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

Finance: A Selective Survey

Lo, A. W. (2000) · Journal of the American Statistical Association · doi:10.1080/01621459.2000.10474239 · Cited by 31

Modeling Uncertainties in Lichenometry Studies

Naveau, P., Jomelli, V., Cooley, D., Grancher, D., & Rabatel, A. (2007) · Arctic Antarctic and Alpine Research · doi:10.1657/1523-0430(2007)39[277:muils]2.0.co;2 · Cited by 31

Nearest neighbor conditional estimation for Harris recurrent Markov chains

Sancetta, A. (2009) · Journal of Multivariate Analysis · doi:10.1016/j.jmva.2009.06.013 · Cited by 31

Total positivity in multivariate extremes

Röttger, F., Engelke, S., & Zwiernik, P. (2023) · The Annals of Statistics · doi:10.1214/23-aos2272 · Cited by 30

Extreme Measures of Agricultural Financial Risk

Morgan, W., Cotter, J., & Dowd, K. (2011) · Journal of Agricultural Economics · doi:10.1111/j.1477-9552.2011.00322.x · Cited by 30

Extreme event statistics of daily rainfall: dynamical systems approach

Yalçın, G. Ç., Rabassa, P., & Beck, C. (2016) · Journal of Physics A Mathematical and Theoretical · doi:10.1088/1751-8113/49/15/154001 · Cited by 30

AMON: An Open Source Architecture for Online Monitoring, Statistical Analysis, and Forensics of Multi-Gigabit Streams

Kallitsis, M., Stoev, S., Bhattacharya, S., & Michailidis, G. C. (2016) · IEEE Journal on Selected Areas in Communications · doi:10.1109/jsac.2016.2558958 · Cited by 30

Modeling clusters of extreme values

Markovich, N. M. (2013) · Extremes · doi:10.1007/s10687-013-0176-3 · Cited by 30

An inequality of widely dependent random variables and its applications*

Chen, W., Wang, Y., & Cheng, D. (2016) · Lithuanian Mathematical Journal · doi:10.1007/s10986-016-9301-8 · Cited by 30

Cooperative OFDM-IM Relay Networks With Partial Relay Selection Under Imperfect CSI

Crawford, J., & Ko, Y. (2018) · IEEE Transactions on Vehicular Technology · doi:10.1109/tvt.2018.2853672 · Cited by 30

Climate extreme event attribution using multivariate peaks-over-thresholds modeling and counterfactual theory

Kiriliouk, A., & Naveau, P. (2020) · The Annals of Applied Statistics · doi:10.1214/20-aoas1355 · Cited by 30

Focused Bayesian prediction

Loaiza‐Maya, R., Martin, G. M., & Frazier, D. T. (2021) · Journal of Applied Econometrics · doi:10.1002/jae.2810 · Cited by 30

On Mittag-Leffler distributions and related stochastic processes

Huillet, T. (2015) · Journal of Computational and Applied Mathematics · doi:10.1016/j.cam.2015.09.031 · Cited by 30

Precise large deviations for widely orthant dependent random variables with dominatedly varying tails

Wang, K., Yang, Y., & Lin, J. (2012) · Frontiers of Mathematics · doi:10.1007/s11464-012-0227-0 · Cited by 30

On the number of near-maximum insurance claims

Li, Y., & Pakes, A. G. (2001) · Insurance Mathematics and Economics · doi:10.1016/s0167-6687(00)00080-9 · Cited by 30

On robust tail index estimation

Beran, J., & Schell, D. (2010) · Computational Statistics & Data Analysis · doi:10.1016/j.csda.2010.05.028 · Cited by 30

Multivariate subexponential distributions and their applications

Samorodnitsky, G. P., & Sun, J. (2016) · Extremes · doi:10.1007/s10687-016-0242-8 · Cited by 30

Accelerating Monte Carlo methods for Bayesian inference in dynamical models

Dahlin, J. (2016) · Linköping studies in science and technology. Dissertations · doi:10.3384/diss.diva-125992 · Cited by 30

Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk

Dupuis, D. J., & Jones, B. L. (2006) · North American Actuarial Journal · doi:10.1080/10920277.2006.10597411 · Cited by 30

Robust estimation and inference for heavy tailed GARCH

Hill, J. B. (2015) · Bernoulli · doi:10.3150/14-bej616 · Cited by 30

Markov Tail Chains

Janßen, A., & Segers, J. (2014) · Journal of Applied Probability · doi:10.1239/jap/1421763332 · Cited by 30

Simulating the Dickman distribution

Devroye, L., & Fawzi, O. (2009) · Statistics & Probability Letters · doi:10.1016/j.spl.2009.10.013 · Cited by 30

Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform

Jang, J., & Krvavych, Y. (2004) · Insurance Mathematics and Economics · doi:10.1016/j.insmatheco.2004.05.002 · Cited by 30

How to model multivariate extremes if one must?

