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UID:20260306T034040EST-0188JrjiM8@132.216.98.100
DTSTAMP:20260306T084040Z
DESCRIPTION:Title: Asymptotic Behavior\, Risk Measures\, and Simulation of 
 Distorted Copulas\n\nAbstract:\n\nDistorting multivariate distributions is
  a useful approach for introducing flexibility and capturing model uncerta
 inty. In particular\, applying distortions to the copulas representing the
  underlying dependence structure allows one to generate new\, flexible dep
 endence models from existing ones. In this presentation\, we investigate t
 he extremal domain of attraction problem for Morillas-type distorted copul
 as. We establish not only conditions under which such copula-to-copula tra
 nsformations alter the respective asymptotic behavior\, but also discuss c
 onditions under which the distorted copulas remain in the same domain of a
 ttraction as the initial undistorted copula. Furthermore\, we discuss the 
 effect of these distortions on multivariate risk measures\, such as the lo
 wer-orthant Value-at-Risk and Range-Value-at-Risk. Finally\, we propose a 
 simulation algorithm for Morillas-type distorted copulas\, addressing a ga
 p in the literature and providing the means to utilize these modified depe
 ndence structures in practice. We end the presentation with an application
  of distorted copula models for hail insurance.\n\nSpeaker\n\nMélina Mailh
 ot is a professor in the Department of Mathematics and Statistics at Conco
 rdia University. She is also director of the Canadian Statistical Sciences
  Institute in Quebec\, and Associate of the Society of Actuaries and the C
 anadian Institute of Actuaries\, where she serves of several different com
 mittees. Her research interests include actuarial science\, stochastic mod
 eling\, risk theory\, and applications to insurance and related fields.\n
 \n \n\n \n
DTSTART:20260213T203000Z
DTEND:20260213T213000Z
LOCATION:Room 1104\, Burnside Hall\, CA\, QC\, Montreal\, H3A 0B9\, 805 rue
  Sherbrooke Ouest
SUMMARY:Mélina Mailhot (Concordia University)
URL:/mathstat/channels/event/melina-mailhot-concordia-
 university-371181
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