仲礼人文讲坛第70期：Estimation of Extreme Quantiles for Functions of Dependent Random Variables
主讲人：姚琦伟 英国伦敦政治经济学院教授
时间: 2015年12月15日周二 9：30
地点：上海社科国际创新基地五楼第四会议室（中山西路1610号2号楼）
讲座简要介绍：
Motivated by a concrete risk management problem in financial industry,we propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value theory, we do not impose the condition that the tail of the underlying distribution admits an approximate parametric form,and, furthermore, our estimation makes use of the full observed data.The proposed method is semiparametric as no parametric forms are assumed on all the marginal distributions. But we select appropriate bivariate copulas to model the joint dependence structure by taking the advantage of the recent development in constructing large dimensional vine copulas. Consequently a sample quantile resulted from a large bootstrap sample drawn from the fitted joint distribution is taken as the estimates for the extreme quantile. This estimator is proved to be consistent as long as the quantile to be estimated is not too extreme. The reliable and robust performance of the proposed method is further illustrated by simulation.