Related papers: Characterization of tails through hazard rate and …

We consider weighted graphs satisfying sub-Gaussian estimate for the natural random walk. On such graphs, we study symmetric Markov chains with heavy tailed jumps. We establish a threshold behavior of such Markov chains when the index…

There is an increasing interest to understand the dependence structure of a random vector not only in the center of its distribution but also in the tails. Extreme-value theory tackles the problem of modelling the joint tail of a…

An important issue in survival analysis is the investigation and the modeling of hazard rates. Within a Bayesian nonparametric framework, a natural and popular approach is to model hazard rates as kernel mixtures with respect to a…

We introduce a class of distributions originating from an exponential family and having a property related to the strict stability property. A characteristic function representation for this family is obtained and its properties are…

This article studies asymptotic approximations of ruin probabilities of multivariate random walks with heavy-tailed increments. Under our assumptions, the distributions of the increments are closely connected to multivariate…

Tail dependence plays an essential role in the characterization of joint extreme events in multivariate data. However, most standard tail dependence parameters assume continuous margins. This note presents a form of tail dependence suitable…

We consider the evolution of scale-free networks according to preferential attachment schemes and show the conditions for which the exponent characterizing the degree distribution is bounded by upper and lower values. Our framework is an…

There is given a method for estimation of a probability distribution tail in terms of characteristic function. Key words: characteristic function; tail of a distribution.

We propose an extension of the regular Cox's proportional hazards model which allows the estimation of the probabilities of rare events. It is known that when the data are heavily censored at the upper end of the survival distribution, the…

We propose an analytical approach to the computation of tail probabilities of compound distributions whose individual components have heavy tails. Our approach is based on the contour integration method, and gives rise to a representation…

We derive the tail inequalities between two random variables starting from inequalities between its moment, or more generally between its Lebesgue-Riesz norms, which holds true on certain sets of parameters. We consider some applications…

We derive properties of Latent Variable Models for networks, a broad class of models that includes the widely-used Latent Position Models. These include the average degree distribution, clustering coefficient, average path length and degree…

We consider a Markov chain on $R^+$ with asymptotically zero drift and finite second moments of jumps which is positive recurrent. A power-like asymptotic behaviour of the invariant tail distribution is proven; such a heavy-tailed invariant…

A bivariate random vector can exhibit either asymptotic independence or dependence between the largest values of its components. When used as a statistical model for risk assessment in fields such as finance, insurance or meteorology, it is…

We consider the problem of risk diversification of $\alpha$-stable heavy tailed risks. We study the behaviour of the aggregated Value-at-Risk, with particular reference to the impact of different tail dependence structures on the limits to…

We investigate front propagation in systems with diffusive and sub-diffusive behavior. The scaling behavior of moments of the diffusive problem, both in the standard and in the anomalous cases, is not enough to determine the features of the…

It is argued that there is a need for fat-tailed distributions that become thin in the extreme tail. A 3-parameter distribution is introduced that visually resembles the t-distribution and interpolates between the normal distribution and…

The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generalized Pareto distribution, together with a threshold selection…

Heavy-tailed distributions are found throughout many naturally occurring phenomena. We have reviewed the models of stochastic dynamics that lead to heavy-tailed distributions (and power law distributions, in particular) including the…

We obtain tight bounds on Poisson tails which are easy to handle. A short proof based on the median of the gamma distribution is given. Numerical comparisons with other known estimates are made. As an application, we consider the rates of…