Related papers: On the structure of exchangeable extreme-value cop…
For moving average processes with random coefficients and heavy-tailed innovations that are weakly dependent in the sense of strong mixing and local dependence condition $D'$ we study joint functional convergence of partial sums and maxima.…
Fully describing the entire data set is essential in multivariate risk assessment, since moderate levels of one variable can influence another, potentially leading it to be extreme. Additionally, modelling both non-extreme and extreme…
A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision…
The estimation of the extremal dependence structure is spoiled by the impact of the bias, which increases with the number of observations used for the estimation. Already known in the univariate setting, the bias correction procedure is…
There exist many bivariate parametric copulas to model bivariate data with different dependence features. We propose a new bivariate parametric copula family that cannot only handle various dependence patterns that appear in the existing…
We characterize a comprehensive family of $d$-variate exogenous shock models. Analytically, we consider a family of multivariate distribution functions that arises from ordering, idiosyncratically distorting, and finally multiplying the…
There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the flexible class of max-stable vectors down to simple and concise summary measures like the…
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…
This paper considers the difference of stop-loss payoffs where the underlying is a difference of two random variables. The goal is to study whether the comonotonic and countermonotonic modifications of those two random variables can be used…
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 prove the well-posedness and regularity of solutions in mixed-norm weighted Sobolev spaces for a class of second-order parabolic and elliptic systems in divergence form in the half-space $\mathbb{R}^d_+ = \{x_d > 0\}$ subject to the…
A geometric setup for constrained variational calculus is presented. The analysis deals with the study of the extremals of an action functional defined on piecewise differentiable curves, subject to differentiable, non-holonomic…
We present a general scheme how to construct a substitution rule for generating $d$-dimensional analogues of the paperfolding structures. This substitution is proven to be primitive, so that the translation action on the hull forms a…
The t copula is often used in risk management as it allows for modelling tail dependence between risks and it is simple to simulate and calibrate. However, the use of a standard t copula is often criticized due to its restriction of having…
The study of multivariate extremes is dominated by multivariate regular variation, although it is well known that this approach does not provide adequate distinction between random vectors whose components are not always simultaneously…
We introduce a new functional measure of tail dependence for weakly dependent (asymptotically independent) random vectors, termed weak tail dependence function. The new measure is defined at the level of copulas and we compute it for…
Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients (TDCs) are based on an asymptotic analysis of relevant…
The border-collision normal form describes the local dynamics in continuous systems with switches when a fixed point intersects a switching surface. For one-dimensional cases where the bifurcation creates or destroys only fixed points and…
We consider multivariate stationary processes $(\boldsymbol{X}_t)$ satisfying a stochastic recurrence equation of the form $$ \boldsymbol{X}_t= \mathbb{ M}_t \boldsymbol{X}_{t-1} + \boldsymbol{Q}_t,$$ where $(\boldsymbol{Q}_t)$ are iid…
Models based on assumptions of multivariate regular variation and hidden regular variation provide ways to describe a broad range of extremal dependence structures when marginal distributions are heavy tailed. Multivariate regular variation…