Related papers: Asymptotics for aggregated interdependent multivar…
In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. In this paper, we focus on the asymptotic behavior of these measures in a multivariate regular variations context. For models with equivalent…
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
Multivariate (or vector-valued) processes are important for modeling multiple variables. The fractal indices of the components of the underlying multivariate process play a key role in characterizing the dependence structures and…
This paper addresses important weaknesses in current methodology for the estimation of multivariate extreme event distributions. The estimation of the residual dependence index $\eta \in (0,1]$ is notoriously problematic. We introduce a…
This paper obtains an asymptotic formula for the finite-time ruin probability of the compound nonhomogeneous Poisson risk model with a constant interest force, in which the claims are conditionally independent random variables with a common…
In this paper, we present a realized range-based multipower variation theory, which can be used to estimate return variation and draw jump-robust inference about the diffusive volatility component, when a high-frequency record of asset…
We study mixed models with a single grouping factor, where inference about unknown parameters requires optimizing a marginal likelihood defined by an intractable integral. Low-dimensional numerical integration techniques are regularly used…
In this paper we develop a symbolic technique to obtain asymptotic expressions for ruin probabilities and discounted penalty functions in renewal insurance risk models when the premium income depends on the present surplus of the insurance…
We consider the preferential attachment model. This is a growing random graph such that at each step a new vertex is added and forms $m$ connections. The neighbors of the new vertex are chosen at random with probability proportional to…
We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional…
The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in C\'enac et al. [6]. The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In a previous…
The asymptotic normality in multi-dimension of the nonparametric estimator of the transition probabilities of a Markov renewal chain is proved, and is applied to that of other nonparametric estimators involved with the associated…
An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given contingent claim converge to its super replication price.
We study a class of iterated empirical risk minimization (ERM) procedures in which two successive ERMs are performed on the same dataset, and the predictions of the first estimator enter as an argument in the loss function of the second.…
We study the structure of the asymptotic expansion of the probability that a combinatorial object is connected. We show that the coefficients appearing in those asymptotics are integers and can be interpreted as the counting sequences of…
Reduced-rank regression is a dimensionality reduction method with many applications. The asymptotic theory for reduced rank estimators of parameter matrices in multivariate linear models has been studied extensively. In contrast, few…
Truncated multivariate distributions arise extensively in econometric modelling when non-negative random variables are intrinsic to the data-generation process. More broadly, truncated multivariate distributions have appeared in censored…
Motivated by a bidimensional discrete-time risk model in insurance, we study the second-order asymptotics for two kinds of tail probabilities of the stochastic discounted value of aggregate net losses including two business lines. These are…
One of the central objectives of modern risk management is to find a set of risks where the probability of multiple simultaneous catastrophic events is negligible. That is, risks are taken only when their joint behavior seems sufficiently…
In this paper the asymptotic distribution of estimators is derived in a general regression setting where rank restrictions on a submatrix of the coefficient matrix are imposed and the regressors can include stationary or I(1) processes.…