Modelling Extremal Events

Maximum-Likelihood Estimation

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Probabilistic Analysis

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Time Series Analysis for Heavy-Tailed Processes

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Heavy‐tailed densities

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Asymptotically (in)dependent multivariate maxima of moving maxima processes

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Extremal behavior of Archimedean copulas

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Bayesian Extreme Value Statistics for Novelty Detection in Gas-Turbine Engines

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On the number of near-maximum insurance claim under dependence

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A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL

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Implementing loss distribution approach for operational risk

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Which Extreme Values Are Really Extreme?

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Extreme value analysis of daily Canadian crude oil prices

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Measuring Risk in Complex Stochastic Systems

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The Maximum of the Periodogram of a Non-Gaussian Sequence

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Revisiting the Dependence between Financial Markets with CopulasPreprint

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Testing Weak Exogeneity in Cointegrated Panels

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Exact tail asymptotics in bivariate scale mixture models

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A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics

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Learning Preferences Under Noise and Loss Aversion: An Optimization Approach

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Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets

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Random recurrence equations and ruin in a Markov-dependent stochastic economic environment

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A Theory of Large Fluctuations in Stock Market Activity∗

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Assessment of reduced-complexity landscape evolution model suitability to adequately simulate flood events in complex flow conditions

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Inventive productivity and the statistics of exceedances

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Financial Economics, Fat-Tailed Distributions

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Universality of market superstatistics

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Regular conditional distributions of continuous max-infinitely divisible random fields

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Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach

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Asymptotic Behavior of Tail Density for Sum of Correlated Lognormal Variables

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Precise large deviations for the prospective-loss process

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Has fire policy decreased the return period of the largest wildfire events in France? A Bayesian assessment based on extreme value theory

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Extreme significant wave height of tropical cyclone waves in the South China Sea

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New flood frequency estimates for the largest river in Norway based on the combination of short and long time series

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Estimation of the Weibull tail-coefficient with linear combination of upper order statistics

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Stress Scenario Selection by Empirical LikelihoodPreprint

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Trends in summer extreme temperatures over the Iberian Peninsula using nonurban station data

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Extreme electron fluxes in the outer zone

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Thermal actions on a steel box girder bridge

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Participatory Sensing Data Tweets for Micro-Urban Real-Time Resiliency Monitoring and Risk Management

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MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES

Fries, S., & Zakoïan, J. (2019) · Econometric Theory · doi:10.1017/s0266466618000452 · Cited by 38

Estimation of Extreme Values by the Average Conditional Exceedance Rate Method

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Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory

Schaumburg, J. (2012) · Computational Statistics & Data Analysis · doi:10.1016/j.csda.2012.03.016 · Cited by 38

A statistical rainfall‐runoff mixture model with heavy‐tailed components

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Modeling and forecasting extreme hot events in the central Ebro valley, a continental-Mediterranean area

Abaurrea, J., Asín, J., Cebrian, A. C., & Nogues, A. C. (2007) · Global and Planetary Change · doi:10.1016/j.gloplacha.2006.11.005 · Cited by 38

Large deviations for weighted sums of stretched exponential random variables

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Modeling and measuring operational risk

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Scale-Free Percolation in Continuum Space

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Varying the VaR for unconditional and conditional environments

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Statistical Detection and Characterization of a Deviation from the Gutenberg-Richter Distribution above Magnitude 8

Pisarenko, V. F., & Sornette, D. (2004) · Pure and Applied Geophysics · doi:10.1007/s00024-003-2475-0 · Cited by 38

Light-tailed asymptotics of stationary probability vectors of Markov chains of GI/G/1 type

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Financial econometrics – A new discipline with new methods

Engle, R. F. (2001) · Journal of Econometrics · doi:10.1016/s0304-4076(00)00053-1 · Cited by 38

