Seminario Cascading Extremes and Generative AI Modeling of Extreme Events

Relatore: Miguel de Carvalho (University of Edinburgh)

Abstract:

In this talk, I first motivate the notion of cascades of extremes—as recently introduced by de Carvalho, Ferrer & Vallejos (2026, Extremes)—such as a tsunami followed by an earthquake or a cascade of stock market losses. I will introduce the notion of POC (Probability of Cascade) surface, and will develop a neural model based on the Kolmogorov superposition theorem to learn about it from data. I then argue that the sequential nature of cascading extremes makes them particularly appealing for the setting of generative extremes, and introduce an generative framework grounded on extreme value theory that synthesizes cascades through causal attention. Simulated and real data examples will be used to illustrate the scope of the proposed approaches.

Organizzatore: Luca Trapin