Related papers: A Discussion on Mean Excess Plots
In multivariate extreme value analysis, the nature of the extremal dependence between variables should be considered when selecting appropriate statistical models. Interest often lies with determining which subsets of variables can take…
We derive new approximations for the Value at Risk and the Expected Shortfall at high levels of loss distributions with positive skewness and excess kurtosis, and we describe their precisions for notable ones such as for exponential, Pareto…
In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the transmission process of macroeconomic shocks to risk…
Extreme value applications commonly employ regression techniques to capture cross-sectional heterogeneity or time-variation in the data. Estimation of the parameters of an extreme value regression model is notoriously challenging due to the…
Extreme value theory offers a statistical framework for quantifying the risk of rare events, with the generalized Pareto (GP) distribution providing the canonical limit model for univariate threshold exceedances. In many applications,…
We use extreme value theory to estimate the probability of successive exceedances of a threshold value of a time-series of an observable on several classes of chaotic dynamical systems. The observables have either a Fr\'echet (fat-tailed)…
Uniform convergence rates are provided for asymptotic representations of sample extremes. These bounds which are universal in the sense that they do not depend on the extreme value index are meant to be extended to arbitrary samples…
Different questions related with analysis of extreme values and outliers arise frequently in practice. To exclude extremal observations and outliers is not a good decision because they contain important information about the observed…
Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss…
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…
Estimation of causal effects using machine learning methods has become an active research field in econometrics. In this paper, we study the finite sample performance of meta-learners for estimation of heterogeneous treatment effects under…
This paper considers the problem of estimating the population mean using information on auxiliary variable in presence of non response. Exponential ratio and exponential product type estimators have been suggested and their properties are…
The regular variation model for multivariate extremes decomposes the joint distribution of the extremes in polar coordinates in terms of the angles and the norm of the random vector as the product of two independent densities: the angular…
Systemic risk measures have been shown to be predictive of financial crises and declines in real activity. Thus, forecasting them is of major importance in finance and economics. In this paper, we propose a new forecasting method for…
Researchers increasingly use meta-analysis to synthesize the results of several studies in order to estimate a common effect. When the outcome variable is continuous, standard meta-analytic approaches assume that the primary studies report…
Predicting extreme events is important in many applications in risk analysis. The extreme-value theory suggests modelling extremes by max-stable distributions. The Bayesian approach provides a natural framework for statistical prediction.…
Bayesian, classical, and extended maximum likelihood approaches to estimation of upper limits in experiments with small numbers of signal events are surveyed. The discussion covers only experiments whose outcomes are well described by a…
Appropriate modelling of extreme skew surges is crucial, particularly for coastal risk management. Our study focuses on modelling extreme skew surges along the French Atlantic coast, with a particular emphasis on investigating the extremal…
A generalization of a distribution increases the flexibility particularly in studying of a phenomenon and its properties. Many generalizations of continuous univariate distributions are available in literature. In this study, an…
A simple heuristic model, including the multiple exchanges between economic agents, is used to explain the mechanism of emerging and maintenance of social inequality in the market economy. The model allows calculating a density function of…