Anna Kiriliouk

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.

Full cv: (pdf)

Forthcoming talks

• PhD course on extreme-value theory (Namur, Belgium), March 2019
• Workshop on Assessment of Ensemble Forecasts (Aussois, France), March 2019 
• CRoNoS Workshop on Multivariate Data Analysis (Limassol, Cyprus), April 2019
• 11th International Conference on Extreme Value Analysis (Zagreb, Croatia), July 2019
• 62nd ISI World Statistics Congress (Kuala Lumpur, Maleisia), August 2019

Working papers

• Kiriliouk, A. (2019+). Hypothesis testing for tail dependence parameters on the boundary of the parameter space. ​

Accepted papers in peer-reviewed journals

• ​Kiriliouk, A., Rootzén, H., Segers, J., and Wadsworth, J. (2018). Peaks over thresholds modelling with multivariate generalized Pareto distributions.  To be published in Technometrics.
• 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.

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. 

Teaching (2018-2019)

• Statistics for first-year students in Business engineering, Economics and Management.
• Mathematics for second-year students in Business engineering, Economics and Management.

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