scientific article; zbMATH DE number 5898106
zbMATH Open1239.91003MaRDI QIDQ3002175FDOQ3002175
Authors: S. Yu. Novak 
Publication date: 19 May 2011
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expected shortfallextreme valuesvalue at riskpartial sumsPoisson approximationheavy tailrisk measureexceedancesself-normalised sum
Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
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- Extremes in random fields. A theory and its applications
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- A linear programming model for selection of sparse high-dimensional multiperiod portfolios
- Criteria for Poisson process convergence with applications to inhomogeneous Poisson-Voronoi tessellations
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- Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
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- A general approach to generate random variates for multivariate copulae
- The limit theorem for maximum of partial sums of exchangeable random variables
- Self-normalized Cramér type moderate deviations for martingales and applications
- Editorial: Special issue on extremes in finance
- The possibility of existence of extremal indices exceeding one
- Advances in extreme value theory with applications to finance.
- Nonparametric estimation of the conditional extreme-value index with random covariates and censoring
- EVIM: a software package for extremel value analysis in MATLAB
- Portfolio optimization based on artificial neural network and GARCH-EVT-copula models
- Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring
- Risk quantization by magnitude and propensity
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