Tendijck, Stan; Tawn, Jonathan; Jonathan, Philip Extremal characteristics of conditional models. (English) Zbl 07658862 Extremes 26, No. 1, 139-156 (2023). MSC: 62Exx PDF BibTeX XML Cite \textit{S. Tendijck} et al., Extremes 26, No. 1, 139--156 (2023; Zbl 07658862) Full Text: DOI arXiv OpenURL
Fung, Tsz Chai Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models. (English) Zbl 07648741 Insur. Math. Econ. 107, 180-198 (2022). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 62P05 62G32 PDF BibTeX XML Cite \textit{T. C. Fung}, Insur. Math. Econ. 107, 180--198 (2022; Zbl 07648741) Full Text: DOI arXiv OpenURL
Manh Ha Tran; Ngoc Mai Tran High frequency-based quantile forecast and combination: an application to oil market. (English) Zbl 1495.62090 Thach, Nguyen Ngoc (ed.) et al., Prediction and causality in econometrics and related topics. Cham: Springer. Stud. Comput. Intell. 983, 209-228 (2022). MSC: 62P20 PDF BibTeX XML Cite \textit{Manh Ha Tran} and \textit{Ngoc Mai Tran}, Stud. Comput. Intell. 983, 209--228 (2022; Zbl 1495.62090) Full Text: DOI OpenURL
Gómez-Déniz, Emilio; Leiva, Víctor; Calderín-Ojeda, Enrique; Chesneau, Christophe A novel claim size distribution based on a Birnbaum-Saunders and gamma mixture capturing extreme values in insurance: estimation, regression, and applications. (English) Zbl 07562920 Comput. Appl. Math. 41, No. 4, Paper No. 171, 22 p. (2022). MSC: 62E15 62F10 62P05 91B05 91G70 PDF BibTeX XML Cite \textit{E. Gómez-Déniz} et al., Comput. Appl. Math. 41, No. 4, Paper No. 171, 22 p. (2022; Zbl 07562920) Full Text: DOI OpenURL
Ding, Liwang; Chen, Ping; Yongming, Li On some inequalities for \(\psi \)-mixing sequences and its applications in conditional value-at-risk estimate. (English) Zbl 07529966 Commun. Stat., Theory Methods 49, No. 22, 5455-5467 (2020). MSC: 62G05 62G20 62E20 62-XX PDF BibTeX XML Cite \textit{L. Ding} et al., Commun. Stat., Theory Methods 49, No. 22, 5455--5467 (2020; Zbl 07529966) Full Text: DOI OpenURL
Dey, Ashim Kumar; Das, Kumer Pial Predicting federal funds rate using extreme value theory. (English) Zbl 1455.91161 Stoch. Qual. Control 35, No. 1, 1-15 (2020). MSC: 91B64 62P20 62G32 60G70 PDF BibTeX XML Cite \textit{A. K. Dey} and \textit{K. P. Das}, Stoch. Qual. Control 35, No. 1, 1--15 (2020; Zbl 1455.91161) Full Text: DOI OpenURL
Gómez-Déniz, E.; Calderín-Ojeda, E. On the usefulness of the logarithmic skew normal distribution for describing claims size data. (English) Zbl 1459.91159 Math. Probl. Eng. 2020, Article ID 1420618, 9 p. (2020). MSC: 91G05 62P05 60E05 PDF BibTeX XML Cite \textit{E. Gómez-Déniz} and \textit{E. Calderín-Ojeda}, Math. Probl. Eng. 2020, Article ID 1420618, 9 p. (2020; Zbl 1459.91159) Full Text: DOI OpenURL
