Related papers: Tail Risk of Contagious Diseases
In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficiency drops when it undergoes extreme events. Many models for…
The total number of fatalities of an epidemic outbreak is a dramatic but extremely informative quantity. Knowledge of the statistics of this quantity allows the calculation of the mean total number of fatalities conditioned to the fact that…
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…
Climate extremes such as floods, storms, and heatwaves have caused severe economic and human losses across Europe in recent decades. To support the European Union's climate resilience efforts, we propose a statistical framework for…
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…
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…
Attaining ultra-reliable communication (URC) in fifth-generation (5G) and beyond networks requires deriving statistics of channel in ultra-reliable region by modeling the extreme events. Extreme value theory (EVT) has been previously…
Modern statistical analyses often encounter datasets with massive sizes and heavy-tailed distributions. For datasets with massive sizes, traditional estimation methods can hardly be used to estimate the extreme value index directly. To…
We suggest approximating the distribution of the sum of independent and identically distributed random variables with a Pareto-like tail by combining extreme value approximations for the largest summands with a normal approximation for the…
This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed transactions rather…
In this paper, according to a certain criterion, we divide the exponential distribution class into three subclasses. One of them is closely related to the regular-variation-tailed distribution class, so it is called the…
The concept of univariate Range Value-at-Risk, presented by Cont et al. (2010), is extended in the multidimensional setting. Traditional risk measures are not well suited when dealing with heavy-tail distributions and infinite tail…
Understanding treatment effects in extreme regimes is important for characterizing risks associated with different interventions. This is hindered by the unavailability of counterfactual outcomes and the rarity and difficulty of collecting…
We consider a family of multivariate distributions with heavy-tailed margins and the type I elliptical dependence structure. This class of risks is common in finance, insurance, environmental and biostatistic applications. We obtain the…
Extreme Value Theory (EVT) is one of the most commonly used approaches in finance for measuring the downside risk of investment portfolios, especially during financial crises. In this paper, we propose a novel approach based on EVT called…
A key building block in the design of ultra-reliable communication systems is a wireless channel model that captures the statistics of rare events occurring due to significant fading. In this paper, we propose a novel methodology based on…
We propose an approach to compute the conditional moments of fat-tailed phenomena that, only looking at data, could be mistakenly considered as having infinite mean. This type of problems manifests itself when a random variable Y has a…
This thesis evaluates most of the extreme mixture models and methods that have appended in the literature and implements them in the context of finance and insurance. The paper also reviews and studies extreme value theory, time series,…
We generalize Quasi-Linear Means by restricting to the tail of the risk distribution and show that this can be a useful quantity in risk management since it comprises in its general form the Value at Risk, the Tail Value at Risk and the…
Since the extreme value index (EVI) controls the tail behaviour of the distribution function, the estimation of EVI is a very important topic in extreme value theory. Recent developments in the estimation of EVI along with covariates have…