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Recent theoretical and methodological advances in business, finance, and actuarial science

Organiser

Prof. Nathaniel Stevens

Participants

Dr Nathaniel Stevens (Chair)

Prof. Félix Camirand Lemyre (Presenter/Speaker)

Change-point tests and estimators for gradually changing dependence structures based on Kendall’s tau

Anne MacKay (Presenter/Speaker)

American option pricing via stochastic approximation

Philippe Gagnon (Presenter/Speaker)

Robust heavy-tailed versions of generalized linear models with applications in actuarial science

Conference

64th ISI World Statistics Congress

Category: International Society for Business and Industrial Statistics (ISBIS)

Abstract

This session is organized jointly by the Young Statistician group associated with the International Society for Business and Industrial Statistics (y-BIS), in collaboration with the Statistical Society of Canada’s New Investigator Committee. The theme of the session is to showcase recent work by early-career researchers at Canadian institutions in the realms of business, finance, and actuarial science. The topics presented in this session are intentionally diverse, but share the common thread of developing methods for practical use in the aforementioned domains. These topics include changepoint detection methods, stochastic approximation for data with triangular dependence, and robust, heavy-tailed versions of generalized linear models.