Conference by Joan del Castillo at the CRM: Probabilities without risk

Joan del Castillo, lecturer in the UAB Department of Mathematics, will give a conference entitled Probabilitats sense risc on 28 May at 12 noon, at the "Aula petita" of the Centre for Mathematical Research (C1/028), located in the UAB Faculty of Science. The conference is organised by the Service for Applied Statistics and the Statistical Modeling of Extreme Events and Health Risks seminar group.

In order to assess the risks of financial markets, the conference will focus on introducing a new inequality that allows estimating probabilities without model risk, based on an improved version of the Markov inequality and order statistics. In particular, the aim is to estimate probabilities beyond the range of available observations, where classical nonparametric statistics were not applicable until now. The new methods that will be presented allow a wide range of applications since they simply require the finite hope hypothesis, i.e., that the law of large numbers be used. The results will be compared with Dow Jones Industrial data over a long period encompassing the 2020 COVID crisis. The results will be contrasted with those provided by extreme value theory and other alternative models.