Internal Seminar: Gilles Stupfler

[Statistics & Probability Seminar]

Extreme quantile estimation: why, how, and some perspectives

Extreme quantile estimation is the founding question of extreme-value theory. In this talk I will first discuss extreme quantile estimation in its simplest form, by highlighting the underlying difficulties and then by showing which extreme-value devices can be used in order to tackle this problem. In the second part of the talk I will present some of my recent contributions to this field, including to multivariate generalisations and to extreme risk estimation.