Univariate and multivariate extreme value theory
Hierarchical models for biomedical population studies
Markov chains
The main research interest concerns the development of models
for univariate and multivariate extreme values in order to
capture extramal behaviours in situations which are more
complex and realistic than the standard independence
assumption. These developments have
important applications to financial and environmental
studies where risk measurements require the understanding of
the extremal behaviour of the phenomenon and where the independence
assumption is often violated.
A different research interest concerns population studies in a
biomedical context. These studies often require the use of
stochastic processes with hierarchical components that enable an
exchange of information among subjects while accounting for the
individual features.
