Prof. Dr. Maud Thomas​ from Sorbonne Université Laboratoire de Probabilités, France will present a talk with the title "Generalized Pareto Regression Trees for extreme event analysis".

Prof Thomas's research interests include statistics, extreme value theory and machine learning and its applications to actuarial sciences. The applications range from natural catastrophes, cyber-risk, financial risks to public health (influenza, COVID-19). The title of the talk is

Abstract:

This paper derives finite sample results to assess the consistency of Generalized Pareto regression trees introduced by Farkas et al. (2021) as tools to perform extreme value regression for heavy-tailed distributions. This procedure allows the constitution of classes of observations with similar tail behaviors depending on the value of the covariates, based on a recursive partition of the sample and simple model selection rules. The results we provide are obtained from concentration inequalities, and are valid for a finite sample size. A misspecification bias that arises from the use of a ``Peaks over Threshold'' approach is also taken into account. Moreover, the derived properties legitimate the pruning strategies, that is the model selection rules, used to select a proper tree that achieves a compromise between simplicity and goodness-of-fit. The methodology is illustrated through a simulation study, and a real data application in insurance for natural disasters.