Speaker
Dr. Christian Genest, Canada Research Chair and Professor in the Department of Mathematics and Statistics, McGill University, Member of ISI, Fellow of ASA, IMS, RSC, and Fields Institute
Title
Statistics Seminar Series
Subtitle
A latent-vine factor-copula time series model for extreme flood insurance losses
Physical Location
Allen 411
Abstract:
Vines and factor copula models are handy tools for statistical inference in high dimension. However, their use for assessing and predicting the co-occurrence of rare events is subject to caution when multivariate extreme data are sparse. Motivated by the need to assess the risk of concurrent large insurance claims in the American National Flood Insurance Program (NFIP), I will describe a novel class of copula models that can account for spatio-temporal dependence within clustered sets of time series. This new class, which combines the advantages of vines and factor copula models, provides great flexibility in capturing tail dependence while maintaining interpretability through a parsimonious latent structure. Using NFIP data, I will show the value of this approach in evaluating the risks associated with extreme weather events.
About the Guest Speaker
Dr. Christian Genest is best known for developing models and statistical inference techniques for studying the dependence between variables through the concept of copula. He has designed, among others, various techniques for selecting, estimating and validating copula-based models through rank-based methods. His methodological contributions in multivariate analysis and extreme-value theory found numerous practical applications in finance, insurance, and hydrology.
Throughout his career, Dr. Genest also made significant contributions to the development of techniques for the reconciliation and use of expert opinions and pairwise comparison methods used to establish priorities in multiple-criteria decision analysis. He is the author or co-author of over 250 scientific publications, about half of which appeared in peer-reviewed journals. Part of his work is also concerned with the history of statistics and scientometrics. Christian Genest has given over 300 invited talks, including 75+ presentations for a general audience.
Education
BSc (1977) U. du Québec à Chicoutimi
MSc (1978) U. de Montréal
PhD (1983) U. of British Columbia
Main awards and distinctions
Elected Member, International Statistical Institute, 1992
Fellow, American Statistical Association, 1996
Fellow, Institute of Mathematical Statistics, 1997
Fellow, Royal Society of Canada, 2015
Fellow, Trottier Institute for Science and Public Policy, 2020
Fellow, Fields Institute for Research in Mathematical Sciences, 2023
1st recipient, CRM-SSC Mid-Career Prize, 1999
26th Gold Medalist, Statistical Society of Canada, 2011
Recipient, Humboldt Forschungspreis, 2019
9th Recipient, John L. Synge Award, 2020
30th Recipient, CRM-Fields-PIMS Prize, 2023
Selected past responsibilities
President, Statistical Society of Canada, 2007-08
President, Association des statisticiennes et statisticiens du Québec, 2005-08
Director, Institut des sciences mathématiques du Québec, 2012-15
Interim Chair, Department of Mathematics and Statistics, 2022-23
Editor-in-Chief, The Canadian Journal of Statistics, 1998-2000
Editor-in-Chief, Journal of Multivariate Analysis, 2015-19