MAT8886 Extremes and sums (of i.i.d. random variables)

January 20, 2012 | 0 Comments

Yesterday, we have discussed briefly sums and maximas of i.i.d. random variables using the concept of subexponential distributions. Today, we will introduce the concept of regular variation: a positive function is said to be regularly varying (at i... [Read more...]

Tennis and risk management

December 16, 2010 | 0 Comments

As mentioned already here, while we were going to Québec City for the workshop, we had interesting discussions in the car, and Maciej mentioned an article recently published in The Actuary, Hence, I wanted to discuss (extremely) rare event probabi...
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