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106 * ! Mon, 7/31/2017, 8:30 AM - 10:20 AM CC-346
Empirical Transforms, Saddlepoint Approximations, and Risk Assessment with Some Applications — Topic Contributed Papers
Section on Risk Analysis , Business and Economic Statistics Section , IMS
Organizer(s): Sucharita Ghosh, Swiss Federal Research Institute WSL
Chair(s): Sucharita Ghosh, Swiss Federal Research Institute WSL
8:35 AM Estimation of the Tail Index Using Semiparametric Regression Emanuele Taufer, University of Trento ; Mofei Jia, Xi'an Jiaotong-Liverpool University ; Maria Michela Dickson, University of Trento
8:55 AM On Distributions of Ratios Simon Broda, University of Amsterdam ; Raymond Kan, University of Toronto
9:15 AM An Empirical Saddlepoint Approximation Based Method for Smoothing Survival Functions Under Right Censoring Adao Trindade, Texas Tech University ; Pratheepa Jeganathan , Stanford University ; Noroharivelo Randrianampy, HECMMA ; Robert Paige, Missouri University of Science and Technology
9:35 AM Portfolio Selection with Active Risk Monitoring Pawel Polak, Columbia University ; Marc Paolella, University of Zurich
9:55 AM Discussant: Keith Knight, Professor, Department of Statistical Sciences, University of Toronto
10:15 AM Floor Discussion
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