Mikosch, T. (2005) · Statistica Neerlandica · doi:10.1111/j.1467-9574.2005.00289.x · Cited by 30

Bridging a paradigmatic financial model and nonextensive entropy

Queirós, S. M. D., & Tsallis, C. (2005) · Europhysics Letters (EPL) · doi:10.1209/epl/i2004-10436-6 · Cited by 30

Statistics of Extreme Synoptic-Scale Wind Speeds in Ensemble Simulations of Current and Future Climate

van den Brink, H. W., Können, G. P., & Opsteegh, J. D. (2004) · Journal of Climate · doi:10.1175/jcli-3227.1 · Cited by 30

Comparative Advantage, the Rank-Size Rule, and Zipf's LawPreprint

Hinloopen, J., & van Marrewijk, C. (2006) · SSRN Electronic Journal · doi:10.2139/ssrn.943370 · Cited by 30

Renormalization flow in extreme value statistics

Bertin, É., & Györgyi, G. (2010) · Journal of Statistical Mechanics Theory and Experiment · doi:10.1088/1742-5468/2010/08/p08022 · Cited by 29

Approximating dependent rare events

Chen, L. H. Y., & Röllin, A. (2013) · Bernoulli · doi:10.3150/12-bejsp18 · Cited by 29

VaR and CVaR Implied in Option Prices

Adesi, G. B. (2016) · Journal of risk and financial management · doi:10.3390/jrfm9010002 · Cited by 29

A large deviation theory-based analysis of heat waves and cold spells in a simplified model of the general circulation of the atmosphere

Gálfi, V. M., Lucarini, V., & Wouters, J. (2019) · Journal of Statistical Mechanics: Theory and Experiment · doi:10.1088/1742-5468/ab02e8 · Cited by 29

Order patterns, their variation and change points in financial time series and Brownian motion

Bandt, C. (2020) · Statistical Papers · doi:10.1007/s00362-020-01171-7 · Cited by 29

Directional PCA for Fast Detection and Accurate Diagnosis: A Unified Framework

Li, J., Ding, D., & Tsung, F. (2021) · IEEE Transactions on Cybernetics · doi:10.1109/tcyb.2021.3070590 · Cited by 29

An Extreme Value Bayesian Lasso for the Conditional Left and Right Tails

de Carvalho, M., Pereira, S., Pereira, P., & Bermudez, P. D. Z. (2022) · RePEc: Research Papers in Economics · doi:10.1007/s13253-021-00469-9 · Cited by 29

Hyperconcentrated flows on a forested alluvial fan of eastern Canada: geomorphic characteristics, return period, and triggering scenarios

Ouellet, M., & Germaın, D. (2014) · Earth Surface Processes and Landforms · doi:10.1002/esp.3581 · Cited by 29

Critical markov branching process limit theorems allowing infinite variance

Pakes, A. G. (2010) · Advances in Applied Probability · doi:10.1017/s0001867800004158 · Cited by 29

Condensation transition in joint large deviations of linear statistics

Szavits-Nossan, J., Evans, M. R., & Majumdar, S. N. (2014) · Journal of Physics A Mathematical and Theoretical · doi:10.1088/1751-8113/47/45/455004 · Cited by 29

High-level dependence in time series models

Fasen, V., Klüppelberg, C., & Schlather, M. (2009) · Extremes · doi:10.1007/s10687-009-0084-8 · Cited by 27

Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed

Biard, R., Lefèvre, C., & Loisel, S. (2008) · Insurance Mathematics and Economics · doi:10.1016/j.insmatheco.2008.08.004 · Cited by 29

Beta kernel quantile estimators of heavy-tailed loss distributions

Arthur Charpentier, A., & Oulidi, A. (2009) · Statistics and Computing · doi:10.1007/s11222-009-9114-2 · Cited by 29

New cloud and microphysics parameterisation for use in high‐resolution dynamical downscaling: application for summer extreme temperature over Belgium

Hamdi, R., de Vyver, H. V., & Termonia, P. (2011) · International Journal of Climatology · doi:10.1002/joc.2409 · Cited by 29

