[SFdS] Information du groupe Risques AEF : WG Risk - CREAR - 27 April 2026

Dear all,

We have the pleasure thanks to the support of the ESSEC IDO department/Ceressec, the Institut des Actuaires, the FSM/Labex MME-DII (CY) and the Risques AEF - SFdS group, to invite you to the seminar by:

Date: Monday, 27 April 2026, at 12.00am (CEST)

Dual format: ESSEC Singapore Campus, Room TBA
and via Zoom, please click here

Stein's method for extreme value analysis

Extreme value theory (EVT) constitutes a fundamental tool for risk management, as it provides a robust mathematical framework to estimate the frequency and intensity of rare but potentially devastating events. Within EVT, several limit theorems predict the asymptotic behavior of the largest value in (say) iid data but give no information about the quality of such approximations. During this talk, I will explain what Stein's method is and how it can be applied to EVT, thus providing more ways to quantify limit theorems involving any of the so-called extreme value distributions, not just in the univariate setting, but also in higher dimension.

Kind regards,
Pierre Alquier, Marie Kratz, Roberto Reno, and Riada Djebbar (Singapore Actuarial Society - ERM)