Rencontres Statistiques du CEREMADE (Gauthier Thurin, lundi 14 octobre 2024)

La prochaine séance des Rencontres statistiques du CEREMADE aura lieu le lundi 14 octobre 2024 à 13h30 en salle B206. Nous aurons le plaisir d'écouter Gauthier Thurin (Institut de Mathématiques de Bordeaux), qui nous parlera de

Multivariate quantiles and superquantiles

Abstract
We introduce center-outward superquantile and expected shortfall functions, to characterize multivariate tail probabilities and central areas of point clouds. These notions build up on a multivariate quantile function based on measure transportation ideas. They characterize the underlying distributions and their weak convergence, which underlines their importance. Finally, these definitions will be applied to risk analysis, with multivariate definitions of Value-at-Risk and Conditional-Value-at-Risk.