Sojourn times and the fragility index

DOI10.1016/j.spa.2011.11.009zbMath1247.60073arXiv1107.5696OpenAlexW2090270779MaRDI QIDQ765893

Martin Hofmann, Michael Falk

Publication date: 22 March 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.5696

zbMATH Keywords

sojourn timeexpected shortfallmax-stable processexcursion timecopula processfunctional domain of attractiongeneralized Pareto processfragility index

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Limit theorems in probability theory (60F99)

Related Items (1)

Testing for a \(\delta \)-neighborhood of a generalized Pareto copula

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• Theory of Random Sets

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