On the Distribution of the Surplus Prior and at Ruin

Schmidli, H. (1999) · Astin Bulletin · doi:10.2143/ast.29.2.504613 · Cited by 38

ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES

Gao, F., & Song, F. (2008) · Econometric Theory · doi:10.1017/s0266466608080559 · Cited by 37

Tail probability of randomly weighted sums of subexponential random variables under a dependence structure

Yang, Y., Leipus, R., & Šiaulys, J. (2012) · Statistics & Probability Letters · doi:10.1016/j.spl.2012.05.016 · Cited by 37

Extremes and products of multivariate AC-product risks

Yang, Y., & Hashorva, E. (2013) · Insurance Mathematics and Economics · doi:10.1016/j.insmatheco.2013.01.005 · Cited by 37

Extremal behavior of stochastic integrals driven by regularly varying Lévy processes

Hult, H., & Lindskog, F. (2007) · The Annals of Probability · doi:10.1214/009117906000000548 · Cited by 37

An Extreme Function Theory for Novelty Detection

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Convolutions of Long-Tailed and Subexponential Distributions

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Convolution and convolution-root properties of long-tailed distributions

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Ruin probabilities and investment under interest force in the presence of regularly varying tails

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Distribution of maximum earthquake magnitudes in future time intervals: application to the seismicity of Japan (1923–2007)

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Bayesian Risk Measures for Derivatives via Random Esscher Transform

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Extremal behavior of the autoregressive process with ARCH(1) errors

Borkovec, M. (2000) · Stochastic Processes and their Applications · doi:10.1016/s0304-4149(99)00073-3 · Cited by 37

Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue

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Empirical Testing Of The Infinite Source Poisson Data Traffic Model

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ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE

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Hutchinson-Lai's conjecture for bivariate extreme value copulas

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Estimating the Value of the Wincat Coupons of the Winterthur Insurance Convertible Bond: A Study of the Model Risk

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Extreme Value Theory for Finance: A SurveyPreprint

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Modelling Operational RiskPreprint

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Generative models versus underlying symmetries to explain biological pattern

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Aggregation of rapidly varying risks and asymptotic independence

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Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error

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Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures

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Large Deviations of the Interference in a Wireless Communication Model

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A Revisit to Asymptotic Ruin Probabilities for a Bidimensional Renewal Risk Model

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CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION

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21st century scandals: towards a risk approach to financial reporting scandals

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Popular extreme sea level metrics can better communicate impacts

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Fitting Quantiles: Doubling, HR, HQ, and HHH Distributions

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On extreme ruinous behaviour of Lévy insurance risk processes

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Weibull tail-distributions revisited: A new look at some tail estimators

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Disaster Policies

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Average-case competitive analyses for one-way trading

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Estimation of Value at Risk by Extreme Value Methods

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Heavy-Tailed Distributions: Data, Diagnostics, and New DevelopmentsPreprint

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The NASDAQ Crash of April 2000: Yet Another Example of Log-Periodicity in a Speculative Bubble Ending in a CrashPreprint

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Extreme Value at Risk and Expected Shortfall During Financial CrisisPreprint

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Two EGARCH Models and One Fat TailPreprint

Caivano, M., & Harvey, A. (2014) · SSRN Electronic Journal · doi:10.2139/ssrn.2463181 · Cited by 36

Density estimation for compound Poisson processes from discrete data

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Extreme value analyses of VOC exposures and risks: A comparison of RIOPA and NHANES datasets

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Asymptotics for Weighted Random Sums

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Second-order properties of the Haezendonck–Goovaerts risk measure for extreme risks

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Estimating the codifference function of linear time series models with infinite variance

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Persistence and Procyclicality in Margin Requirements

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GEV-NN: A deep neural network architecture for class imbalance problem in binary classification

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PELVE: Probability Equivalent Level of VaR and ES

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Earthquake size distribution and earthquake insurance

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Modelling of extremal events in insurance and finance

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

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

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The analysis of extreme events with applications to financial risk management

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