Related papers: Random Scaling of Gumbel Risks
We provide a new extension of Breiman's Theorem on computing tail probabilities of a product of random variables to a multivariate setting. In particular, we give a complete characterization of regular variation on cones in $[0,\infty)^d$…
Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered…
In this paper, we introduce a new four-parameter generalization of the exponentiated Weibull (EW) distribution, called the exponentiated Weibull-logarithmic (EWL) distribution, which obtained by compounding EW and logarithmic distributions.…
The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…
In \cite{SzT}, D. Sz\'asz and A. Telcs have shown that for the diffusively scaled, simple symmetric random walk, weak convergence to the Brownian motion holds even in the case of local impurities if $d \ge 2$. The extension of their result…
In this paper, we obtain some results on precise large deviations for non-random and random sums of widely dependent random variables with common dominatedly varying tail distribution or consistently varying tail distribution on…
In a recent article the authors obtained a formula which relates explicitly the tail of risk neutral returns with the wing behavior of the Black Scholes implied volatility smile. In situations where precise tail asymptotics are unknown but…
The multidimensional distributions with heavy tails attracted recently the attention of several papers on Applied Probability. However, the most of the works of the last decades are focused on multivariate regular variation, while the rest…
Using a tadpole improved SU(2) gluodynamics action, the nonabelian potential and the abelian potential after the abelian projection are computed. Rotational invariance is found restored at coarse lattices both in the nonabelian theory and…
In this paper, we establish the precise asymptotic behaviors of the tail probability and the transition density of a large class of isotropic L\'evy processes when the scaling order is between 0 and 2 including 2. We also obtain the precise…
Correlation mixtures of elliptical copulas arise when the correlation parameter is driven itself by a latent random process. For such copulas, both penultimate and asymptotic tail dependence are much larger than for ordinary elliptical…
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,…
In the paper, we investigate the asymptotic behaviors of the randomly weighted sums with upper tail asymptotically independent increments under new conditions without requiring moment assumptions on random weights.An application of the…
Large deviations for sums of i.i.d.\ random variables with stretched-exponential tails (also called Weibull or semi-exponential tails) have been well understood since the 60's, going back to Nagaev's seminal work. Many extensions in the…
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 derive the limiting distributions of exceedances point processes of randomly scaled weakly dependent stationary Gaussian sequences under some mild asymptotic conditions. In the literature analogous results are available only for…
The goodness-of-fit test for discrimination of two tail distribution using higher order statistics is proposed. The consistency of proposed test is proved for two different alternatives. We do not assume belonging the corresponding…
The statistical distribution of the largest value drawn from a sample of a given size has only three possible shapes: it is either a Weibull, a Fr\'echet or a Gumbel extreme value distributions. I describe in this short review how to relate…
The large-group behavior of the nonlocal YM$_2$'s and gYM$_2$'s on a cylinder or a disk is investigated. It is shown that this behavior is similar to that of the corresponding local theory, but with the area of the cylinder replaced by an…
We offer in this paper the non-asymptotical pairwise bilateral exact up to multiplicative constants interrelations between exponential decreasing tail behavior, moments (Grand Lebesgue Spaces) norm and moment generating functions norm for…