An Extreme Value Model For the Analysis of the COVID-19 Pandemic and Its Impact, and the Mitigation of Future Related Crises

The second strand of work will harness the vast wealth of functional data at our disposal to construct estimators for extreme regression risk measures with functional covariates, with a view to analysing and predicting the aftermath of the COVID-19 pandemic. These estimators are so-called “nonparametric estimators”, in the sense that they progressively learn the structure of the data with minimal input from the user. The methods will be implemented on simulated and real data from climatology, epidemiology, insurance, and finance. This requires specialised technical skills and cutting-edge results from extreme value theory.

With this combination of novel risk measurement techniques and high-dimensional data methods, this research program will provide a diverse toolbox for the assessment and mitigation of extreme risk due to rare events, including a pandemic or a disruptive climate event.