Modelling Extremal Events

Maximum-Likelihood Estimation

Glas, C. A. W. (2017) · Chapman & Hall/CRC eBooks · doi:10.1201/b19166-11 · Cited by 24

Probabilistic Analysis

Snapp, R. R. (2014) · Springer eBooks · doi:10.1007/978-1-4614-6170-8_155 · Cited by 3

Time Series Analysis for Heavy-Tailed Processes

Emberchts, P., Klüppelberg, C., & Mikosch, T. (1997) · Springer eBooks · doi:10.1007/978-3-642-33483-2_8 · Cited by 2

Definition and Elementary Properties

Davies, B. (1978) · Applied mathematical sciences · doi:10.1007/978-1-4757-5512-1_1 · Cited by 2

Inverse problems for regular variation of linear filters, a cancellation property for σ-finite measures and identification of stable laws

Jacobsen, M., Mikosch, T., Rosiński, J., & Samorodnitsky, G. P. (2009) · The Annals of Applied Probability · doi:10.1214/08-aap540 · Cited by 27

Sharp variable selection of a sparse submatrix in a high-dimensional noisy matrix

Butucea, C., Ingster, Y. I., & Suslina, I. A. (2014) · ESAIM Probability and Statistics · doi:10.1051/ps/2014017 · Cited by 26

Different estimation methods for the parameters of the extended Burr XII distribution

Usta, İ. (2012) · Journal of Applied Statistics · doi:10.1080/02664763.2012.743974 · Cited by 26

Modeling heavy-tailed, skewed and peaked uncertainty phenomena with bounded support

García, C. B. G., Pérez, J. G., & van Dorp, J. R. (2011) · Statistical Methods & Applications · doi:10.1007/s10260-011-0173-0 · Cited by 26

Extreme Value Distributions for the Skew-Symmetric Family of Distributions

Chang, S., & Genton, M. G. (2007) · Communication in Statistics- Theory and Methods · doi:10.1080/03610920601126159 · Cited by 26

On distributionally robust extreme value analysis

Blanchet, J., He, F., & Murthy, K. (2020) · Extremes · doi:10.1007/s10687-019-00371-1 · Cited by 26

Univariate Extreme Value Analysis

Dey, D. K., Roy, D., & Yan, J. (2016) · Chapman & Hall/CRC eBooks · doi:10.1201/b19721-5 · Cited by 26

Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims

Yang, Y., Yuen, K. C., & Liu, J. (2017) · Journal of Industrial and Management Optimization · doi:10.3934/jimo.2017044 · Cited by 26

Sample path large deviations for Lévy processes and random walks with regularly varying increments

Rhee, C.-H., Blanchet, J., & Zwart, B. P. (2019) · The Annals of Probability · doi:10.1214/18-aop1319 · Cited by 26

Expected Shortfall Estimation and Gaussian Inference for Infinite Variance Time Series

Hill, J. B. (2013) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbt020 · Cited by 26

Local Subexponentiality and Self-decomposability

Watanabe, T., & Yamamuro, K. (2009) · Journal of Theoretical Probability · doi:10.1007/s10959-009-0240-8 · Cited by 26

Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums

Tang, Q. (2008) · Stochastic Analysis and Applications · doi:10.1080/07362990802006964 · Cited by 26

Modelling Lateral Spacing and Separation for Airborne Separation Assurance Using Petri Nets

Everdij, M. H. C., Blom, H. A. P., & Bakker, B. (2007) · SIMULATION · doi:10.1177/0037549706063820 · Cited by 26

Simulating Perpetuities

Devroye, L. (2001) · Methodology And Computing In Applied Probability · doi:10.1023/a:1011470225335 · Cited by 26

Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type

Li, Q., & Zhao, Y. Q. (2005) · Advances in Applied Probability · doi:10.1017/s0001867800000276 · Cited by 26

Estimating the End-Point of a Probability Distribution Using Minimum-Distance Methods

Hall, P. A., & Wang, J. Z. (1999) · Bernoulli · doi:10.2307/3318618 · Cited by 26

Extreme Value Theory and the Effects of Competition on ProfitsPreprint

Gabaix, X., Laibson, D., & Li, H. (2005) · RePEc: Research Papers in Economics · Cited by 26

Power Laws

Gabaix, X. (2008) · The New Palgrave Dictionary of Economics · doi:10.1057/978-1-349-95121-5_2342-1 · Cited by 26

Discrete Sampling of Extreme Events Modifies Their Statistics

Zarfaty, L., Barkai, E., & Kessler, D. A. (2022) · Physical Review Letters · doi:10.1103/physrevlett.129.094101 · Cited by 25

