Related papers: Extreme Dependence Models
We give an overview of several aspects arising in the statistical analysis of extreme risks with actuarial applications in view. In particular it is demonstrated that empirical process theory is a very powerful tool, both for the asymptotic…
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…
We explore the dependence structure in the sampled sequence of large networks. We consider randomized algorithms to sample the nodes and study extremal properties in any associated stationary sequence of characteristics of interest like…
Although the fundamental probabilistic theory of extremes has been well developed, there are many practical considerations that must be addressed in application. The contribution of this thesis is four-fold. The first concerns the choice of…
Multivariate extreme value statistical analysis is concerned with observations on several variables which are thought to possess some degree of tail-dependence. In areas such as the modeling of financial and insurance risks, or as the…
Different dependence scenarios can arise in multivariate extremes, entailing careful selection of an appropriate class of models. In bivariate extremes, the variables are either asymptotically dependent or are asymptotically independent.…
We propose a vector generalized additive modeling framework for taking into account the effect of covariates on angular density functions in a multivariate extreme value context. The proposed methods are tailored for settings where the…
The key to successful statistical analysis of bivariate extreme events lies in flexible modelling of the tail dependence relationship between the two variables. In the extreme value theory literature, various techniques are available to…
We give necessary and sufficient conditions for two sub-vectors of a random vector with a multivariate extreme value distribution, corresponding to the limit distribution of the maximum of a multidimensional stationary sequence with…
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…
Conditional extreme value models have been introduced by Heffernan and Resnick (2007) to describe the asymptotic behavior of a random vector as one specific component becomes extreme. Obviously, this class of models is related to classical…
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…
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…
Extreme value theory is concerned with probabilistic and statistical questions related to very high or very low values in sequences of random variables and in stochastic processes. The subject has a rich mathematical theory and also a long…
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,…
This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail dependence by studying conditional tail expectations of…
We extend the scope of the dynamical theory of extreme values to cover phenomena that do not happen instantaneously, but evolve over a finite, albeit unknown at the onset, time interval. We consider complex dynamical systems, composed of…
This paper presents a new model for characterising temporal dependence in exceedances above a threshold. The model is based on the class of trawl processes, which are stationary, infinitely divisible stochastic processes. The model for…
In many practical applications, evaluating the joint impact of combinations of environmental variables is important for risk management and structural design analysis. When such variables are considered simultaneously, non-stationarity can…
Extreme events have low occurrence probabilities and display pronounced deviation from their average behaviour, such as earthquakes or power blackouts. Such extreme events occurring on the nodes of a complex network have been extensively…