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Robust analysis of multivariate extreme events


Project Description

Being well-informed about the likely nature of future risks is of utmost importance to build a resilient infrastructure through adaptation. Specifically, in finance, many decisions involve the quantitative assessment of a large number of risk factors. To give an example, insurance companies routinely deliver estimates of 1/200 year value-at-risk for 3000 member portfolios with less than 20 years of history. What inherently exacerbates such tasks is
(i) the short data history with extreme losses being scarce and
(ii) the large number of risk factors with potentially severe interdependencies at extreme levels.

While classically, one would assume an underlying measure to exploit the rich structure of joint extremes, it is practically almost impossible to estimate it in a high-dimensional setting and we also need to hedge against the uncertainty in the complex structure of interdependencies. The latter is the goal of this project by means of a novel approach making use of fundamental stochastic dominance relationships, of which the main supervisor Dr Kirstin Strokorb is an expert and which triggered a scientific exchange with the additional co-supervisor Professor Stilian Stoev . Specifically, we propose to develop robust statistical techniques by leveraging knowledge in extremal integral representations, stochastic geometry and combining it with cutting-edge approaches from the now rapidly growing field of distributionally robust optimisation. Professor Anatoly Zhigljavsky completes the team through his expertise in stochastic optimisation.

In addition, Professor Chen Zhou ( School of Economics, Erasmus University Rotterdam and Senior Economist, De Nederlandsche Bank) and Dr Robert Yuen (Director of Advanced Analytics & Modeling, Liberty Mutual Insurance Group) will be advisors for this project and ensure that the programme of work includes questions of high priority to end users, which makes the project inherently impactful.

Funding Notes

UK Research Council eligibility conditions apply.
Full awards (UK/EU fees plus maintenance stipend) are open to UK Nationals and EU students who can satisfy UK residency requirements. To be eligible for the full award, EU Nationals must have been in the UK for at least three years prior to the start of the course for which they are seeking funding, including for the purposes of full-time education.

References

Applicants should submit an application for postgraduate study via the online application service for October 2019, Doctor of Philosophy.

In the research proposal section of your application, please specify the project title and supervisors of this project and copy the project description in the text box provided. In the funding section, please select "I will be applying for a scholarship / grant" and specify that you are applying for advertised funding from EPSRC DTP.

If are applying for more than one Cardiff University project please note this in the research proposal section.

How good is research at Cardiff University in Mathematical Sciences?

FTE Category A staff submitted: 24.05

Research output data provided by the Research Excellence Framework (REF)

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