Second-order properties of risk concentrations without the condition of asymptotic smoothness

Mao, T., & Hu, T. (2013) · Extremes · doi:10.1007/s10687-012-0164-z · Cited by 25

Markov Tail Chains

Janßen, A., & Segers, J. (2014) · Journal of Applied Probability · doi:10.1017/s0001867800012027 · Cited by 39

CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS

Henze, N., Jiménez-Gamero, M. D., & Meintanis, S. G. (2018) · Econometric Theory · doi:10.1017/s0266466618000154 · Cited by 25

Climate and Extreme Rainfall Events in the Mono River Basin (West Africa): Investigating Future Changes with Regional Climate Models

Amoussou, E., Awoye, H., Vodounon, H. S. T., Obahoundjé, S., Camberlin, P., Diédhiou, A., Kouadio, K., Mahé, G., Houndenou, C., & Boko, M. (2020) · Water · doi:10.3390/w12030833 · Cited by 25

Quantile-based individual risk measures for rockfall-prone areas

Farvacque, M., Eckert, N., Bourrier, F., Corona, C., Lopez‐Saez, J., & Toe, D. (2020) · International Journal of Disaster Risk Reduction · doi:10.1016/j.ijdrr.2020.101932 · Cited by 25

Recipes and Economic Growth: A Combinatorial March Down an Exponential Tail

Jones, C. I. (2023) · Journal of Political Economy · doi:10.1086/723631 · Cited by 25

Failure Probability Under Parameter Uncertainty

Gerrard, R., & Tsanakas, A. (2010) · Risk Analysis · doi:10.1111/j.1539-6924.2010.01549.x · Cited by 25

CLIM-X-DETECT: A Fortran 90 program for robust detection of extremes against a time-dependent background in climate records

Manfred Mudelsee, A. (2005) · Computers & Geosciences · doi:10.1016/j.cageo.2005.05.010 · Cited by 25

Analysis of annual maximal and minimal temperatures for some European cities by change point methods

Jarušková, D., & Rencová, M. (2007) · Environmetrics · doi:10.1002/env.865 · Cited by 25

Dirichlet Process Mixture Models for Insurance Loss Data

Hong, L., & Martin, R. (2017) · Scandinavian Actuarial Journal · doi:10.1080/03461238.2017.1402086 · Cited by 23

Conditional Monte Carlo for sums, with applications to insurance and finance

Asmussen, S. (2018) · Annals of Actuarial Science · doi:10.1017/s1748499517000252 · Cited by 25

Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles

Durrieu, G., Grama, I., Pham, Q.-K., & Tricot, J. (2015) · Extremes · doi:10.1007/s10687-015-0219-z · Cited by 25

Telecommunication traffic, queueing models, and subexponential distributions

Greiner, M., Jobmann, M. R., & Klüppelberg, C. (1999) · Queueing Systems · doi:10.1023/a:1019120011478 · Cited by 25

Tail behavior of negatively associated heavy-tailed sums

Geluk, J. L., & Ng, K. W. (2006) · Journal of Applied Probability · doi:10.1017/s0021900200001844 · Cited by 25

The tail behaviour of a random sum of subexponential random variables and vectors

Daley, D. J., Omey, E., & Vesilo, R. (2007) · Extremes · doi:10.1007/s10687-007-0033-3 · Cited by 25

Asymptotic expansions of convolutions of regularly varying distributions

Barbe, P., & McCormick, W. P. (2005) · Journal of the Australian Mathematical Society · doi:10.1017/s1446788700008570 · Cited by 25

A sharp inequality for the tail probabilities of sums of i.i.d. r.v.’s with dominatedly varying tails

Tang, Q., & Yan, J.-A. (2002) · Science in China Series A Mathematics · doi:10.1007/bf02879983 · Cited by 25

Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift

Kaas, R., & Tang, Q. (2003) · North American Actuarial Journal · doi:10.1080/10920277.2003.10596103 · Cited by 25

Non-parametric estimators of multivariate extreme dependence functions

Abdous, B., & Ghoudi, K. (2005) · Journal of nonparametric statistics · doi:10.1080/10485250500336379 · Cited by 25

Density approximation and exact simulation of random variables that are solutions of fixed-point equations

Devroye, L., & Neininger, R. (2002) · Advances in Applied Probability · doi:10.1017/s0001867800011642 · Cited by 25

UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS

Tang, Q. (2004) · Probability in the Engineering and Informational Sciences · doi:10.1017/s0269964804181059 · Cited by 25

