Wednesday, November 30, 2022 — 2:30 PM EST

Please Note: This seminar will be given in person.

Statistics and Biostatistics seminar series

Lucia Petito
Northwestern University

Room: M3 3127

TBA

Friday, November 25, 2022 — 10:30 AM EST

Please Note: This seminar will be given in-person.

Actuarial Science and Financial Mathematics seminar series

Alfred Chong
Heriot-Watt University

Room: M3 3127

TBA

Friday, November 18, 2022 — 10:30 AM EST

Please Note: This seminar will be given in-person.

Actuarial Science and Financial Mathematics seminar series

Jean-François Bégin
Simon Fraser University

Room: M3 3127

TBA

Wednesday, November 16, 2022 — 2:30 PM EST

Please Note: This seminar will be given in person.

Statistics and Biostatistics seminar series

Patrick Brown
Centre for Global Health Research

Room: M3 3127

TBA

Wednesday, November 9, 2022 — 2:30 PM EST

Please Note: This seminar will be given in person.

Statistics and Biostatistics seminar series

Justin Slater
University of Toronto

Room: M3 3127

TBA

Friday, November 4, 2022 — 10:30 AM EDT

Please Note: This seminar will be given in-person.

Actuarial Science and Financial Mathematics seminar series

Daniel Bauer
University of Wisconsin-Madison

Room: M3 3127

TBA

Wednesday, November 2, 2022 — 2:30 PM EDT

Please Note: This seminar will be given in person.

Statistics and Biostatistics seminar series

Alexandra Schmidt
McGill University

Room: M3 3127

TBA

Wednesday, October 26, 2022 — 2:30 PM EDT

Please Note: This seminar will be given in person.

Statistics and Biostatistics seminar series

Mireille Schnitzer
University of Montreal

Room: M3 3127

TBA

Friday, October 21, 2022 — 10:30 AM EDT

Please Note: This seminar will be given in-person.

Actuarial Science and Financial Mathematics seminar series

Tim Boonen
University of Amsterdam

Room: M3 3127

TBA

Thursday, October 20, 2022 — 4:00 PM EDT
Claudia Klüppelberg

Please Note: This seminar will be given in-person.

Distinguished Lecture

Claudia Klüppelberg  
Technical University of Munich

Room: M3 3127

Max-linear Graphical Models for Extreme Risk Modelling


Graphical models can represent multivariate distributions in an intuitive way and, hence, facilitate statistical analysis of high-dimensional data. Such models are usually modular so that high-dimensional distributions can be described and handled by careful combination of lower dimensional factors. Furthermore, graphs are natural data structures for algorithmic treatment. Moreover, graphical models can allow for causal interpretation, often provided through a recursive system on a directed acyclic graph (DAG) and the max-linear Bayesian network we introduced in [1] is a specific example. This talk contributes to the recently emerged topic of graphical models for extremes, in particular to max-linear Bayesian networks, which are max-linear graphical models on DAGs. 

In this context, the Latent River Problem has emerged as a flagship problem for causal discovery in extreme value statistics. In [2] we provide a simple and efficient algorithm QTree to solve the Latent River Problem. QTree returns a directed graph and achieves almost perfect recovery on the Upper Danube, the existing benchmark dataset, as well as on new data from the Lower Colorado River in Texas. It can handle missing data, and has an automated parameter tuning procedure. In our paper, we also show that, under a max-linear Bayesian network model for extreme values with propagating noise, the QTree algorithm returns asymptotically a.s. the correct tree. Here we use the fact that the non-noisy model has a left-sided atom for every bivariate marginal distribution, when there is a directed edge between the the nodes.

For linear graphical models, algorithms are often based on Markov properties and conditional independence properties. In [3] we characterise conditional independence properties of max-linear Bayesian networks and in my talk I will present some of these results and exemplify the difference to linear networks. 

Friday, October 14, 2022 — 4:00 PM EDT
Viktor Todorov

Please Note: This seminar will be given in-person.

Distinguished Lecture Series

Viktor Todorov 
Kellogg School of Management at Northwestern University

Room: EIT 1015

Recalcitrant Betas: Intraday Cross-Sectional Distributions of Systematic Risk


High-frequency financial data allows for efficient estimation of assets’ exposures to systematic risk, provided these exposures do not vary significantly at high frequencies.  We develop a test for deciding whether this is the case. The test is constructed for a panel of high-frequency asset returns, with the size of the cross-section and the sampling frequency increasing simultaneously. It is based on a comparison of the empirical characteristic functions of estimates of the assets' factor loadings at different parts of the trading day, formed from local blocks of asset returns and the corresponding factor realizations. The limiting behavior of the test statistic is governed by unobservable latent factors in the asset prices. Empirical implementation of the test to stocks in the S&P 500 index and the five Fama-French factors, as well as the momentum factor, reveals different intraday behavior of the factor loadings: assets' exposure to size, market and value risks vary systematically over the trading day while the three remaining factors do not exhibit statistically significant intraday variation. Moreover, we find diverse, and for some factors large, reactions in the assets' factor loadings to major economic or firm specific news releases. Finally, we document that time-varying correlations between the observable risk factors drive a wedge between the time-of-day pattern of market betas, estimated with and without control for the other observable risk factors.


