Living on the multidimensional edge: Seeking hidden risks using regular variation
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Abstract: Multivariate regular variation plays a role assessing tail risk in diverse applications such as finance, telecommunications, insurance and environmental science. The classical theory, being based on an asymptotic model, sometimes leads to inaccurate and useless estimates of probabilities of joint tail regions. This problem can be partly ameliorated by using hidden regular variation [Resnick, 2002, Mitra and Resnick, 2010]. We offer a more flexible definition of hidden regular variation that provides improved risk estimates for a larger class of risk tail regions.
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Cited in
(33)- Multivariate regular variation of discrete mass functions with applications to preferential attachment networks
- Implicit extremes and implicit max-stable laws
- Conditional extreme value models: fallacies and pitfalls
- Hidden regular variation under full and strong asymptotic dependence
- An asymptotic characterization of hidden tail credit risk with actuarial applications
- Risk contagion under regular variation and asymptotic tail independence
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- Tail probabilities of random linear functions of regularly varying random vectors
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- Emergence of multivariate extremes in multilayer inhomogeneous random graphs
- Measuring risk contagion in financial networks with CoVaR
- Extremal dependence networks for mitigating systemic risk via maximum independent sets
- Asymptotic independence and support detection techniques for heavy-tailed multivariate data
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