Beyond Value at Risk: Forecasting Portfolio Loss at Multiple HorizonsPreprint

Goldberg, L. R., Miller, G., & Weinstein, J. (2007) · SSRN Electronic Journal · doi:10.2139/ssrn.1023441 · Cited by 25

Evaluating probabilistic forecasts of extremes using continuous ranked probability score distributions

Taillardat, M., Fougères, A., Naveau, P., & de Fondeville, R. (2022) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2022.07.003 · Cited by 37

TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS

Hill, J. B. (2011) · Econometric Theory · doi:10.1017/s0266466610000514 · Cited by 24

A multivariate piecing-together approach with an application to operational loss data

Aulbach, S., Bayer, V., & Falk, M. (2012) · Bernoulli · doi:10.3150/10-bej343 · Cited by 24

Fixed-kAsymptotic Inference About Tail Properties

Müller, U. K., & Wang, Y. (2016) · Journal of the American Statistical Association · doi:10.1080/01621459.2016.1215990 · Cited by 24

Matrix Mittag–Leffler distributions and modeling heavy-tailed risks

Albrecher, H., Bladt, M., & Bladt, M. (2020) · Extremes · doi:10.1007/s10687-020-00377-0 · Cited by 24

How to Read Probability Distributions as Statements about Process

Frank, S. A. (2014) · Entropy · doi:10.3390/e16116059 · Cited by 22

Extreme Value Analysis for Financial Risk Management

Nolde, N., & Zhou, C. (2021) · Annual Review of Statistics and Its Application · doi:10.1146/annurev-statistics-042720-015705 · Cited by 24

Assessing the Risk Characteristics of the Cryptocurrency Market: A GARCH-EVT-Copula Approach

Bruhn, P., & Ernst, D. (2022) · Journal of risk and financial management · doi:10.3390/jrfm15080346 · Cited by 24

Assessing the power grid vulnerability to extreme weather events based on long-term atmospheric reanalysis

Yang, F., Koukoula, M., Emmanouil, S., Cerrai, D., & Anagnostou, E. N. (2023) · Stochastic Environmental Research and Risk Assessment · doi:10.1007/s00477-023-02508-y · Cited by 26

Tail Behavior of Randomly Weighted Sums

Hazra, R. S., & Maulik, K. (2012) · Advances in Applied Probability · doi:10.1239/aap/1346955265 · Cited by 27

On the Estimation of the Extremal Index Based on Scaling and Resampling

Hamidieh, K., Stoev, S., & Michailidis, G. C. (2009) · Journal of Computational and Graphical Statistics · doi:10.1198/jcgs.2009.08065 · Cited by 24

Quantile estimation for the generalized pareto distribution with application to finance

Jocković, J. (2012) · Yugoslav journal of operations research · doi:10.2298/yjor110308013j · Cited by 24

Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables

Juneja, S., Karandikar, R. L., & Shahabuddin, P. (2007) · ACM Transactions on Modeling and Computer Simulation · doi:10.1145/1225275.1225278 · Cited by 24

Fluctuations of the Maximal Particle Energy of the Quantum Ideal Gas and Random Partitions

Vershik, A. M., & Yakubovich, Y. V. (2005) · Communications in Mathematical Physics · doi:10.1007/s00220-005-1434-2 · Cited by 24

How Physicists Made Stable Lévy Processes Physically Plausible

Schınckus, C. (2013) · Brazilian Journal of Physics · doi:10.1007/s13538-013-0142-1 · Cited by 24

The rate of convergence of the Walk on Spheres Algorithm

Binder, I. A., & Braverman, M. (2012) · Geometric and Functional Analysis · doi:10.1007/s00039-012-0161-z · Cited by 24

Robust time series models with trend and seasonal components

Caivano, M., Harvey, A. C., & Luati, A. (2015) · SERIEs · doi:10.1007/s13209-015-0134-1 · Cited by 24

On the skewness of extreme order statistics from heterogeneous samples

Ding, W., Yang, J., & Ling, X. (2016) · Communication in Statistics- Theory and Methods · doi:10.1080/03610926.2015.1041984 · Cited by 24

ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS

Mao, T., Ng, K. W., & Hu, T. (2015) · Probability in the Engineering and Informational Sciences · doi:10.1017/s0269964815000017 · Cited by 24

Extreme floods and their relationship with tropical cyclones in Puerto Rico

Ayala, J. J. H., Keellings, D. J., Waylen, P. R., & Matyas, C. J. (2017) · Hydrological Sciences Journal · doi:10.1080/02626667.2017.1368521 · Cited by 24

A Latent Process Model for Temporal Extremes

Bortot, P., & Gaetan, C. (2013) · Scandinavian Journal of Statistics · doi:10.1111/sjos.12051 · Cited by 24

