Events Calendar
WDSS Intermediate R Workshop
April 22, 2024

Seminar - Vytaras Brazauskas (University of Wisconsin)

Date:
Wednesday, May 18, 2022
Time:
11:00 am
Location:
Western Science Centre (WSRC)
Room: 248
Cost:
Free

SPEAKER: Vytaras Brazauskas (University of Wisconsin-Milwaukee)

TITLE: Smoothing Discrete Risks: Theory, Simulations, Examples

ABSTRACT: Many risk measures can be defined through the quantile function of the underlying loss variable (e.g., a class of distortion risk measures). When the loss variable is discrete or mixed, however, the definition of risk measures has to be broadened, which makes statistical inference trickier. To facilitate a straightforward transition from the risk measurement literature of continuous loss variables to that of discrete, in this paper we study smoothing of quantiles for discrete variables. Smoothed quantiles are defined using the theory of fractional or imaginary order statistics, which was originated by Stigler (1977). To prove consistency and asymptotic normality of sample estimators of smoothed quantiles, we utilize the results of Wang and Hutson (2011) and generalize them to vectors of smoothed quantiles. Further, we thoroughly investigate extensions of this methodology to discrete populations with infinite support (e.g., Poisson and zero-inflated Poisson distributions).

Furthermore, large- and small-sample properties of the newly designed estimators are investigated theoretically and through Monte Carlo simulations. Finally, applications of smoothed quantiles to risk measurement (e.g., estimation of distortion risk measures such as value-at-risk, conditional tail expectation, and proportional hazards transform) are discussed and illustrated using automobile accident data.

Comparisons between the classical (and linearly interpolated) quantiles and smoothed quantiles are performed as well. This is a joint work with Ponmalar Ratnam (Excellus BlueCross BlueShield).

WEB/BIO: https://uwm.edu/math/people/brazauskas-asa-vytaras/

Contact:
Ricardas Zitikis
zitikis@stats.uwo.ca


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