Related papers: Extreme value analysis of actuarial risks: estimat…
Inference over tails is performed by applying only the results of extreme value theory. Whilst such theory is well defined and flexible enough in the univariate case, multivariate inferential methods often require the imposition of…
In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with…
This brief paper summarize the chances offered by the Peak-Over-Threshold method, related with analysis of extremes. Identification of appropriate Value at Risk can be solved by fitting data with a Generalized Pareto Distribution. Also an…
The occurrence of successive extreme observations can have an impact on society. In extreme value theory there are parameters to evaluate the effect of clustering of high values, such as the extremal index. The estimation of the extremal…
The extreme values theory presents specific tools for modeling and predicting extreme phenomena. In particular, risk assessment is often analyzed through measures for tail dependence and high values clustering. Despite technological…
The masses of data now available have opened up the prospect of discovering weak signals using machine-learning algorithms, with a view to predictive or interpretation tasks. As this survey of recent results attempts to show, bringing…
Estimation of extreme conditional quantiles is often required for risk assessment of natural hazards in climate and geo-environmental sciences and for quantitative risk management in statistical finance, econometrics, and actuarial…
Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years,…
One of the main topics of extreme value analysis is to estimate the extreme value index, an important parameter that controls the tail behavior of the distribution. In many cases, estimating the extreme value index of the target variable…
We aim to analyze the behaviour of a finite-time stochastic system, whose model is not available, in the context of more rare and harmful outcomes. Standard estimators are not effective in making predictions about such outcomes due to their…
Extreme value statistics provides accurate estimates for the small occurrence probabilities of rare events. While theory and statistical tools for univariate extremes are well-developed, methods for high-dimensional and complex data sets…
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…
Understanding treatment effects in extreme regimes is important for characterizing risks associated with different interventions. This is hindered by the unavailability of counterfactual outcomes and the rarity and difficulty of collecting…
This thesis evaluates most of the extreme mixture models and methods that have appended in the literature and implements them in the context of finance and insurance. The paper also reviews and studies extreme value theory, time series,…
The processes of the averaged regression quantiles and of their modifications provide useful tools in the regression models when the covariates are not fully under our control. As an application we mention the probabilistic risk assessment…
We establish a theory for multivariate extreme value analysis of dynamical systems. Namely, we provide conditions adapted to the dynamical setting which enable the study of dependence between extreme values of the components of…
Quantile regression is an important tool for estimation of conditional quantiles of a response Y given a vector of covariates X. It can be used to measure the effect of covariates not only in the center of a distribution, but also in the…
Extreme values of real phenomena are events that occur with low frequency, but can have a large impact on real life. These are, in many practical problems, high-dimensional by nature (e.g. Tawn, 1990; Coles and Tawn, 1991). To study these…
The classical multivariate extreme-value theory concerns the modeling of extremes in a multivariate random sample, suggesting the use of max-stable distributions. In this work, the classical theory is extended to the case where aggregated…
Heavy tailed phenomena are naturally analyzed by extreme value statistics. A crucial step in such an analysis is the estimation of the extreme value index, which describes the tail heaviness of the underlying probability distribution. We…