Large deviations for solutions to stochastic recurrence equations under Kesten’s condition

Buraczewski, D., Damek, E., Mikosch, T., & Zienkiewicz, J. (2013) · The Annals of Probability · doi:10.1214/12-aop782 · Cited by 25

Conditional Tail Moments of the Exponential Family and Its Related Distributions

Kim, J. H. T. (2010) · North American Actuarial Journal · doi:10.1080/10920277.2010.10597585 · Cited by 29

Distribution of wealth and incomplete markets: Theory and empirical evidence

Fiaschi, D., & Matteo Marsili, A. (2011) · Journal of Economic Behavior & Organization · doi:10.1016/j.jebo.2011.10.015 · Cited by 29

Complete flood frequency analysis in Abiod watershed, Biskra (Algeria)

Benameur, S., Benkhaled, A., Meraghni, D., Chebana, F., & Necir, A. (2016) · Natural Hazards · doi:10.1007/s11069-016-2703-4 · Cited by 29

Optimal threshold for Pareto tail modelling in the presence of outliers

Safari, M. A. M., Masseran, N., & Ibrahim, K. (2018) · Physica A Statistical Mechanics and its Applications · doi:10.1016/j.physa.2018.06.007 · Cited by 29

Derivatives Clearing, Default Risk, and Insurance

Jones, R. A., & Pérignon, C. (2012) · Journal of Risk & Insurance · doi:10.1111/j.1539-6975.2012.01489.x · Cited by 29

Allocation of risk capital to insurance portfolios

Urban, M., Dittrich, J., Klüppelberg, C., & Stölting, R. (2004) · Blätter der DGVFM · doi:10.1007/bf02858082 · Cited by 29

Tail Dependence

Schmidt, R. (2005) · Springer eBooks · doi:10.1007/3-540-27395-6_3 · Cited by 29

Scientific production: A statistical analysis of authors in physics, 1800-1900

Huber, J. C., & Wagner‐Döbler, R. (2001) · Scientometrics · doi:10.1023/a:1010558714879 · Cited by 29

Competition and Consumer ConfusionPreprint

Laibson, D., & Gabaix, X. (2004) · RePEc: Research Papers in Economics · Cited by 29

Empirical Study of Value-at-Risk and Expected Shortfall Models With Heavy TailsPreprint

Harmantzis, F., Miao, L., & Chien, Y. (2005) · SSRN Electronic Journal · doi:10.2139/ssrn.788624 · Cited by 29

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

Foss, S., Palmowski, Z., & Zachary, S. (2005) · Cited by 29

The limiting process of $N$-particle branching random walk with polynomial tails

Bérard, J., & Maillard, P. (2014) · Electronic Journal of Probability · doi:10.1214/ejp.v19-3111 · Cited by 28

Automated selection of r for the r largest order statistics approach with adjustment for sequential testing

Bader, B., Yan, J., & Zhang, X. (2016) · Statistics and Computing · doi:10.1007/s11222-016-9697-3 · Cited by 27

Randomly weighted sums of dependent subexponential random variables with applications to risk theory

Cheng, F., & Cheng, D. (2017) · Scandinavian Actuarial Journal · doi:10.1080/03461238.2017.1329160 · Cited by 28

Monitoring-Aware Optimal Deployment for Applications Based on Microservices

Fadda, E., Plebani, P., & Vitali, M. (2019) · IEEE Transactions on Services Computing · doi:10.1109/tsc.2019.2910069 · Cited by 28

High-dimensional limit theorems for random vectors in ℓpn-balls

Kabluchko, Z., Prochno, J., & Thäle, C. (2017) · Communications in Contemporary Mathematics · doi:10.1142/s0219199717500924 · Cited by 28

Least tail‐trimmed squares for infinite variance autoregressions

Hill, J. B. (2012) · Journal of Time Series Analysis · doi:10.1111/jtsa.12005 · Cited by 28

Determination of Pareto Exponents in Economic Models Driven by Markov Multiplicative Processes

Beare, B. K., & Toda, A. A. (2022) · Econometrica · doi:10.3982/ecta17984 · Cited by 28

Extreme Data Breach Losses: An Alternative Approach to Estimating Probable Maximum Loss for Data Breach Risk

Jung, K. (2021) · North American Actuarial Journal · doi:10.1080/10920277.2021.1919145 · Cited by 28

