| Publication | Date of Publication | Type |
|---|
Causal analysis of extreme risk in a network of industry portfolios
The Canadian Journal of Statistics | 2026-05-27 | Paper |
Estimating a directed tree for extremes
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2024-09-16 | Paper |
Time series of functional data with application to yield curves
Applied Stochastic Models in Business and Industry | 2024-07-18 | Paper |
Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
Lecture Notes in Mathematics | 2023-12-03 | Paper |
Parameter estimation for a misspecified arma model with infinite variance innovations
Journal of Mathematical Sciences | 2023-11-24 | Paper |
Tail probabilities of random linear functions of regularly varying random vectors
Extremes | 2022-11-08 | Paper |
Max-linear models in random environment
Journal of Multivariate Analysis | 2022-05-23 | Paper |
Conditional independence in max-linear Bayesian networks
The Annals of Applied Probability | 2022-03-21 | Paper |
Indirect inference for time series using the empirical characteristic function and control variates
Journal of Time Series Analysis | 2021-11-25 | Paper |
Recursive max-linear models with propagating noise
Electronic Journal of Statistics | 2021-10-11 | Paper |
Recursive max-linear models with propagating noise
Electronic Journal of Statistics | 2021-10-11 | Paper |
Identifiability and estimation of recursive max-linear models
Scandinavian Journal of Statistics | 2021-06-22 | Paper |
Estimation of causal continuous-time autoregressive moving average random fields
Scandinavian Journal of Statistics | 2021-06-22 | Paper |
Ruin probabilities for risk processes in a bipartite network
Stochastic Models | 2021-05-17 | Paper |
Estimating an extreme Bayesian network via scalings
Journal of Multivariate Analysis | 2021-03-12 | Paper |
Explicit results on conditional distributions of generalized exponential mixtures
Journal of Applied Probability | 2020-12-11 | Paper |
Conditional Independence in Max-linear Bayesian Networks
(available as arXiv preprint) | 2020-02-21 | Paper |
Partial mean field limits in heterogeneous networks
Stochastic Processes and their Applications | 2019-12-17 | Paper |
Indirect inference for Lévy-driven continuous-time GARCH models
Scandinavian Journal of Statistics | 2019-11-07 | Paper |
Semiparametric estimation for isotropic max-stable space-time processes
Bernoulli | 2019-09-25 | Paper |
Semiparametric estimation for isotropic max-stable space-time processes
Bernoulli | 2019-09-25 | Paper |
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Finance and Stochastics | 2019-09-19 | Paper |
Estimation of stable CARMA models with an application to electricity spot prices
Statistical Modelling | 2019-09-10 | Paper |
Extreme value analysis of multivariate high-frequency wind speed data
Journal of Statistical Theory and Practice | 2019-08-27 | Paper |
Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
Extremes | 2019-07-04 | Paper |
Statistical inference for max-stable processes in space and time
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-04-30 | Paper |
| Estimation of causal CARMA random fields | 2019-02-13 | Paper |
Conditional risk measures in a bipartite market structure
Scandinavian Actuarial Journal | 2018-08-31 | Paper |
Smoothing of transport plans with fixed marginals and rigorous semiclassical limit of the Hohenberg-Kohn functional
Archive for Rational Mechanics and Analysis | 2018-05-18 | Paper |
Copula structure analysis based on extreme dependence
Statistics and Its Interface | 2018-05-08 | Paper |
Max-linear models in random environment
(available as arXiv preprint) | 2018-04-17 | Paper |
Contagion in financial systems: a Bayesian network approach
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Spatial risk measures: local specification and boundary risk
Springer Proceedings in Mathematics & Statistics | 2018-04-09 | Paper |
Max-linear models on directed acyclic graphs
Bernoulli | 2018-03-27 | Paper |
Max-linear models on directed acyclic graphs
Bernoulli | 2018-03-27 | Paper |
Testing for non-correlation between price and volatility jumps
Journal of Econometrics | 2017-03-10 | Paper |
An innovations algorithm for the prediction of functional linear processes
Journal of Multivariate Analysis | 2017-02-23 | Paper |
Simulation of stochastic Volterra equations driven by space-time Lévy noise
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
| Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits | 2016-12-21 | Paper |
Risk in a large claims insurance market with bipartite graph structure
Operations Research | 2016-12-20 | Paper |
Anisotropic Brown-Resnick space-time processes: estimation and model assessment
Extremes | 2016-11-30 | Paper |
Bounds for randomly shared risk of heavy-tailed loss factors
Extremes | 2016-11-30 | Paper |
| Limit theory for the empirical extremogram of random fields | 2016-09-16 | Paper |
Passage time and fluctuation calculations for subexponential Lévy processes
Bernoulli | 2016-05-12 | Paper |
Passage time and fluctuation calculations for subexponential Lévy processes
Bernoulli | 2016-05-12 | Paper |
Time-consistency of risk measures with GARCH volatilities and their estimation
Statistics & Risk Modeling | 2016-03-08 | Paper |
Generalized fractional Lévy processes with fractional Brownian motion limit
Advances in Applied Probability | 2016-02-12 | Paper |
Integrability conditions for space-time stochastic integrals: theory and applications
Bernoulli | 2015-10-30 | Paper |
Integrability conditions for space-time stochastic integrals: theory and applications
Bernoulli | 2015-10-30 | Paper |
Asymmetric COGARCH processes
Journal of Applied Probability | 2015-04-14 | Paper |
Asymmetric COGARCH processes
Journal of Applied Probability | 2015-04-14 | Paper |
Systemic risk through contagion in a core-periphery structured banking network
Banach Center Publications | 2015-04-08 | Paper |
Superposition of COGARCH processes
Stochastic Processes and their Applications | 2015-02-27 | Paper |
| Fractionally integrated COGARCH processes | 2015-01-15 | Paper |
High-frequency sampling of a continuous-time ARMA process
Journal of Time Series Analysis | 2014-11-20 | Paper |
Statistical models and methods for dependence in insurance data
Journal of the Korean Statistical Society | 2014-09-30 | Paper |
Rejoinder: Statistical models and methods for dependence in insurance data
Journal of the Korean Statistical Society | 2014-09-30 | Paper |
Max-stable processes for modeling extremes observed in space and time
Journal of the Korean Statistical Society | 2014-08-07 | Paper |
Quantifying Extreme Risks
Risk - A Multidisciplinary Introduction | 2014-06-30 | Paper |
Dealing with dependent risks
Risk - A Multidisciplinary Introduction | 2014-06-30 | Paper |
Riskmanagement in financial mathematics
Mitteilungen der Deutschen Mathematiker-Vereinigung (DMV) | 2014-06-03 | Paper |
TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS
Journal of Time Series Analysis | 2014-04-08 | Paper |
Outcrossings of safe regions by generalized hyperbolic processes
Statistics & Probability Letters | 2014-02-19 | Paper |
High-frequency sampling and kernel estimation for continuous-time moving average processes
Journal of Time Series Analysis | 2013-10-09 | Paper |
Conditional distributions of processes related to fractional Brownian motion
Journal of Applied Probability | 2013-04-25 | Paper |
Density functional theory and optimal transportation with Coulomb cost
Communications on Pure and Applied Mathematics | 2013-03-04 | Paper |
A fractional credit model with long range dependent default rate
Stochastic Processes and their Applications | 2013-03-04 | Paper |
Functional relationships between price and volatility jumps and their consequences for discretely observed data
Journal of Applied Probability | 2013-01-19 | Paper |
Copula structure analysis
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2012-10-25 | Paper |
Modelling and quantification of extreme risks
Facettenreiche Mathematik | 2012-10-01 | Paper |
Pareto Lévy measures and multivariate regular variation
Advances in Applied Probability | 2012-04-10 | Paper |
Parameter estimation of a bivariate compound Poisson process
Insurance Mathematics & Economics | 2012-02-10 | Paper |
An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations
Journal of Nonparametric Statistics | 2011-12-21 | Paper |
| The COGARCH: a review, with news on option pricing and statistical inference | 2011-12-01 | Paper |
High-level dependence in time series models
Extremes | 2011-11-26 | Paper |
On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case
Journal of Applied Probability | 2011-10-25 | Paper |
Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations
Bernoulli | 2011-09-02 | Paper |
Credit Contagion in a Long Range Dependent Macroeconomic Factor Model
