CFE 2022: Tutorials

Programme - Friday, 16th of December 2022

Tutorial 1: Extreme Value Analysis, 9:00-13:30.
Council room, King's Building, King's College London, Strand Campus.
Virtual access (see indications below).

Prof. Armelle Guillou, University of Strasbourg, France.
Email: Contact
Program

A solid background in probability theory and statistics is required, but no prerequisites in Extreme Value Theory. Illustrations on the R software will be made, but it is not requested to install R on your own computer. The tutorial will be organized into three sessions: Part 1: Introduction to Extreme Value Theory – Univariate Framework. Part 2: Estimation of tail parameters in the presence of random covariates. Part 3: Estimation of tail parameters in the presence of random censoring. This last part will be an introduction to the Plenary talk on the estimation of the conditional tail moment and reinsurance premium in the presence of censoring.
Tutorial 2: Latent variable dynamic model, 15:00-19:30.
Council room, King's Building, King's College London, Strand Campus.
Virtual access (see indications below).

Prof. Michael Pitt, King's College London, UK.
Email: Contact
Program

The tutorial will be organized into three sessions: (1) State space models and the Kalman filter, (2) Classical and Bayesian approaches to estimation for non-Gaussian state space models and (3) Sequential Monte Carlo, in particular particle filtering, for dynamic estimation. The textbook which related to (1) and (2) Time Series Analysis and Its Applications With R Examples (Shumway & Stoffer). The stochastic volatility model for financial returns will be the driving examples. R libraries for much of the code may be found at https://www.stat.pitt.edu/stoffer/tsa4/ .

Indications for the participants to access the tutorials

Please follow the indications to access the vitual room:

Read the technical requirements and the general information that you will find in the virtual guidelines section carefully before entering the virtual room. Accessing this conference implies to accept the conditions.
Log in the registration tool and keep your session open. Only registered participants with a session open in the same browser will be able to access to the virtual tutorials.
Log in Zoom with the name and surname you have for the conference. The conference staff will check your registration to allow you to access the room.
Click on the corresponding link above, and once you are redirected to Zoom, type the Zoom password that you can find on the registration tool.
If you are not registered for the conference, or you are not logged in the registration and submission tool, you will get an error and will be requested to do that. Once you are logged in, please return to the web page that gave the error and refresh it. You can also return to your conference schedule and click on the session you wish to attend.
Keep your micro and video off except to make questions when the speaker allows it. When you wish to make a question, use the option “raise your hand” (see below). You can also type your question in the chat which is in your controls at the bottom window for the speaker to read if you prefer.
To raise your hand, click on the icon labeled "Participants" at the bottom center of your computer or phone screen. At the bottom of the Participants window, click the button labeled "Raise Hand". When the speaker passes the floor to you, please switch on your micro and video to make your question.
If you receive any unwanted message through the chat or observe any inappropriate behaviour, please report it to the “Angel” of the room.