| Publication | Date of Publication | Type |
|---|
| Estimating a directed tree for extremes | 2024-09-16 | Paper |
| Time series of functional data with application to yield curves | 2024-07-18 | Paper |
| 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 |
| Identifiability and estimation of recursive max‐linear models | 2021-06-22 | Paper |
| Estimation of causal continuous‐time autoregressive moving average random fields | 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 |
| A fractional credit model with long range dependent default rate | 2013-03-04 | Paper |
| Density Functional Theory and Optimal Transportation with Coulomb Cost | 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 |
| Modelling and quantification of extreme risks | 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 |
| Subexponential distributions and characterizations of related classes | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3808934 | 1989-01-01 | Paper |
| Estimation of ruin probabilities by means of hazard rates | 1989-01-01 | Paper |
| Subexponential distributions and integrated tails | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3768160 | 1987-01-01 | Paper |
