Related papers: Tail Asymptotics of Deflated Risks
We discuss the quenched tail estimates for the random walk in random scenery. The random walk is the symmetric nearest neighbor walk and the random scenery is assumed to be independent and identically distributed, non-negative, and has a…
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…
In this article, by using composite asymmetric least squares (CALS) and empirical likelihood, we propose a two-step procedure to estimate the conditional value at risk (VaR) and conditional expected shortfall (ES) for the GARCH series.…
Numerical evaluation of performance measures in heavy-tailed risk models is an important and challenging problem. In this paper, we construct very accurate approximations of such performance measures that provide small absolute and relative…
We consider the tail behavior of random variables $R$ which are solutions of the distributional equation $R\stackrel{d}{=}Q+MR$, where $(Q,M)$ is independent of $R$ and $|M|\le 1$. Goldie and Gr\"{u}bel showed that the tails of $R$ are no…
We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess the effect of market variables on extreme loss distributions…
The sum of Log-normal variates is encountered in many challenging applications such as in performance analysis of wireless communication systems and in financial engineering. Several approximation methods have been developed in the…
In this paper, we consider the problem of the estimation of a Weibull tail-coefficient. In particular, we propose a regression model, from which we derive a bias-reduced estimator. This estimator is based on a least-squares approach. The…
Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile and expected shortfall using duality results and the link to…
We establish sharp tail asymptotics for component-wise extreme values of bivariate Gaussian random vectors with arbitrary correlation between the components. We consider two scaling regimes for the tail event in which we demonstrate the…
We provide exact asymptotics for the tail probabilities $\mathbb{P} \{S_{n,r} > x\}$ as $x \to \infty$, for fix $n$, where $S_{n,r}$ is the $r$-trimmed partial sum of i.i.d. St. Petersburg random variables. In particular, we prove that…
We investigate the tail asymptotics of the supremum of X(t)+Y(t)-ct, where X={X(t),t\geq 0} and Y={Y(t),t\geq 0} are two independent stochastic processes. We assume that the process Y has subexponential characteristics and that the process…
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…
In some fields of applications of stable distributions, especially in economics, it appears, that data have distributions similar to stable in a large region, but do not have such heavy tails. Our aim in this note is to propose several…
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting tails and capturing dependence structure…
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 tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the…
Tail risk protection is in the focus of the financial industry and requires solid mathematical and statistical tools, especially when a trading strategy is derived. Recent hype driven by machine learning (ML) mechanisms has raised the…
Consider a random walk $S=(S_n:n\geq 0)$ that is ``perturbed'' by a stationary sequence $(\xi_n:n\geq 0)$ to produce the process $(S_n+\xi_n:n\geq0)$. This paper is concerned with computing the distribution of the all-time maximum…
We characterize the second order subexponentiality of an infinitely divisible distribution on the real line under an exponential moment assumption. We investigate the asymptotic behaviour of the difference between the tails of an infinitely…