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Managing Uncertainty

Participation in INI programmes is by invitation only. Anyone wishing to apply to participate in the associated workshop(s) should use the relevant workshop application form.

23rd July 2001 to 10th August 2001

Organisers: Professor P Embrechts (Zurich), Dr WJ Fitzgerald (Cambridge), Dr DJ Goodman (British Antartic Survey), Professor RL Smith (North Carolina)

Programme Theme

Corporations and governments are making risk decisions based on perceptions of extreme values. Frequently these decisions are taken with an inadequate framework for handling low probability, high severity events drawn from non-stationary time series. These problems are very diverse and range from analysis of the stability of the UK economy, corporate governance issues, to the reinsurance purchase of a major insurer. Forecasts of future events must take into account possible changes in the structure of the underlying time series, including the possible impact of global changes in the environment.

This Short Programme will bring together mathematicians, statisticians, economists and environmental scientists who specialise in the analysis of financial, economic and environmental data. Particular attention is paid to mathematical models and statistical prediction tools for extreme events, and for nonstationarity. Specific problems include the estimation of Value at Risk in nonstationary time series, the development of alternative "measures of risk", incorporation of model uncertainty into statistical calculations, and the extensions of multivariate time series.

During the Programme there will be five one day workshops to bring additional participants to the Programme with practical problems to which the tools under investigation can be applied. The workshops will be on the application of extreme value methods and nonstationary analysis tools to insurance, financial risk, economic risk, environmental risk and in corporate governance.

Final Scientific Report: 
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons