Workshop on
Heavy-tailed Distributions
and
Extreme Value Theory

Indian Statistical Institute, Kolkata
January 14 - 17, 2013

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• Schedule in pdf format

• Speakers

• Titles

• Abstracts in pdf format

• Participants

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Titles of short courses:

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• Henrik Hult: Asymptotics and simulation for heavy-tailed processes
  Notes (lecture 1): screen version, print version.
  Notes (lecture 2): screen version, print version.
  Notes (lecture 3): screen version, print version.
• Johan Segers: Extremes of stationary sequences: clusters and spectral processes
  Notes: screen version, print version.

Titles of talks:

Click on the title to view the abstract.

• Arup Bose: Extreme eigenvalues of random matrices
  Talk
• Corina Constantinescu: Some asymptotic results for ruin probability in the presence of heavy-tailed claims
  Talk
• Richard Davis: Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
  Talk
• Holger Drees: Extremal serial dependence of time series
  Talk
• Paul Embrechts: Model Uncertainty and Risk Aggregation
  Talk
• Vicky Fasen: High-frequency sampled stable CARMA processes
  Talk
• Rajat Hazra: Extreme eigenvalues of random matrices with dependent entries
  Talk
• Anja Janssen: Asymptotic Independence of Stochastic Volatility Models
  Talk
• Marie Kratz: There is a VaR beyond usual approximations
  Talk
• Filip Lindskog: Regular variation for measures on general spaces
  Talk
• Thomas Mikosch: On Adam Jakubowski's approach to proving asymptotic results for regularly varying sequences
  Talk
• Zbigniew Palmowski: Heavy tailed branching process with immigration
  Talk
• Snigdha Panigrahi: Moments of Maxima of Stable Processes and Fields
  Talk
• Moumanti Podder: Weighted Sums of Regularly Varying Random Variables with Dependent Weights
  Talk
• Sidney Resnick: The Art of Seeking Hidden Risks
  Talk
• Joyjit Roy: Maxima of bivariate triangular arrays: Between asymptotic complete dependence and asymptotic independence lies the conditional extreme value model
  Talk
• Gennady Samorodnitsky: Functional Central Limit Theorem for Heavy Tailed Stationary Infinitely Divisible Processes Generated by Conservative Flows
  Talk
• Stilian Stoev: Minimal spectral representations of infinitely divisible and max-infinitely divisible processes
  Talk