The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
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Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)
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- Toward a copula theory for multivariate regular variation
- Conditioning on an extreme component: model consistency with regular variation on cones
- Ordering of multivariate risk models with respect to extreme portfolio losses
- The multivariate piecing-together approach revisited
- Risk aggregation in multivariate dependent Pareto distributions
- Nonparametric low-frequency Lévy copula estimation in a general framework
- Aggregation of rapidly varying risks and asymptotic independence
- A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
- Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
- On the worst and least possible asymptotic dependence
- On the tail behaviour of aggregated random variables
- Extremes for a general contagion risk measure
- On optimal portfolio diversification with respect to extreme risks
- Risk aggregation with FGM copulas
- Nonparametric inference on Lévy measures and copulas
- A multivariate piecing-together approach with an application to operational loss data
- Asymptotics of the loss-based tail risk measures in the presence of extreme risks
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