Zheng, Haitao; Hao, Junzhang; Bai, Manying; Zhang, Zhengjun Valuation of guaranteed unitized participating life insurance under MEGB2 distribution. (English) Zbl 1453.91088 Discrete Dyn. Nat. Soc. 2019, Article ID 9439786, 16 p. (2019). MSC: 91G05 PDF BibTeX XML Cite \textit{H. Zheng} et al., Discrete Dyn. Nat. Soc. 2019, Article ID 9439786, 16 p. (2019; Zbl 1453.91088) Full Text: DOI OpenURL
Ghosh, Indranil On the reliability for some bivariate dependent beta and Kumaraswamy distributions: a brief survey. (English) Zbl 1432.62345 Stoch. Qual. Control 34, No. 2, 115-121 (2019). MSC: 62N05 62E15 62H12 60E05 62E10 PDF BibTeX XML Cite \textit{I. Ghosh}, Stoch. Qual. Control 34, No. 2, 115--121 (2019; Zbl 1432.62345) Full Text: DOI OpenURL
Laudagé, Christian; Desmettre, Sascha; Wenzel, Jörg Severity modeling of extreme insurance claims for tariffication. (English) Zbl 1425.91228 Insur. Math. Econ. 88, 77-92 (2019). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{C. Laudagé} et al., Insur. Math. Econ. 88, 77--92 (2019; Zbl 1425.91228) Full Text: DOI OpenURL
Li, Yizeng; Qi, Yongcheng Adjusted empirical likelihood method for the tail index of a heavy-tailed distribution. (English) Zbl 1459.62073 Stat. Probab. Lett. 152, 50-58 (2019). MSC: 62G32 62G15 PDF BibTeX XML Cite \textit{Y. Li} and \textit{Y. Qi}, Stat. Probab. Lett. 152, 50--58 (2019; Zbl 1459.62073) Full Text: DOI arXiv OpenURL
Syring, Nicholas; Hong, Liang; Martin, Ryan Gibbs posterior inference on value-at-risk. (English) Zbl 1422.91376 Scand. Actuar. J. 2019, No. 7, 548-557 (2019). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{N. Syring} et al., Scand. Actuar. J. 2019, No. 7, 548--557 (2019; Zbl 1422.91376) Full Text: DOI OpenURL
Tang, Qihe; Yuan, Zhongyi CAT bond pricing under a product probability measure with pot risk characterization. (English) Zbl 1410.91288 ASTIN Bull. 49, No. 2, 457-490 (2019). MSC: 91B30 91G20 60G70 PDF BibTeX XML Cite \textit{Q. Tang} and \textit{Z. Yuan}, ASTIN Bull. 49, No. 2, 457--490 (2019; Zbl 1410.91288) Full Text: DOI OpenURL
Liu, Bin; Zhou, Cheng; Zhang, Xinsheng A tail adaptive approach for change point detection. (English) Zbl 1411.62150 J. Multivariate Anal. 169, 33-48 (2019). Reviewer: Fraser Daly (Edinburgh) MSC: 62H15 62E20 62F35 62F40 62P05 PDF BibTeX XML Cite \textit{B. Liu} et al., J. Multivariate Anal. 169, 33--48 (2019; Zbl 1411.62150) Full Text: DOI OpenURL
Alexander, Carol; Kaeck, Andreas; Sumawong, Anannit A parsimonious parametric model for generating margin requirements for futures. (English) Zbl 1403.91378 Eur. J. Oper. Res. 273, No. 1, 31-43 (2019). MSC: 91G70 91G20 62P05 PDF BibTeX XML Cite \textit{C. Alexander} et al., Eur. J. Oper. Res. 273, No. 1, 31--43 (2019; Zbl 1403.91378) Full Text: DOI Link OpenURL
Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong Modeling maxima with autoregressive conditional Fréchet model. (English) Zbl 1452.62339 J. Econom. 207, No. 2, 325-351 (2018). MSC: 62G32 62M10 62P05 62P20 PDF BibTeX XML Cite \textit{Z. Zhao} et al., J. Econom. 207, No. 2, 325--351 (2018; Zbl 1452.62339) Full Text: DOI OpenURL
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca US stock returns: are there seasons of excesses? (English) Zbl 1400.91693 Quant. Finance 16, No. 9, 1453-1464 (2016). MSC: 91G99 62P05 91B84 PDF BibTeX XML Cite \textit{M. Bee} et al., Quant. Finance 16, No. 9, 1453--1464 (2016; Zbl 1400.91693) Full Text: DOI OpenURL
Zhou, Yijia; Yang, Li; Xu, Lijun; Yu, Bo Inseparable robust reward-risk optimization models with distribution uncertainty. (English) Zbl 1370.90184 Japan J. Ind. Appl. Math. 33, No. 3, 767-780 (2016). MSC: 90C25 90C90 91G10 PDF BibTeX XML Cite \textit{Y. Zhou} et al., Japan J. Ind. Appl. Math. 33, No. 3, 767--780 (2016; Zbl 1370.90184) Full Text: DOI OpenURL
Zhang, Zhengjun; Zhu, Bin Copula structured M4 processes with application to high-frequency financial data. (English) Zbl 1443.62295 J. Econom. 194, No. 2, 231-241 (2016). MSC: 62M10 62G32 60G70 62H05 62P05 PDF BibTeX XML Cite \textit{Z. Zhang} and \textit{B. Zhu}, J. Econom. 194, No. 2, 231--241 (2016; Zbl 1443.62295) Full Text: DOI OpenURL
Pang, Li-Ping; Chen, Shuang; Wang, Jin-He Risk management in portfolio applications of non-convex stochastic programming. (English) Zbl 1338.91135 Appl. Math. Comput. 258, 565-575 (2015). MSC: 91G10 90C15 91B30 PDF BibTeX XML Cite \textit{L.-P. Pang} et al., Appl. Math. Comput. 258, 565--575 (2015; Zbl 1338.91135) Full Text: DOI OpenURL
Grechuk, Bogdan; Zabarankin, Michael Risk averse decision making under catastrophic risk. (English) Zbl 1339.91041 Eur. J. Oper. Res. 239, No. 1, 166-176 (2014). MSC: 91B06 PDF BibTeX XML Cite \textit{B. Grechuk} and \textit{M. Zabarankin}, Eur. J. Oper. Res. 239, No. 1, 166--176 (2014; Zbl 1339.91041) Full Text: DOI OpenURL
Xing, Guo-Dong; Yang, Shan-Chao; Li, Yong-Ming Strong consistency of conditional value-at-risk estimate for \(\varphi\)-mixing samples. (English) Zbl 1332.60047 Commun. Stat., Theory Methods 43, No. 23, 5105-5113 (2014). MSC: 60F15 62G05 62G20 PDF BibTeX XML Cite \textit{G.-D. Xing} et al., Commun. Stat., Theory Methods 43, No. 23, 5105--5113 (2014; Zbl 1332.60047) Full Text: DOI OpenURL
Calabrese, Raffaella; Osmetti, Silvia Angela Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model. (English) Zbl 07265867 J. Appl. Stat. 40, No. 6, 1172-1188 (2013). MSC: 62-XX PDF BibTeX XML Cite \textit{R. Calabrese} and \textit{S. A. Osmetti}, J. Appl. Stat. 40, No. 6, 1172--1188 (2013; Zbl 07265867) Full Text: DOI Link OpenURL
Tang, Qihe; Yuan, Zhongyi Asymptotic analysis of the loss given default in the presence of multivariate regular variation. (English) Zbl 1412.91056 N. Am. Actuar. J. 17, No. 3, 253-271 (2013). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{Q. Tang} and \textit{Z. Yuan}, N. Am. Actuar. J. 17, No. 3, 253--271 (2013; Zbl 1412.91056) Full Text: DOI OpenURL
Dridi, Amira; El Ghourabi, Mohamed; Limam, Mohamed On monitoring financial stress index with extreme value theory. (English) Zbl 1278.91188 Quant. Finance 12, No. 3, 329-339 (2012). MSC: 91G70 62G32 PDF BibTeX XML Cite \textit{A. Dridi} et al., Quant. Finance 12, No. 3, 329--339 (2012; Zbl 1278.91188) Full Text: DOI OpenURL
Kovacevic, Raimund M. Conditional risk and acceptability mappings as Banach-lattice valued mappings. (English) Zbl 1238.91084 Stat. Risk. Model. 29, No. 1, 1-18 (2012). Reviewer: Giovanni Puccetti (Firenze) MSC: 91B30 91G80 PDF BibTeX XML Cite \textit{R. M. Kovacevic}, Stat. Risk. Model. 29, No. 1, 1--18 (2012; Zbl 1238.91084) Full Text: DOI OpenURL
Faranda, Davide; Lucarini, Valerio; Turchetti, Giorgio; Vaienti, Sandro Numerical convergence of the block-maxima approach to the generalized extreme value distribution. (English) Zbl 1375.60097 J. Stat. Phys. 145, No. 5, 1156-1180 (2011). MSC: 60G70 60B10 PDF BibTeX XML Cite \textit{D. Faranda} et al., J. Stat. Phys. 145, No. 5, 1156--1180 (2011; Zbl 1375.60097) Full Text: DOI arXiv OpenURL
Lim, Andrew E. B.; Shanthikumar, J. George; Vahn, Gah-Yi Conditional value-at-risk in portfolio optimization: coherent but fragile. (English) Zbl 1219.91130 Oper. Res. Lett. 39, No. 3, 163-171 (2011). MSC: 91G10 91G70 90C90 PDF BibTeX XML Cite \textit{A. E. B. Lim} et al., Oper. Res. Lett. 39, No. 3, 163--171 (2011; Zbl 1219.91130) Full Text: DOI OpenURL
Artikis, Panagiotis T.; Artikis, Constantinos T.; Agorastos, Kostas Stochastic discounting for cost effective replacements of systems under competing catastrophic risks. (English) Zbl 1218.91066 J. Inf. Optim. Sci. 32, No. 1, 109-120 (2011). MSC: 91B30 91B70 PDF BibTeX XML Cite \textit{P. T. Artikis} et al., J. Inf. Optim. Sci. 32, No. 1, 109--120 (2011; Zbl 1218.91066) Full Text: DOI Link OpenURL
Vernic, Raluca Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach. (English) Zbl 1208.60014 Methodol. Comput. Appl. Probab. 13, No. 1, 121-137 (2011). MSC: 60E05 91B30 PDF BibTeX XML Cite \textit{R. Vernic}, Methodol. Comput. Appl. Probab. 13, No. 1, 121--137 (2011; Zbl 1208.60014) Full Text: DOI OpenURL
Cheong, Chin Wen Optimal choice of sample fraction in univariate financial tail index estimation. (English) Zbl 07252563 J. Appl. Stat. 37, No. 12, 2043-2056 (2010). MSC: 62P05 PDF BibTeX XML Cite \textit{C. W. Cheong}, J. Appl. Stat. 37, No. 12, 2043--2056 (2010; Zbl 07252563) Full Text: DOI OpenURL
Ausin, M. Concepcion; Lopes, Hedibert F. Time-varying joint distribution through copulas. (English) Zbl 1284.91466 Comput. Stat. Data Anal. 54, No. 11, 2383-2399 (2010). MSC: 91B84 62M10 91G70 PDF BibTeX XML Cite \textit{M. C. Ausin} and \textit{H. F. Lopes}, Comput. Stat. Data Anal. 54, No. 11, 2383--2399 (2010; Zbl 1284.91466) Full Text: DOI OpenURL
