Publication | Date of Publication | Type |
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Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series | 2023-12-03 | Paper |
Parameter estimation for a misspecified arma model with infinite variance innovations | 2023-11-24 | Paper |
Tail probabilities of random linear functions of regularly varying random vectors | 2022-11-08 | Paper |
Max-linear models in random environment | 2022-05-23 | Paper |
Conditional independence in max-linear Bayesian networks | 2022-03-21 | Paper |
Indirect inference for time series using the empirical characteristic function and control variates | 2021-11-25 | Paper |
Recursive max-linear models with propagating noise | 2021-10-11 | Paper |
Estimation of causal continuous‐time autoregressive moving average random fields | 2021-06-22 | Paper |
Identifiability and estimation of recursive max‐linear models | 2021-06-22 | Paper |
Ruin probabilities for risk processes in a bipartite network | 2021-05-17 | Paper |
Estimating an extreme Bayesian network via scalings | 2021-03-12 | Paper |
Explicit results on conditional distributions of generalized exponential mixtures | 2020-12-11 | Paper |
Conditional Independence in Max-linear Bayesian Networks | 2020-02-21 | Paper |
Partial mean field limits in heterogeneous networks | 2019-12-17 | Paper |
Indirect Inference for Lévy‐driven continuous‐time GARCH models | 2019-11-07 | Paper |
Semiparametric estimation for isotropic max-stable space-time processes | 2019-09-25 | Paper |
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects | 2019-09-19 | Paper |
Estimation of stable CARMA models with an application to electricity spot prices | 2019-09-10 | Paper |
Extreme value analysis of multivariate high-frequency wind speed data | 2019-08-27 | Paper |
Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes | 2019-07-04 | Paper |
Statistical Inference for Max-Stable Processes in Space and Time | 2019-04-30 | Paper |
Estimation of causal CARMA random fields | 2019-02-13 | Paper |
Conditional risk measures in a bipartite market structure | 2018-08-31 | Paper |
Smoothing of transport plans with fixed marginals and rigorous semiclassical limit of the Hohenberg-Kohn functional | 2018-05-18 | Paper |
Copula structure analysis based on extreme dependence | 2018-05-08 | Paper |
Max-linear models in random environment | 2018-04-17 | Paper |
Contagion in Financial Systems: A Bayesian Network Approach | 2018-04-16 | Paper |
Spatial Risk Measures: Local Specification and Boundary Risk | 2018-04-09 | Paper |
Max-linear models on directed acyclic graphs | 2018-03-27 | Paper |
Testing for non-correlation between price and volatility jumps | 2017-03-10 | Paper |
An innovations algorithm for the prediction of functional linear processes | 2017-02-23 | Paper |
Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise | 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 | 2016-12-20 | Paper |
Anisotropic Brown-Resnick space-time processes: estimation and model assessment | 2016-11-30 | Paper |
Bounds for randomly shared risk of heavy-tailed loss factors | 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 | 2016-05-12 | Paper |
Time-consistency of risk measures with GARCH volatilities and their estimation | 2016-03-08 | Paper |
Generalized fractional Lévy processes with fractional Brownian motion limit | 2016-02-12 | Paper |
Integrability conditions for space-time stochastic integrals: theory and applications | 2015-10-30 | Paper |
Asymmetric COGARCH processes | 2015-04-14 | Paper |
Systemic risk through contagion in a core-periphery structured banking network | 2015-04-08 | Paper |
Superposition of COGARCH processes | 2015-02-27 | Paper |
Fractionally integrated COGARCH processes | 2015-01-15 | Paper |
High-frequency sampling of a continuous-time ARMA process | 2014-11-20 | Paper |
Statistical models and methods for dependence in insurance data | 2014-09-30 | Paper |
Rejoinder: Statistical models and methods for dependence in insurance data | 2014-09-30 | Paper |
Max-stable processes for modeling extremes observed in space and time | 2014-08-07 | Paper |