Friday, October 7, 2022 — 10:30 AM EDT

Please Note: This seminar will be given in-person.

Actuarial Science and Financial Mathematics seminar series

Zhiwei Tong
University of Iowa

Room: M3 3127

The Gradient Allocation Principle based on the Higher Moment Risk Measure

Wednesday, October 5, 2022 — 2:30 PM EDT

Please Note: This seminar will be given in person.

Statistics and Biostatistics seminar series

Liangliang Wang
Simon Fraser University

Room: M3 3127

Annealed sequential Monte Carlo method with non-standard applications

Thursday, September 29, 2022 — 4:00 PM EDT

Please Note: This seminar will be given in person.

Statistics and Biostatistics seminar series

Yang Feng
New York University

Room: M3 3127

Transfer Learning under High-dimensional Generalized Linear Models

Friday, September 23, 2022 — 10:30 AM EDT

Please Note: This seminar will be given in-person.

Actuarial Science and Financial Mathematics seminar series

Ajay Subramanian
Georgia State University

Room: M3 3127

Insurer Capital and Organizational Forms in Market Equilibrium

Thursday, September 22, 2022 — 4:00 PM EDT
Stephen Senn

Please Note: This seminar will be given online.

Distinguished Lecture Series

Stephen Senn
Consultant Statistician

Whatever Happened to Design-Based Inference?


What exactly should we think about appropriate analyses for designed experiments and why? If conditional inference trumps marginal inference, why should we care about randomisation? Isn’t everything just modelling? The Rothamsted School held that design matters. Taking an example of applying John Nelder’s general balance approach to a notorious problem, Lord’s paradox, I shall show that there may be some lessons for two fashionable topics: causal analysis and big data. I shall conclude that if we want not only to make good estimates but estimate how good our estimates are, design does matter.


Wednesday, September 14, 2022 — 2:30 PM EDT

Please Note: This seminar will be given in person.

Statistics and Biostatistics seminar series

Yanyuan Ma
PennState University

Room: M3 3127

Network Functional Varying Coefficient Model

Tuesday, July 19, 2022 — 11:00 AM EDT

Please Note: This seminar will be given in person.

Statistics and Biostatistics seminar series

Gerhard Dikta
Department of Medical Engineering and Technomathematics, Aachen University of Applied Sciences

Room: M3 3127

Informative censoring

Tuesday, July 19, 2022 — 10:00 AM EDT

Please Note: This seminar will be held online.

Student seminar series

Carlos Araiza Iturria
PhD student in Actuarial Science

Link to join seminar: Hosted on Microsoft Teams

A Discrimination-free Premium Under a Causal Framework

Tuesday, July 5, 2022 — 8:30 AM to Sunday, July 10, 2022 — 5:00 PM EDT
ICORS 2022
Tuesday, June 21, 2022 — 10:00 AM EDT

Please Note: This seminar will be held online.

Student seminar series

Grace Tompkins
PhD student in Biostatistics 

Link to join seminar: Hosted on Microsoft Teams

Multiplicative Inverse Intensity and Probability Weights for Irregular Longitudinal Data Analysis

Tuesday, June 7, 2022 — 10:00 AM EDT

Please Note: This seminar will be held online.

Student seminar series

Alex Stringer
Assistant Professor

Link to join seminar: Hosted on Microsoft Teams

Approximate Marginal Likelihood Inference for Cluster-Dependent Data

Friday, June 3, 2022 — 10:00 AM EDT

Please Note: This seminar will be given online.

Actuarial Science and Financial Mathematics seminar series

Frank Riedel
Bielefeld University

Link to join seminar: Hosted on Zoom

Trading Models

Friday, May 13, 2022 — 10:00 AM EDT

Please Note: This seminar will be given online.

Actuarial Science and Financial Mathematics seminar series

Thorsten Moenig
Temple University

Link to join seminar: Hosted on Zoom

Basis Risk in Variable Annuities

Tuesday, May 10, 2022 — 10:00 AM EDT

Please Note: This seminar will be held online.

Student seminar series

Chris Salahub
PhD student in Statistics

Link to join seminar: Hosted on Microsoft Teams

Mapping My Dad's Peaks: An Introduction to Web Scraping and Regex

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