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Natural data are often long-tail distributed over semantic classes. Existing recognition methods tackle this imbalanced classification by placing more emphasis on the tail data, through class re-balancing/re-weighting or ensembling over…
We introduce a new actuarial tail-shape index, the $\theta$-index, based on a probability equal level relationship between Value at Risk and Expected Shortfall. The index is defined at each tail probability level as the parameter value for…
Score-based generative models (SGMs) have achieved remarkable empirical success, motivating their application to a broad range of data distributions. However, extending them to heavy-tailed targets remains a largely open problem. Although…
In risk management, tail risks are of crucial importance. The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted…
This paper shows that sequential statistical analysis techniques can be generalised to the problem of selecting between alternative forecasting methods using scoring rules. A return to basic principles is necessary in order to show that…
We study tail estimation in Pareto-like settings for datasets with a high percentage of randomly right-censored data, and where some expert information on the tail index is available for the censored observations. This setting arises for…
Estimating the tail index parameter is one of the primal objectives in extreme value theory. For heavy-tailed distributions the Hill estimator is the most popular way to estimate the tail index parameter. Improving the Hill estimator was…
Causal questions are omnipresent in many scientific problems. While much progress has been made in the analysis of causal relationships between random variables, these methods are not well suited if the causal mechanisms only manifest…
Preferential attachment is widely used to model power-law behavior of degree distributions in both directed and undirected networks. Practical analyses on the tail exponent of the power-law degree distribution use the Hill estimator as one…
A new estimator is proposed for estimating the tail exponent of a heavy-tailed distribution. This estimator, referred to as the layered Hill estimator, is a generalization of the traditional Hill estimator, building upon a layered structure…
The analysis of extremal dependence in high dimensions has recently attracted considerable interest. Existing methodology primarily focuses on modeling and estimation of extremal dependence structures, often supported by concentration…
A notoriously difficult challenge in extreme value theory is the choice of the number $k\ll n$, where $n$ is the total sample size, of extreme data points to consider for inference of tail quantities. Existing theoretical guarantees for…
Statistical analysis of extremes can be used to predict the probability of future extreme events, such as large rainfalls or devastating windstorms. The quality of these forecasts can be measured through scoring rules. Locally scale…
The Peaks-Over Threshold is a fundamental method in the estimation of rare events such as small exceedance probabilities, extreme quantiles and return periods. The main problem with the Peaks-Over Threshold method relates to the selection…
It is the purpose of this paper to investigate the issue of estimating the regularity index $\beta>0$ of a discrete heavy-tailed r.v. $S$, \textit{i.e.} a r.v. $S$ valued in $\mathbb{N}^*$ such that $\mathbb{P}(S>n)=L(n)\cdot n^{-\beta}$…
In this paper, we investigate the extreme-value methodology, to propose an improved estimator of the conditional tail expectation ($CTE$) for a loss distribution with a finite mean but infinite variance. The present work introduces a new…
Preferential attachment is widely used to model power-law behavior of degree distributions in both directed and undirected networks. In a directed preferential attachment model, despite the well-known marginal power-law degree…
Tail dependence models for distributions attracted to a max-stable law are fitted using observations above a high threshold. To cope with spatial, high-dimensional data, a rank-based M-estimator is proposed relying on bivariate margins…
In this paper we provide a new criterion for the comparison of claims, when we have conditional claims arising in stop loss contracts or contracts with franchise deductible. These stochastic comparisons are made on the basis of the Tail…
The extreme value theory is very popular in applied sciences including Finance, economics, hydrology and many other disciplines. In univariate extreme value theory, we model the data by a suitable distribution from the general max-domain of…