Anna Kiriliouk
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I am an assistant professor in Statistics at the Faculty of Economics, Social Sciences and Business Administration of the University of Namur. Before that, I was affiliated to the Erasmus University Rotterdam (EUR) and the Université catholique de Louvain (UCLouvain). My PhD thesis was carried out at the UCLouvain under the supervision of Prof. Johan Segers and Prof. Michel Denuit.
My main research interests are copulas and extreme value theory, in particular statistical modelling in high dimensions, spatial extremes and semi- and non-parametric inference. I prefer working on problems motivated directly by environmental or financial applications. Recently, I've been particularly interested in applications related to climate change. Full cv: (pdf) Google scholar: (link) |
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Agenda
- Invited talk "New frontiers in statistics of extremes" Workshop (Lisbon, February 2020)
- Statistics Seminar at the University of Warwick (Warwick, May 2020)
- Session Organizer 5th ISNPS (Paphos, June 2020)
Working papers
- Kiriliouk, A. and Naveau, P. (2019+). Climate extreme event attribution using multivariate peaks-over-thresholds modelling and counterfactual theory.
- Kiriliouk, A., Segers, J. and Tsukahara, H. (2019+). On some resampling procedures with the empirical beta copula.
Accepted papers in peer-reviewed journals
- Kiriliouk, A. (2019+). Hypothesis testing for tail dependence parameters on the boundary of the parameter space. Econometrics and Statistics (in press).
- Kiriliouk, A., Rootzén, H., Segers, J., and Wadsworth, J. (2019). Peaks over thresholds modelling with multivariate generalized Pareto distributions. Technometrics 61(1), 123-135.
- Kiriliouk, A., Segers, J. and Tafakori, L. (2018). An estimator of the stable tail dependence function based on the empirical beta copula. Extremes 21(4), 581-600.
- van Loenhout, J.A.F., Delbiso, T. Kiriliouk, A. Rodriguez-Llanes, J. Segers, J. and Guha-Sapir, D. (2018). Heat and emergency room admissions in the Netherlands. BMC Public Health 18(108), 1-9.
- Einmahl, J.H.J., Kiriliouk, A., and Segers, J. (2018). A continuous updating weighted least squares estimator of tail dependence in high dimensions. Extremes 21(2), 205-233.
- Einmahl, J.H.J., Kiriliouk, A., Krajina, A., and Segers, J. (2016). An M-estimator of spatial tail dependence. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 78, 275-298.
- Kiriliouk, A., Segers, J., and Warchol, M. (2016). Nonparametric estimation of extremal dependence. Book chapter in Extreme Value Modelling and Risk Analysis: Methods and Applications, edited by D. Dey and J. Yan. Chapman & Hall/CRC Press.
- Denuit, M., Kiriliouk, A., and Segers, J. (2015). Max-factor individual risk models with application to credit portfolios. Insurance: Mathematics and Economics, 62, 162-172.
2019-2020 Teaching (135 hours)
- Statistics and probability for first-year students in Business engineering, Economics and Management.
- Interdisciplinary project for first-year students in Business engineering, Economics and Management.
- Linear algebra for second-year students in Business engineering, Economics and Management.
- Regression methods for third-year students in Mathematics.
- Nonparametric statistics for master students in Business engineering.
PhD thesis
- Kiriliouk, A. (2016). Modelling extreme-value dependence in high dimensions using threshold exceedances.
R package
- tailDepFun. Provides functions implementing minimal distance estimation methods for parametric tail dependence models. A manual and a vignette are available.
Contact
Email: anna.kiriliouk at unamur.be
Address: Faculté des sciences économiques, sociales et de gestion, room 406A
Rempart de la vierge 8, B-5000 Namur, Belgique
Address: Faculté des sciences économiques, sociales et de gestion, room 406A
Rempart de la vierge 8, B-5000 Namur, Belgique