A Joint Chow Test for Structural Instability

Nielsen, B. J., & Whitby, A. (2015) · Econometrics · doi:10.3390/econometrics3010156 · Cited by 24

Assessing the risk forecasts for Japanese stock market

Lee, T., & Saltoğlu, B. (2002) · Japan and the World Economy · doi:10.1016/s0922-1425(01)00080-9 · Cited by 24

Estimation of Tails and Related Quantities Using the Number of Near-Extremes

Hashorva, E., & Hüsler, J. (2005) · Communication in Statistics- Theory and Methods · doi:10.1080/03610920509342424 · Cited by 24

Rare events in a log-Weibull scenario - Application to earthquake magnitude data

Huillet, T., & Raynaud, H.-F. G. (1999) · The European Physical Journal B · doi:10.1007/s100510051027 · Cited by 24

Value at Risk

Gouriéroux, C., & Jasiak, J. (2010) · Elsevier eBooks · doi:10.1016/b978-0-444-50897-3.50013-4 · Cited by 24

A global index earthquake approach to probabilistic assessment of extremes

Thompson, E. M., Baise, L. G., & Vogel, R. M. (2007) · Journal of Geophysical Research Atmospheres · doi:10.1029/2006jb004543 · Cited by 24

The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk

Foss, S., Palmowski, Z., & Zachary, S. (2005) · The Annals of Applied Probability · doi:10.1214/105051605000000269 · Cited by 24

Tail asymptotics for M/G/1 type queueing processes with subexponential increments

Asmussen, S., & Møller, J. R. (1999) · Queueing Systems · doi:10.1023/a:1019172028316 · Cited by 24

Local likelihood modeling by adaptive weights smoothing

Polzehl, J., & Spokoiny, V. G. (2002) · Weierstraß-Institut für Angewandte Analysis und Stochastik · doi:10.20347/wias.preprint.787 · Cited by 24

NHPoisson: AnRPackage for Fitting and Validating Nonhomogeneous Poisson Processes

Cebrian, A. C., Abaurrea, J., & Asín, J. (2015) · Journal of Statistical Software · doi:10.18637/jss.v064.i06 · Cited by 23

A statistical volcanic forcing scenario generator for climate simulations

Ammann, C. M., & Naveau, P. (2010) · Journal of Geophysical Research Atmospheres · doi:10.1029/2009jd012550 · Cited by 23

An Optimal Three-Way Stable and Monotonic Spectrum of Bounds on Quantiles: A Spectrum of Coherent Measures of Financial Risk and Economic Inequality

Pinelis, I. F. (2014) · Risks · doi:10.3390/risks2030349 · Cited by 23

Revising Return Periods for Record Events in a Climate Event Attribution Context

Naveau, P., Ribes, A., Zwiers, F. W., Hannart, A., Tuel, A., & Yiou, P. (2018) · Journal of Climate · doi:10.1175/jcli-d-16-0752.1 · Cited by 24

On the tails of the wind ramp distributions

DeMarco, A. W., & Basu, S. (2018) · Wind Energy · doi:10.1002/we.2202 · Cited by 23

Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes

Chen, B., Blanchet, J., Rhee, C.-H., & Zwart, B. P. (2019) · Mathematics of Operations Research · doi:10.1287/moor.2018.0950 · Cited by 23

Sequential change point detection in high dimensional time series

Gösmann, J., Stoehr, C., Heiny, J., & Dette, H. (2022) · Electronic Journal of Statistics · doi:10.1214/22-ejs2027 · Cited by 23

Structure Learning for Extremal Tree Models

Engelke, S., & Stanislav Volgushev, A. (2022) · Journal of the Royal Statistical Society Series B (Statistical Methodology) · doi:10.1111/rssb.12556 · Cited by 23

Mixture Composite Regression Models with Multi-type Feature Selection

Fung, T. C., Tzougas, G., & Wüthrich, M. V. (2022) · North American Actuarial Journal · doi:10.1080/10920277.2022.2099426 · Cited by 23

How much should a pedestrian be fined for intentionally blocking a fully automated vehicle? A random parameters beta hurdle model with heterogeneity in the variance of the beta distribution

Afghari, A. P., Papadimitriou, E., Li, X., Kaye, S.-A., & Oviedo-Trespalacios, Ó. (2021) · Analytic Methods in Accident Research · doi:10.1016/j.amar.2021.100186 · Cited by 23

Empirically estimating the distribution of the loudest candidate from a gravitational-wave search

Tenorio, R., Modafferi, L. M., Keitel, D., & Sintes, A. M. (2022) · Physical review. D/Physical review. D. · doi:10.1103/physrevd.105.044029 · Cited by 23