Quantifying Extreme Risks | 2014-06-30 | Paper |
Dealing with Dependent Risks | 2014-06-30 | Paper |
Riskmanagement in financial mathematics | 2014-06-03 | Paper |
TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS | 2014-04-08 | Paper |
Outcrossings of safe regions by generalized hyperbolic processes | 2014-02-19 | Paper |
High-frequency sampling and kernel estimation for continuous-time moving average processes | 2013-10-09 | Paper |
Conditional Distributions of Processes Related to Fractional Brownian Motion | 2013-04-25 | Paper |
Density Functional Theory and Optimal Transportation with Coulomb Cost | 2013-03-04 | Paper |
A fractional credit model with long range dependent default rate | 2013-03-04 | Paper |
Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data | 2013-01-19 | Paper |
Copula Structure Analysis | 2012-10-25 | Paper |
Modellieren und Quantifizieren von extremen Risiken | 2012-10-01 | Paper |
Pareto Lévy Measures and Multivariate Regular Variation | 2012-04-10 | Paper |
Parameter estimation of a bivariate compound Poisson process | 2012-02-10 | Paper |
An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations | 2011-12-21 | Paper |
https://portal.mardi4nfdi.de/entity/Q3099667 | 2011-12-01 | Paper |
High-level dependence in time series models | 2011-11-26 | Paper |
On the ruin probability of the generalised Ornstein–Uhlenbeck process in the cramér case | 2011-10-25 | Paper |
Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations | 2011-09-02 | Paper |
Credit Contagion in a Long Range Dependent Macroeconomic Factor Model | 2011-08-08 | Paper |
Corrigendum to ``Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times | 2011-08-04 | Paper |
Electricity spot price modelling with a view towards extreme spike risk | 2011-04-29 | Paper |
Parametric estimation of a bivariate stable Lévy process | 2011-04-19 | Paper |
Multivariate models for operational risk | 2010-12-15 | Paper |
Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case | 2010-04-22 | Paper |
Optimal consumption and investment with bounded downside risk for power utility functions | 2010-02-05 | Paper |
The first passage event for sums of dependent Lévy processes with applications to insurance risk | 2010-01-13 | Paper |
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions | 2010-01-13 | Paper |
Integrated insurance risk models with exponential Lévy investment | 2009-01-28 | Paper |
On the distribution tail of an integrated risk model: A numerical approach | 2008-08-22 | Paper |
https://portal.mardi4nfdi.de/entity/Q3511642 | 2008-07-11 | Paper |
Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients | 2008-07-01 | Paper |
The Pareto Copula, Aggregation of Risks, and the Emperor's Socks | 2008-04-30 | Paper |
https://portal.mardi4nfdi.de/entity/Q5436605 | 2008-01-17 | Paper |
Ruin estimation in multivariate models with Clayton dependence structure | 2007-12-16 | Paper |
Method of moment estimation in the COGARCH(1,1) model | 2007-11-21 | Paper |
Estimating the tail dependence function of an elliptical distribution | 2007-05-15 | Paper |
Extremal behaviour of models with multivariate random recurrence representation | 2007-04-16 | Paper |
On extreme ruinous behaviour of Lévy insurance risk processes | 2006-11-16 | Paper |
Fractional integral equations and state space transforms | 2006-11-06 | Paper |
https://portal.mardi4nfdi.de/entity/Q5493557 | 2006-10-23 | Paper |
Bivariate extreme value distributions based on polynomial dependence functions | 2006-09-06 | Paper |
Dependence estimation and visualization in multivariate extremes with applications to financial data | 2006-05-24 | Paper |
Domains of attraction for exponential families. | 2005-11-29 | Paper |
Maxima of stochastic processes driven by fractional Brownian motion | 2005-10-17 | Paper |
Extreme value theory for moving average processes with light-tailed innovations | 2005-09-28 | Paper |
Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times | 2005-08-05 | Paper |
Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance | 2005-08-05 | Paper |
A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour | 2005-04-18 | Paper |
