Related papers: Aggregation of Risks and Asymptotic independence

We consider asymptotic distributions of maximum deviations of sample covariance matrices, a fundamental problem in high-dimensional inference of covariances. Under mild dependence conditions on the entries of the data matrices, we establish…

The article studies the almost surely asymptotics of extreme values $\bar{\xi}_n = \max_{1\leq i \leq n} \xi_i$, where $ \xi , \xi_1 , \xi_2 , \ldots$ are discrete identically distributed random variables. One of the main results on this…

The Gumbel max-domain of attraction corresponds to a null tail index which do not distinguish the different tail weights that might exist between distributions within this class. The Weibull-type distributions form an important subgroup of…

We consider a two dimensional skip-free reflecting random walk on a nonnegative integer quadrant. We are interested in the tail asymptotics of its stationary distribution, provided its existence is assumed. We derive exact tail asymptotics…

We propose a novel probabilistic model to facilitate the learning of multivariate tail dependence of multiple financial assets. Our method allows one to construct from known random vectors, e.g., standard normal, sophisticated joint…

We consider point process convergence for sequences of iid random walks. The objective is to derive asymptotic theory for the largest extremes of these random walks. We show convergence of the maximum random walk to the Gumbel or the…

This paper establishes the asymptotic independence between the quadratic form and maximum of a sequence of independent random variables. Based on this theoretical result, we find the asymptotic joint distribution for the quadratic form and…

We study the problem of maximizing a spectral risk measure of a given output function which depends on several underlying variables, whose individual distributions are known but whose joint distribution is not. We establish and exploit an…

We study an optimal investment control problem for an insurance company. The surplus process follows the Cramer-Lundberg process with perturbation of a Brownian motion. The company can invest its surplus into a risk free asset and a…

Models based on assumptions of multivariate regular variation and hidden regular variation provide ways to describe a broad range of extremal dependence structures when marginal distributions are heavy tailed. Multivariate regular variation…

Let $\{X_t, t \geq 1\}$ be a sequence of identically distributed and pairwise asymptotically independent random variables with regularly varying tails and $\{ \Theta_t, t\geq1 \}$ be a sequence of positive random variables independent of…

Let (W_i, J_i) be a sequence of i.i.d. R_+ x R-valued random vectors. Considering the partial sum of the first component and the corresponding maximum of the second component, we are interested in the limit distributions that can be…

In many practical situations exploratory plots are helpful in understanding tail behavior of sample data. The Mean Excess plot is often applied in practice to understand the right tail behavior of a data set. It is known that if the…

Asymptotic laws of records values have usually been investigated as limits in type. In this paper, we use functional representations of the tail of cumulative distribution functions in the extreme value domain of attraction to directly…

We tackle the modeling of threshold exceedances in asymptotically independent stochastic processes by constructions based on Laplace random fields. These are defined as Gaussian random fields scaled with a stochastic variable following an…

We provide the exact large-time behavior of the tail distribution of the extinction time of a self-similar fragmentation process with a negative index of self-similarity, improving thus a previous result on the logarithmic asymptotic…

In this paper, we study the asymptotic behaviour of the product tail probability $ \mathbb{P}(\xi_1\cdots\xi_N \geqslant n), $ where $\{\xi_1,\ldots,\xi_N\}$ is a finite collection of independent Poisson random variables with positive…

An infinite convergent sum of independent and identically distributed random variables discounted by a multiplicative random walk is called perpetuity, because of a possible actuarial application. We give three disjoint groups of sufficient…

We consider stationary sequences whose marginal tail is subexponential and lies in the Gumbel Maximum domain of attraction. Due to the extremely strong dependence, their extreme values are caused by multiple big values and are clustered in…

We study conditions under which $P(S_\tau>x)\sim P(M_\tau>x)\sim E\tau P(\xi_1>x)$ as $x\to\infty$, where $S_\tau$ is a sum $\xi_1+...+\xi_\tau$ of random size $\tau$ and $M_\tau$ is a maximum of partial sums $M_\tau=\max_{n\le\tau}S_n$.…