Predictability of shapes of intraday price curves

Kokoszka, P. S., & Reimherr, M. L. (2013) · Econometrics Journal · doi:10.1111/ectj.12006 · Cited by 23

Precise Large Deviations for Sums of Negatively Associated Random Variables with Common Dominatedly Varying Tails

Wang, Y. B., Wang, K. Y., & Cheng, D. (2006) · Acta Mathematica Sinica English Series · doi:10.1007/s10114-005-0745-8 · Cited by 23

Evaluation of Peak Over Threshold Approach for Road Safety Estimation

Zheng, L., Ismail, K., & Meng, X. (2014) · Journal of Transportation Safety & Security · doi:10.1080/19439962.2014.904029 · Cited by 23

The Empirical Validation of an Agent-based Model

Cirillo, P., & Gallegati, M. (2012) · Eastern Economic Journal · doi:10.1057/eej.2011.34 · Cited by 23

Ruin probabilities in a discrete time risk model with dependent risks of heavy tail

Weng, C., Zhang, Y., & Tan, K. S. (2008) · Scandinavian Actuarial Journal · doi:10.1080/03461230802312487 · Cited by 23

Discretization of distributions in the maximum domain of attraction

Shimura, T. (2011) · Extremes · doi:10.1007/s10687-011-0137-7 · Cited by 23

Nonparametric density estimation in compound Poisson processes using convolution power estimators

Comte, F., Duval, C., & Genon‐Catalot, V. (2013) · Metrika · doi:10.1007/s00184-013-0475-3 · Cited by 23

Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data

Hsing, T., Klüppelberg, C., & Kuhn, G. (2004) · Extremes · doi:10.1007/s10687-005-6194-z · Cited by 23

Subexponential distribution functions in Rd

Omey, E. (2006) · Journal of Mathematical Sciences · doi:10.1007/s10958-006-0310-8 · Cited by 23

Ruin problem of a two-dimensional fractional Brownian motion risk process

Ji, L., & Robert, S. (2018) · Stochastic Models · doi:10.1080/15326349.2017.1389284 · Cited by 23

Can Volatility Models Explain Extreme Events?*

Trapin, L. (2017) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbx031 · Cited by 23

The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation

Wang, K., Chen, L., Yang, Y., & Gao, M. (2018) · Japan Journal of Industrial and Applied Mathematics · doi:10.1007/s13160-018-0321-0 · Cited by 23

Extremes ofγ-reflected Gaussian processes with stationary increments

Dȩbicki, K., Hashorva, E., & Liu, P. (2017) · ESAIM Probability and Statistics · doi:10.1051/ps/2017019 · Cited by 23

Multivariate Hill Estimators

Dominicy, Y., Ilmonen, P., & Veredas, D. (2015) · International Statistical Review · doi:10.1111/insr.12120 · Cited by 23

Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims

Cheng, D., Yang, Y., & Wang, X. (2020) · Japan Journal of Industrial and Applied Mathematics · doi:10.1007/s13160-020-00418-y · Cited by 23

Performance measurement with loss aversion

Gemmill, G., Hwang, S., & Salmon, M. H. (2006) · Journal of Asset Management · doi:10.1057/palgrave.jam.2240213 · Cited by 21

The Dynamic Power Law Model

Kelly, B. (2014) · Extremes · doi:10.1007/s10687-014-0193-x · Cited by 23

Residual estimators

Segers, J. (2001) · Journal of Statistical Planning and Inference · doi:10.1016/s0378-3758(00)00321-9 · Cited by 23

Modelling of extremal events in insurance and finance

Paul Embrechts, A., & Schmidli, H. (1994) · Mathematical Methods of Operations Research · doi:10.1007/bf01440733 · Cited by 3,575

Statistics of Extremes, with Applications in Environment, Insurance, and Finance

Smith, R. L. (2003) · Monographs on statistics and applied probability · doi:10.1201/9780203483350.ch1 · Cited by 107

Рецензия на книгу: Embrechts P., Kluppelberg C., Mikosch T. “Modelling Extremal Events for Insurance and Finance”

Malinovskiǐ, V. K. (2001) · Теория вероятностей и ее применения · doi:10.4213/tvp3831 · Cited by 10

Probabilistic and statistical aspects of extreme value theory and its applications in insurance and finance

Stefanelli, S., & Laeven, R. J. A. (2008)

The analysis of extreme events with applications to financial risk management

Degen, M. (2009) · Repository for Publications and Research Data (ETH Zurich) · doi:10.3929/ethz-a-005978285