Approaches to Solving the Maximum Possible Earthquake Magnitude (Mmax) Problem

Писаренко, В. Ф., & Rodkin, M. V. (2022) · Surveys in Geophysics · doi:10.1007/s10712-021-09673-1 · Cited by 28

Exact extreme, order, and sum statistics in a class of strongly correlated systems

Biroli, M., Larralde, H., Majumdar, S. N., & Schehr, G. (2024) · Physical review. E · doi:10.1103/physreve.109.014101 · Cited by 28

Novel Algorithms for Fast Statistical Analysis of Scaled Circuits

Singhee, A., & Rutenbar, R. A. (2009) · Lecture notes in electrical engineering · doi:10.1007/978-90-481-3100-6 · Cited by 30

Automated Novelty Detection in Industrial Systems

Clifton, D. A., Clifton, L., Bannister, P. R., & Tarassenko, L. (2008) · Studies in computational intelligence · doi:10.1007/978-3-540-78297-1_13 · Cited by 29

Estimation of extreme quantiles from heavy and light tailed distributions

Methni, J. E., Gardès, L., Girard, S., & Guillou, A. (2012) · Journal of Statistical Planning and Inference · doi:10.1016/j.jspi.2012.03.025 · Cited by 28

Some unified characterization results on generalized Pareto distributions

Asadi, M., Rao, C. R., & Shanbhag, D. N. (2001) · Journal of Statistical Planning and Inference · doi:10.1016/s0378-3758(00)00171-3 · Cited by 28

Extremes of Some Sub-Sampled Time Series

Scotto, M. G., Turkman, K. F., & ANDERSON, C. W. (2003) · Journal of Time Series Analysis · doi:10.1111/1467-9892.00320 · Cited by 28

INVERSE PROBLEMS FOR REGULAR VARIATION OF LINEAR FILTERS, A CANCELLATION PROPERTY FOR σ-FINITE MEASURES AND IDENTIFICATION OF STABLE LAWSPreprint

Jacobsen, M., Mikosch, T., Rosiński, J., & Samorodnitsky, G. P. (2009) · Cited by 26

The Asymptotic Distribution of Maxima of Independent and Identically Distributed Sums of Correlated or Non-Identical Gamma Random Variables and its Applications

Kalyani, S., & Karthik, R. (2012) · IEEE Transactions on Communications · doi:10.1109/tcomm.2012.071912.110311 · Cited by 27

Extremes of independent chi-square random vectors

Hashorva, E., Kabluchko, Z., & Wübker, A. (2010) · Extremes · doi:10.1007/s10687-010-0125-3 · Cited by 27

Cause and risk of catastrophic eruptions in the Japanese Archipelago

Tatsumi, Y., & Suzuki‐Kamata, K. (2014) · Proceedings of the Japan Academy Series B · doi:10.2183/pjab.90.347 · Cited by 27

The risk and consequences of multiple breadbasket failures: an integrated copula and multilayer agent-based modeling approach

Naqvi, A., Gaupp, F., & Hochrainer-Stigler, S. (2020) · OR Spectr. · doi:10.1007/s00291-020-00574-0 · Cited by 19

Effects of estimation techniques on generalised extreme value distribution (GEVD) parameters and their spatio-temporal variations

Hossain, I., Imteaz, M. A., & Khastagir, A. (2021) · Stochastic Environmental Research and Risk Assessment · doi:10.1007/s00477-021-02024-x · Cited by 27

Tail Risk Inference via Expectiles in Heavy-Tailed Time Series

Davison, A. C., Padoan, S. A., & Stupfler, G. (2022) · Journal of Business and Economic Statistics · doi:10.1080/07350015.2022.2078332 · Cited by 27

Anisotropic Brown-Resnick space-time processes: estimation and model assessment

Buhl, S., & Klüppelberg, C. (2016) · Extremes · doi:10.1007/s10687-016-0257-1 · Cited by 27

Heavy tails of OLS

Mikosch, T., & de Vries, C. G. (2012) · Journal of Econometrics · doi:10.1016/j.jeconom.2012.08.015 · Cited by 27

Estimation for multivariate stable distributions with generalized empirical likelihood

Ogata, H. (2012) · Journal of Econometrics · doi:10.1016/j.jeconom.2012.08.017 · Cited by 27

Significant reduction of cold temperature extremes at Faraday/Vernadsky station in the Antarctic Peninsula

Franzke, C. L. E. (2012) · International Journal of Climatology · doi:10.1002/joc.3490 · Cited by 27

