risk Assessment � Some Issues and Cases

Local Information (Hotels, etc.)

Risk Analysis, Extreme Events and Decision Theory Program Page