Scientific Research Project Title

Distributional robustness in assessment of extreme risk

Research Institution

Aarhus University

RESEARCH FIELD

Statistics and probability

CONTACT INFO

E-mail: Jevgenijs.ivanovs@math.au.dk
Phone: +45 87155798

Research leader

Jevgenijs Ivanovs

Associate Professor, born 1983

Project title

Sensitivity of risk measurements to model misspecification in the analysis of extreme events.

What is your project about?

Statistical methods rely on modeling assumptions, and every model is a simplification of reality meant to capture the main features exclusively, which is dictated by considerations of tractability and robustness. Hence it is crucial to quantify sensitivity of risk measurement to model misspecification going beyond deviations in model parameters. This is especially true in case of extreme risks, where adequate modeling is particularly challenging, and hence the modeling error may result in huge risk underestimation. The aim of this project is to provide mathematically sound framework for the analysis of extreme risks allowing to judge the trustworthiness of the obtained numbers. 

How did you become interested in your particular field of research?

I am passionate about mathematics from the early childhood. First, I occupied myself with various puzzles and later took part in mathematical Olympiads winning numerous prizes. I chose to study theoretical computer science and then shifted to machine learning, which finally led me to the fascinating field of statistics and probability - the science of randomness.

What are the scientific challenges and perspectives in your project?

The main challenge is to provide a mathematically justified framework by establishing appropriate structural results and limit theorems. This will lead to a better understanding of the risks, it will point out the vulnerabilities in the assumed models and will provide certain guarantees.

What is your estimate of the impact, which your project may have to society in the long term? 

Reliable assessment of risks is vital in modern ever-changing world, and the need for it extends far beyond insurance and finance domains. It concerns all of us: one may think of natural disasters, epidemics, severe side effects of drugs, failures of nuclear power plants, evolutionary mutations and so on.

Which impact do you expect the Sapere Aude programme will have on your career as a researcher?

This grant will boost my career by enabling me to build a research group in extreme risk assessment, to widen and strengthen my international collaborations, and to lay the foundations for further theoretical advances.

Background and personal life

I come from a provincial town in Latvia, but during the last 13 years I lived in Utrecht, Amsterdam and Lausanne before moving to Aarhus. I came here with my wife in 2016 and just 2 months later our son was born. I enjoy spending my free time with the family, and occasionally I go for some rather challenging mountain climbing.

City of current residence
Aarhus
Highschool
Daugavpils school #4 (Latvia)