Subexponential Distributions - Large Deviations with Applications to Insurance and Queueing Models | 2005-04-11 | Paper |
Ruin probabilities and overshoots for general Lévy insurance risk processes | 2005-03-21 | Paper |
Optimal portfolios when stock prices follow an exponential Lévy process | 2004-11-24 | Paper |
A geometric approach to portfolio optimization in models with transaction costs | 2004-11-24 | Paper |
The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model. | 2004-09-15 | Paper |
Renewal theory for functionals of a Markov chain with compact state space. | 2004-07-01 | Paper |
Regular variation in the mean and stable limits for Poisson shot noise | 2004-06-18 | Paper |
https://portal.mardi4nfdi.de/entity/Q2762136 | 2004-02-08 | Paper |
Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. | 2004-02-03 | Paper |
Testing for reduction to random walk in autoregressive conditional heteroskedasticity models | 2003-08-07 | Paper |
The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors | 2003-05-06 | Paper |
A local limit theorem for random walk maxima with heavy tails | 2002-09-05 | Paper |
Stability for multivariate exponential families | 2002-06-16 | Paper |
Sampling at subexponential times, with queueing applications | 2001-01-17 | Paper |
Optimal Portfolios with Bounded Capital at Risk | 2001-01-01 | Paper |
Limit laws for exponential families | 2000-07-03 | Paper |
Telecommunication traffic, queueing models, and subexponential distributions | 2000-03-30 | Paper |
Tail Exactness of Multivariate Saddlepoint Approximations | 2000-03-01 | Paper |
https://portal.mardi4nfdi.de/entity/Q4247115 | 1999-10-31 | Paper |
Extremal behavior of diffusion models in finance | 1999-08-10 | Paper |
Ruin probabilities in the presence of heavy-tails and interest rates | 1999-03-25 | Paper |
Large deviations of heavy-tailed random sums with applications in insurance and finance | 1999-01-05 | Paper |
The integrated periodogram for stable processes | 1998-11-03 | Paper |
Large deviations results for subexponential tails, with applications to insurance risk | 1997-12-10 | Paper |
Stationary M/G/1 excursions in the presence of heavy tails | 1997-11-10 | Paper |
Gaussian limit fields for the integrated periodogram | 1997-07-08 | Paper |
https://portal.mardi4nfdi.de/entity/Q4343010 | 1997-06-24 | Paper |
Delay in claim settlement and ruin probability approximations | 1996-05-06 | Paper |
Explosive Poisson shot noise processes with applications to risk reserves | 1995-12-12 | Paper |
Parameter estimation for ARMA models with infinite variance innovations | 1995-10-18 | Paper |
Tauberian Results for Densities with Gaussian Tails | 1995-09-18 | Paper |
Large claims approximations for risk processes in a Markovian environment | 1995-06-18 | Paper |
https://portal.mardi4nfdi.de/entity/Q4322402 | 1995-03-29 | Paper |
https://portal.mardi4nfdi.de/entity/Q4274909 | 1994-11-29 | Paper |
Estimation of distribution tails —a semiparametric approach | 1994-10-11 | Paper |
https://portal.mardi4nfdi.de/entity/Q4297831 | 1994-07-04 | Paper |
Densities with Gaussian Tails | 1994-06-06 | Paper |
Asymptotic ordering of risks and ruin probabilities | 1994-05-19 | Paper |
Spectral estimates and stable processes | 1994-01-19 | Paper |
A note on the tail accuracy of the univariate saddlepoint approximation | 1993-05-16 | Paper |
https://portal.mardi4nfdi.de/entity/Q3991700 | 1992-06-28 | Paper |
The full solution of the convolution closure problem for convolution- equivalent distributions | 1991-01-01 | Paper |
Asymptotic ordering of distribution functions and convolution semigroups | 1990-01-01 | Paper |
https://portal.mardi4nfdi.de/entity/Q3203899 | 1990-01-01 | Paper |
Estimation of ruin probabilities by means of hazard rates | 1989-01-01 | Paper |
Subexponential distributions and characterizations of related classes | 1989-01-01 | Paper |
https://portal.mardi4nfdi.de/entity/Q3808934 | 1989-01-01 | Paper |
Subexponential distributions and integrated tails | 1988-01-01 | Paper |
https://portal.mardi4nfdi.de/entity/Q3768160 | 1987-01-01 | Paper |