A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS

Li, J., Feng, J., & Chen, J. (2009) · International Journal of Information Technology & Decision Making · doi:10.1142/s0219622009003727 · Cited by 27

Scaling Limits for Cumulative Input Processes

Mikosch, T., & Samorodnitsky, G. P. (2007) · Mathematics of Operations Research · doi:10.1287/moor.1070.0267 · Cited by 27

A scaling model for severity of operational losses using generalized additive models for location scale and shape (GAMLSS)

Ganegoda, A., & Evans, J. R. (2012) · Annals of Actuarial Science · doi:10.1017/s1748499512000267 · Cited by 27

Nearest-neighbour spacing distributions of the β-Hermite ensemble of random matrices

Caër, G. L., Male, C., & Delannay, R. (2007) · Physica A Statistical Mechanics and its Applications · doi:10.1016/j.physa.2007.04.057 · Cited by 27

Drought analysis based on a cluster Poisson model: distribution of the most severe drought

Abaurrea, J., & Cebrian, A. C. (2002) · Climate Research · doi:10.3354/cr022227 · Cited by 27

Climate change and financial adaptation in Africa. Investigating the impact of climate change on the robustness of index-based microinsurance in Malawi

Hochrainer‐Stigler, S., Mechler, R., & Pflug, G. C. (2008) · Mitigation and Adaptation Strategies for Global Change · doi:10.1007/s11027-008-9162-5 · Cited by 27

Analysing Financial Returns by Using Regression Models Based on Non-Symmetric Stable Distributions

Lambert, P., & Lindsey, J. K. (1999) · Journal of the Royal Statistical Society Series C (Applied Statistics) · doi:10.1111/1467-9876.00161 · Cited by 27

Weighted sums of subexponential random variables and their maxima

Chen, Y., Ng, K. W., & Tang, Q. (2005) · Advances in Applied Probability · doi:10.1017/s0001867800000288 · Cited by 27

Ruin estimation in multivariate models with Clayton dependence structure

Bregman, Y., & Klüppelberg, C. (2005) · Scandinavian Actuarial Journal · doi:10.1080/03461230500362065 · Cited by 27

Empirical Distributions of Log-Returns: Between the Stretched Exponential and the Power Law?Preprint

Malevergne, Y., Писаренко, В. Ф., & Sornette, D. (2003) · SSRN Electronic Journal · doi:10.2139/ssrn.410261 · Cited by 27

Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin RequirementsPreprint

Cotter, J., & Dowd, K. (2007) · SSRN Electronic Journal · doi:10.2139/ssrn.994506 · Cited by 27

The Top Tail of the Wealth Distribution in Germany, France, Spain, and GreecePreprint

Bach, S., Thiemann, A., & Zucco, A. (2015) · SSRN Electronic Journal · doi:10.2139/ssrn.2655990 · Cited by 27

LIMIT THEOREMS FOR MIXED MAX–SUM PROCESSES WITH RENEWAL STOPPINGPreprint

Silvestrov, D. S., & Teugels, J. L. (2005) · Cited by 27

Multi-user diversity for secrecy in wireless networks

Vasudevan, S., Adams, S., Goeckel, D., Ding, Z., Towsley, D., & Leung, K. K. (2010) · Information Theory and Applications Workshop (ITA) · doi:10.1109/ita.2010.5454080 · Cited by 26

Cover levels and random interlacements

Belius, D. (2012) · The Annals of Applied Probability · doi:10.1214/11-aap770 · Cited by 26

Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies

Ghorbel, A., Hamma, W., & Jarboui, A. (2016) · Journal of Applied Statistics · doi:10.1080/02664763.2016.1155107 · Cited by 26

Risk assessment of oil price from static and dynamic modelling approaches

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LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING

Denuit, M. M., & Robert, C. Y. (2020) · Astin Bulletin · doi:10.1017/asb.2020.23 · Cited by 26

Three Environmental Probabilistic Risk Problems

Brillinger, D. R. (2003) · Statistical Science · doi:10.1214/ss/1081443225 · Cited by 26

Bias-reduced extreme quantile estimators of Weibull tail-distributions

Diebolt, J., Gardès, L., Girard, S., & Guillou, A. (2007) · Journal of Statistical Planning and Inference · doi:10.1016/j.jspi.2007.04.025 · Cited by 26

On geometric ergodicity of CHARME models

Stockis, J., Franke, J., & Kamgaing, J. T. (2010) · Journal of Time Series Analysis · doi:10.1111/j.1467-9892.2010.00651.x · Cited by 26

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