On optimal portfolio diversification with respect to extreme risks (Q650773): Difference between revisions

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+On the Tail Behavior of Sums of Dependent Risks
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+A characterization of multivariate regular variation.
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+Support theorems for the Radon transform and Cramér-Wold theorems
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+Tail estimates motivated by extreme value theory
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+Limit theory for multivariate sample extremes
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+Estimating the limit distribution of multivariate extremes
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+Estimating the probability of a rare event
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+A moment estimator for the index of an extreme-value distribution
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+Refined Pickands estimators of the extreme value index
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+On maximum likelihood estimation of the extreme value index.
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+Estimating a multidimensional extreme-value distribution
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+Estimating the spectral measure of an extreme value distribution
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+Nonparametric estimation of the spectral measure of an extreme value distribution.
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+Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
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+Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
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+Elementary proofs of some basic facts concerning order statistics
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+A simple general approach to inference about the tail of a distribution
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+Regular variation for measures on metric spaces
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+The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
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+Extreme Financial Risks
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+Statistical inference using extreme order statistics
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+The Extremal Dependence Measure and Asymptotic Independence
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+Non-parametric Estimation of Tail Dependence
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+Estimating tails of probability distributions
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+Weak convergence and empirical processes. With applications to statistics
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+Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
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