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Using daily returns of the S&P 500 stocks from 2001 to 2011, we perform a backtesting study of the portfolio optimization strategy based on the extreme risk index (ERI). This method uses multivariate extreme value theory to minimize the…
Adaptive experiment designs can dramatically improve statistical efficiency in randomized trials, but they also complicate statistical inference. For example, it is now well known that the sample mean is biased in adaptive trials.…
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…
Algorithms for hyperparameter optimization abound, all of which work well under different and often unverifiable assumptions. Motivated by the general challenge of sequentially choosing which algorithm to use, we study the more specific…
A widely used tool in the study of risk, insurance and extreme values is the mean excess plot. One use is for validating a generalized Pareto model for the excess distribution. This paper investigates some theoretical and practical aspects…
The Cross Entropy method is a well-known adaptive importance sampling method for rare-event probability estimation, which requires estimating an optimal importance sampling density within a parametric class. In this article we estimate an…
In a regression model, prediction is typically performed after model selection. The large variability in the model selection makes the prediction unstable. Thus, it is essential to reduce the variability in model selection and improve…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
Extreme value theory provides an asymptotically justified framework for estimation of exceedance probabilities in regions where few or no observations are available. For multivariate tail estimation, the strength of extremal dependence is…
In this paper, we introduce reduced-bias estimators for the estimation of the tail index of a Pareto-type distribution. This is achieved through the use of a regularised weighted least squares with an exponential regression model for…
The prediction of future insurance claims based on observed risk factors, or covariates, help the actuary set insurance premiums. Typically, actuaries use parametric regression models to predict claims based on the covariate information.…
This paper introduces a flexible framework for the estimation of the conditional tail index of heavy tailed distributions. In this framework, the tail index is computed from an auxiliary linear regression model that facilitates estimation…
Threshold selection is a critical issue for extreme value analysis with threshold-based approaches. Under suitable conditions, exceedances over a high threshold have been shown to follow the generalized Pareto distribution (GPD)…
In this paper, we consider recent progress in estimating the average treatment effect when extreme inverse probability weights are present and focus on methods that account for a possible violation of the positivity assumption. These…
Non-probability sampling, for example in the form of online panels, has become a fast and cheap method to collect data. While reliable inference tools are available for classical probability samples, non-probability samples can yield…
Selective inference methods are developed for group lasso estimators for use with a wide class of distributions and loss functions. The method includes the use of exponential family distributions, as well as quasi-likelihood modeling for…
We consider the problem of choosing design parameters to minimize the probability of an undesired rare event that is described through the average of $n$ iid random variables. Since the probability of interest for near optimal design…
Existing theory for multivariate extreme values focuses upon characterizations of the distributional tails when all components of a random vector, standardized to identical margins, grow at the same rate. In this paper, we consider the…
The ideas of model averaging are used to find weights in peak-over-threshold problems using a possible range of thresholds. A range of the largest observations are chosen and considered as possible thresholds, each time performing…
Two automatic threshold selection (TS) methods for Extreme Value analysis under a peaks-over-threshold (POT) approach are presented and evaluated, both built on: fitting the Generalized Pareto distribution (GPd) to excesses' samples over…