Artikis, Constantinos T.; Artikis, Panagiotis T.; Agorastos, Kostas Properties and management applications of a modified stochastic discounting model. (English) Zbl 1231.91139 J. Interdiscip. Math. 13, No. 6, 661-672 (2010). MSC: 91B30 90B50 PDF BibTeX XML Cite \textit{C. T. Artikis} et al., J. Interdiscip. Math. 13, No. 6, 661--672 (2010; Zbl 1231.91139) Full Text: DOI Link OpenURL
Artikis, Panagiotis T.; Artikis, Constantinos T.; Agorastos, Kostas Incorporating concepts of extreme value theory in formulating a discounting model for making optimal decisions in competing risks management. (English) Zbl 1208.91059 J. Interdiscip. Math. 13, No. 1, 113-124 (2010). MSC: 91B30 90B50 60G70 62G32 PDF BibTeX XML Cite \textit{P. T. Artikis} et al., J. Interdiscip. Math. 13, No. 1, 113--124 (2010; Zbl 1208.91059) Full Text: DOI OpenURL
Boulongne, Patrick; Pierre-Loti-Viaud, Daniel; Piterbarg, Vladimir On average losses in the ruin problem with fractional Brownian motion as input. (English) Zbl 1224.91046 Extremes 12, No. 1, 77-91 (2009). Reviewer: R. E. Maiboroda (Kyïv) MSC: 91B30 60G22 PDF BibTeX XML Cite \textit{P. Boulongne} et al., Extremes 12, No. 1, 77--91 (2009; Zbl 1224.91046) Full Text: DOI OpenURL
Artikis, Panagiotis T.; Artikis, Constantinos T. Discounted minimum of a random number of random variables in replacement of computer systems. (English) Zbl 1230.90075 J. Inf. Optim. Sci. 30, No. 5, 887-897 (2009). MSC: 90B25 PDF BibTeX XML Cite \textit{P. T. Artikis} and \textit{C. T. Artikis}, J. Inf. Optim. Sci. 30, No. 5, 887--897 (2009; Zbl 1230.90075) Full Text: DOI OpenURL
Chiragiev, Arthur; Landsman, Zinoviy Multivariate flexible Pareto model: dependency structure, properties and characterizations. (English) Zbl 1169.62003 Stat. Probab. Lett. 79, No. 16, 1733-1743 (2009). MSC: 62E10 62H10 PDF BibTeX XML Cite \textit{A. Chiragiev} and \textit{Z. Landsman}, Stat. Probab. Lett. 79, No. 16, 1733--1743 (2009; Zbl 1169.62003) Full Text: DOI OpenURL
Denis, Laurent; Fernández, Begoña; Meda, Ana Estimation of value at risk and ruin probability for diffusion processes with jumps. (English) Zbl 1168.91462 Math. Finance 19, No. 2, 281-302 (2009). MSC: 91B70 PDF BibTeX XML Cite \textit{L. Denis} et al., Math. Finance 19, No. 2, 281--302 (2009; Zbl 1168.91462) Full Text: DOI OpenURL
Artikis, Panagiotis T.; Artikis, Constantinos T. Discounted maximum of a random number of random cash flows in optimal decision making. (English) Zbl 1155.62077 J. Inf. Optim. Sci. 29, No. 6, 1193-1201 (2008). MSC: 62P05 62G32 91B06 91B28 PDF BibTeX XML Cite \textit{P. T. Artikis} and \textit{C. T. Artikis}, J. Inf. Optim. Sci. 29, No. 6, 1193--1201 (2008; Zbl 1155.62077) Full Text: DOI OpenURL
Artikis, Constantinos T.; Artikis, Panagiotis T. Incorporating a random number of independent competing risks in discounting a continuous uniform cash flow with rate of payment being a random sum. (English) Zbl 1172.91325 J. Interdiscip. Math. 10, No. 4, 487-495 (2007). MSC: 91B30 60K10 60K05 91B70 PDF BibTeX XML Cite \textit{C. T. Artikis} and \textit{P. T. Artikis}, J. Interdiscip. Math. 10, No. 4, 487--495 (2007; Zbl 1172.91325) Full Text: DOI OpenURL
Clémençon, Stéphan; Slim, Skander On portfolio selection under extreme risk measure: The heavy-tailed ICA model. (English) Zbl 1136.91476 Int. J. Theor. Appl. Finance 10, No. 3, 449-474 (2007). MSC: 91G10 PDF BibTeX XML Cite \textit{S. Clémençon} and \textit{S. Slim}, Int. J. Theor. Appl. Finance 10, No. 3, 449--474 (2007; Zbl 1136.91476) Full Text: DOI OpenURL
Dupuis, Debbie J.; Jones, Bruce L. Multivariate extreme value theory and its usefulness in understanding risk. (English) Zbl 1480.91200 N. Am. Actuar. J. 10, No. 4, 1-27 (2006). MSC: 91G05 62P05 62G32 62H05 PDF BibTeX XML Cite \textit{D. J. Dupuis} and \textit{B. L. Jones}, N. Am. Actuar. J. 10, No. 4, 1--27 (2006; Zbl 1480.91200) Full Text: DOI OpenURL
Jaimungal, Sebastian; Wang, Tao Catastrophe options with stochastic interest rates and compound Poisson losses. (English) Zbl 1168.91388 Insur. Math. Econ. 38, No. 3, 469-483 (2006). MSC: 91G20 60H10 60H30 91G30 PDF BibTeX XML Cite \textit{S. Jaimungal} and \textit{T. Wang}, Insur. Math. Econ. 38, No. 3, 469--483 (2006; Zbl 1168.91388) Full Text: DOI OpenURL
Ouyang, Zisheng; Xie, Chi Generalized Pareto distribution fit to medical insurance claims data. (English) Zbl 1087.62120 Appl. Math., Ser. B (Engl. Ed.) 21, No. 1, 21-29 (2006). MSC: 62P05 62G32 PDF BibTeX XML Cite \textit{Z. Ouyang} and \textit{C. Xie}, Appl. Math., Ser. B (Engl. Ed.) 21, No. 1, 21--29 (2006; Zbl 1087.62120) Full Text: DOI OpenURL
Szegö, Giorgio Measures of risk. (English) Zbl 1066.91061 Eur. J. Oper. Res. 163, No. 1, 5-19 (2005). MSC: 91G70 PDF BibTeX XML Cite \textit{G. Szegö}, Eur. J. Oper. Res. 163, No. 1, 5--19 (2005; Zbl 1066.91061) Full Text: DOI OpenURL
Tsourti, Zoi; Panaretos, John Extreme-value analysis of teletraffic data. (English) Zbl 1429.62722 Comput. Stat. Data Anal. 45, No. 1, 85-103 (2004). MSC: 62P99 62G32 PDF BibTeX XML Cite \textit{Z. Tsourti} and \textit{J. Panaretos}, Comput. Stat. Data Anal. 45, No. 1, 85--103 (2004; Zbl 1429.62722) Full Text: DOI OpenURL
Behrens, Cibele N.; Lopes, Hedibert F.; Gamerman, Dani Bayesian analysis of extreme events with threshold estimation. (English) Zbl 1111.62023 Stat. Model. 4, No. 3, 227-244 (2004). MSC: 62F15 62G32 62P05 65C40 PDF BibTeX XML Cite \textit{C. N. Behrens} et al., Stat. Model. 4, No. 3, 227--244 (2004; Zbl 1111.62023) Full Text: DOI OpenURL
Tokat, Yesim; Rachev, Svetlozar T.; Schwartz, Eduardo S. The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach. (English) Zbl 1178.91181 J. Econ. Dyn. Control 27, No. 6, 937-969 (2003). MSC: 91G10 91B70 PDF BibTeX XML Cite \textit{Y. Tokat} et al., J. Econ. Dyn. Control 27, No. 6, 937--969 (2003; Zbl 1178.91181) Full Text: DOI OpenURL
Cebrián, Ana C.; Denuit, Michel; Lambert, Philippe Generalized Pareto fit to the society of actuaries’ large claims database. (English) Zbl 1084.62108 N. Am. