European Project « RARE » - Risk Analysis, Ruin and Extremes

CREAR-ESSEC Business School, together with a consortium of 11 other international higher education institutions, has been awarded a four year EU Framework 7 Marie Curie International Research Staff Exchange Scheme (IRSES).

The EU-funded RARE (Risk Analysis, Ruin theory, Extremes) project, coordinated by Dr. Corina Constantinescu (IFAM, Univ. Liverpool) addressed rare events and extremes by analyzing environmental and financial risks through the use of probabilistic tools and approaches.

It investigates two major themes: 

  • Risk Modelling, coordinated by Prof. Marie Kratz (ESSEC Business School, CREAR) 
  • New Developments on Extremes  Rare Events, coordinated by Prof. Enkelejd Hashorva (HEC Lausanne) 

To achieve this, it established a global network. In total, 20 doctoral and 20 postdoctoral fellows were hired who specialized in (applied) probability, mathematical statistics, stochastic analysis, extremes, and financial and insurance mathematics. Partner institutions were 12 leading research centers from Europe, Australia, China, India, Japan, Russia, the United Kingdom and the United States. The network now exceeds 100 researchers from around the world. 

RARE focused on developing a theoretical perspective on the analysis of risk probabilities in case of disasters or extreme shocks for financial or environmental risk pools. It also centered on creating new risk measures and assessing aggregate risk effects. Over 200 scientific articles were submitted for publication, raising overall awareness of rare and extreme events and significantly boosting the visibility of researchers. These papers highlight results such as new concepts on rare events analysis, new risk measures, extreme behavior analysis, and improvements on existing risk analysis tools and statistical applications. 

Knowledge and expertise were continually fostered through university seminars, conferences, workshops and dedicated sessions at international events. A final workshop at La Baule (France) gathered over 60 international experts representing academia and industry from 5 continents. They discussed a broad variety of future topics, ranging from transformation of uncertainty into measurable risks to the role of regulators, communication and new democratic systems.