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Corrigendum to ``Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times''
Stochastic Processes and their Applications | 2011-08-04 | Paper |
Electricity spot price modelling with a view towards extreme spike risk
Quantitative Finance | 2011-04-29 | Paper |
Parametric estimation of a bivariate stable Lévy process
Journal of Multivariate Analysis | 2011-04-19 | Paper |
Multivariate models for operational risk
Quantitative Finance | 2010-12-15 | Paper |
Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
Scandinavian Journal of Statistics | 2010-04-22 | Paper |
Optimal consumption and investment with bounded downside risk for power utility functions
(available as arXiv preprint) | 2010-02-05 | Paper |
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
(available as arXiv preprint) | 2010-01-13 | Paper |
The first passage event for sums of dependent Lévy processes with applications to insurance risk
The Annals of Applied Probability | 2010-01-13 | Paper |
Integrated insurance risk models with exponential Lévy investment
Insurance Mathematics & Economics | 2009-01-28 | Paper |
On the distribution tail of an integrated risk model: A numerical approach
Insurance Mathematics & Economics | 2008-08-22 | Paper |
| Extremal behavior of stochastic volatility models | 2008-07-11 | Paper |
Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
The Annals of Applied Probability | 2008-07-01 | Paper |
The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
Journal of Applied Probability | 2008-04-30 | Paper |
| Extremes of supOU processes | 2008-01-17 | Paper |
Ruin estimation in multivariate models with Clayton dependence structure
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
Method of moment estimation in the COGARCH(1,1) model
Econometrics Journal | 2007-11-21 | Paper |
Estimating the tail dependence function of an elliptical distribution
Bernoulli | 2007-05-15 | Paper |
Extremal behaviour of models with multivariate random recurrence representation
Stochastic Processes and their Applications | 2007-04-16 | Paper |
On extreme ruinous behaviour of Lévy insurance risk processes
Journal of Applied Probability | 2006-11-16 | Paper |
Fractional integral equations and state space transforms
Bernoulli | 2006-11-06 | Paper |
| scientific article; zbMATH DE number 5066273 (Why is no real title available?) | 2006-10-23 | Paper |
Bivariate extreme value distributions based on polynomial dependence functions
Mathematical Methods in the Applied Sciences | 2006-09-06 | Paper |
Dependence estimation and visualization in multivariate extremes with applications to financial data
Extremes | 2006-05-24 | Paper |
Domains of attraction for exponential families.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Maxima of stochastic processes driven by fractional Brownian motion
Advances in Applied Probability | 2005-10-17 | Paper |
Extreme value theory for moving average processes with light-tailed innovations
Bernoulli | 2005-09-28 | Paper |
Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance
Stochastic Processes and their Applications | 2005-08-05 | Paper |
A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
Journal of Applied Probability | 2005-04-18 | Paper |
Subexponential Distributions - Large Deviations with Applications to Insurance and Queueing Models
Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics | 2005-04-11 | Paper |
Ruin probabilities and overshoots for general Lévy insurance risk processes
The Annals of Applied Probability | 2005-03-21 | Paper |
Ruin probabilities and overshoots for general Lévy insurance risk processes
The Annals of Applied Probability | 2005-03-21 | Paper |
Optimal portfolios when stock prices follow an exponential Lévy process
Finance and Stochastics | 2004-11-24 | Paper |
A geometric approach to portfolio optimization in models with transaction costs
Finance and Stochastics | 2004-11-24 | Paper |
The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.
The Annals of Applied Probability | 2004-09-15 | Paper |
Renewal theory for functionals of a Markov chain with compact state space.
The Annals of Probability | 2004-07-01 | Paper |
Regular variation in the mean and stable limits for Poisson shot noise
Bernoulli | 2004-06-18 | Paper |
| scientific article; zbMATH DE number 1687031 (Why is no real title available?) | 2004-02-08 | Paper |
Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors.
Journal of Multivariate Analysis | 2004-02-03 | Paper |
Testing for reduction to random walk in autoregressive conditional heteroskedasticity models
Econometrics Journal | 2003-08-07 | Paper |
The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
The Annals of Applied Probability | 2003-05-06 | Paper |
A local limit theorem for random walk maxima with heavy tails
Statistics & Probability Letters | 2002-09-05 | Paper |
Stability for multivariate exponential families
Journal of Mathematical Sciences (New York) | 2002-06-16 | Paper |
Sampling at subexponential times, with queueing applications
Stochastic Processes and their Applications | 2001-01-17 | Paper |
Optimal portfolios with bounded capital at risk.
Mathematical Finance | 2001-01-01 | Paper |
Limit laws for exponential families
Bernoulli | 2000-07-03 | Paper |
Telecommunication traffic, queueing models, and subexponential distributions
Queueing Systems | 2000-03-30 | Paper |
Tail Exactness of Multivariate Saddlepoint Approximations
Scandinavian Journal of Statistics | 2000-03-01 | Paper |
| scientific article; zbMATH DE number 1301888 (Why is no real title available?) | 1999-10-31 | Paper |
Extremal behavior of diffusion models in finance
Extremes | 1999-08-10 | Paper |
Ruin probabilities in the presence of heavy-tails and interest rates
Scandinavian Actuarial Journal | 1999-03-25 | Paper |
Large deviations of heavy-tailed random sums with applications in insurance and finance
Journal of Applied Probability | 1999-01-05 | Paper |
The integrated periodogram for stable processes
The Annals of Statistics | 1998-11-03 | Paper |
Large deviations results for subexponential tails, with applications to insurance risk
Stochastic Processes and their Applications | 1997-12-10 | Paper |
Stationary <i>M</i>/<i>G</i>/1 excursions in the presence of heavy tails
Journal of Applied Probability | 1997-11-10 | Paper |
Gaussian limit fields for the integrated periodogram
The Annals of Applied Probability | 1997-07-08 | Paper |
| scientific article; zbMATH DE number 1026574 (Why is no real title available?) | 1997-06-24 | Paper |
Delay in claim settlement and ruin probability approximations
Scandinavian Actuarial Journal | 1996-05-06 | Paper |
Explosive Poisson shot noise processes with applications to risk reserves
Bernoulli | 1995-12-12 | Paper |
Parameter estimation for ARMA models with infinite variance innovations
The Annals of Statistics | 1995-10-18 | Paper |
Tauberian Results for Densities with Gaussian Tails
Journal of the London Mathematical Society | 1995-09-18 | Paper |
Large claims approximations for risk processes in a Markovian environment
Stochastic Processes and their Applications | 1995-06-18 | Paper |
| scientific article; zbMATH DE number 720759 (Why is no real title available?) | 1995-03-29 | Paper |
| scientific article; zbMATH DE number 482636 (Why is no real title available?) | 1994-11-29 | Paper |
Estimation of distribution tails —a semiparametric approach
Blätter der DGVFM | 1994-10-11 | Paper |
| scientific article; zbMATH DE number 599629 (Why is no real title available?) | 1994-07-04 | Paper |
Densities with Gaussian Tails
Proceedings of the London Mathematical Society | 1994-06-06 | Paper |
Asymptotic ordering of risks and ruin probabilities
Insurance Mathematics & Economics | 1994-05-19 | Paper |
Spectral estimates and stable processes
Stochastic Processes and their Applications | 1994-01-19 | Paper |
A note on the tail accuracy of the univariate saddlepoint approximation
Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI | 1993-05-16 | Paper |
A note on the tail accuracy of the univariate saddlepoint approximation
Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI | 1993-05-16 | Paper |
| scientific article; zbMATH DE number 37440 (Why is no real title available?) | 1992-06-28 | Paper |
The full solution of the convolution closure problem for convolution- equivalent distributions
Journal of Mathematical Analysis and Applications | 1991-01-01 | Paper |
Asymptotic ordering of distribution functions and convolution semigroups
Semigroup Forum | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4180619 (Why is no real title available?) | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4078359 (Why is no real title available?) | 1989-01-01 | Paper |
Subexponential distributions and characterizations of related classes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1989-01-01 | Paper |
Estimation of ruin probabilities by means of hazard rates
Insurance Mathematics & Economics | 1989-01-01 | Paper |
Subexponential distributions and integrated tails
Journal of Applied Probability | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4026542 (Why is no real title available?) | 1987-01-01 | Paper |
