scientific article; zbMATH DE number 1026574

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Extreme value theory; extremal stochastic processes (60G70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Inference for the limiting cluster size distribution of extreme values
On lower limits and equivalences for distribution tails of randomly stopped sums
Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
Review of testing issues in extremes: in honor of Professor Laurens de Haan
Convergence of large deviation rates based on a link between wave governed random motions and ruin processes
Large deviations for heavy-tailed factor models
Multivariate extremes of generalized skew-normal distributions
Weak convergence of the tail empirical process for dependent sequences
Approximation of the tail probability of randomly weighted sums and applications
The limit behavior of a risk model based on entrance processes
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Estimation of the generalized Pareto distribution
On the max-semistable limit of maxima of stationary sequences with missing values
On parameter estimation for locally stationary long-memory processes
Stochastic successive approximation method for assessing the insolvency risk of an insurance company
Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws
Asymptotic results for heavy-tailed distributions using defective renewal equations
Detecting change-points in multidimensional stochastic processes
Extremal financial risk models and portfolio evaluation
A new estimation method for Weibull-type tails based on the mean excess function
Modelling extremes of time-dependent data by Markov-switching structures
On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
Some closure properties for subexponential distributions
Subsampling tests for the mean change point with heavy-tailed innovations
Extremal limit theorems for observations separated by random power law waiting times
Econometric issues in the analysis of contagion
Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
A note on convolutions of compound geometric distributions
Precise large deviations for dependent random variables with heavy tails
First exit times for Lévy-driven diffusions with exponentially light jumps
Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations
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Computing the mean and the variance of the cedent's share for largest claims reinsurance covers
Frontier estimation with local polynomials and high power-transformed data
Equivalent conditions of asymptotics for the density of the supremum of a random walk in the Intermediate case
Higher order estimation at Lebesgue points
The asymptotic distribution of numbers of observations near order statistics
On domination problem of non-negative distributions
Asymptotic behavior of tail density for sum of correlated lognormal variables
On least squares estimation for long-memory lattice processes
The estimation of M4 processes with geometric moving patterns
Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
Ruin probability of the renewal model with risky investment and large claims
Empirical likelihood-based evaluations of value at risk models
Asymptotic tail probabilities of sums of dependent subexponential random variables
Convergence of point processes with weakly dependent points
On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring
Functional nonparametric estimation of conditional extreme quantiles
The first passage event for sums of dependent Lévy processes with applications to insurance risk
Extremal attractors of Liouville copulas
Failure rates of regenerative systems with heavy tails
Limit laws for the number of near maxima via the Poisson approximation
How system performance is affected by the interplay of averages in a fluid queue with long range dependence induced by heavy tails
Tail risk inference via expectiles in heavy-tailed time series
Large deviations results for subexponential tails, with applications to insurance risk
Stable Lévy motion approximation in collective risk theory
Testing for (in)finite moments
Strong approximation of maxima by extremal processes
Chance discoveries for making decisions in complex real world
The periodogram at the Fourier frequencies
Maxima of increments of partial sums for certain subexponential distributions
On the extreme flights of one-sided Lévy processes
On the number of near-maximum insurance claims
Modeling claim exceedances over thresholds.
Copula convergence theorems for tail events.
Compound geometric residual lifetime distributions and the deficit at ruin.
The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
Kernel density estimation of actuarial loss functions
On the number of near-maximum insurance claim under dependence.
Influence functions of empirical nonparametric estimators of net reinsurance premiums
The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
Limit theorems for the number and sum of near-maxima for medium tails.
A note on the asymptotic normality of the ET method for extreme quantile estimation.
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High volatility, thick tails and extreme value theory in value-at-risk estimation.
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Extension of some classical results on ruin probability to delayed renewal model
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An extension of the almost sure max-limit theorem
Simple approximations of ruin probabilities
Equity allocation and portfolio selection in insurance
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Sampling at subexponential times, with queueing applications
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A contribution to large deviations for heavy-tailed random sums
On Lévy-Fréchet processes and related self-similar and semi-self-similar ones
Tail behavior of the least-squares estimator
A local limit theorem for random walk maxima with heavy tails
Extremal behavior of the autoregressive process with ARCH(1) errors
Test for homogeneity in gamma mixture models using likelihood ratio
Limit theorems for Betti numbers of extreme sample clouds with application to persistence barcodes
Multivariate regular variation of discrete mass functions with applications to preferential attachment networks

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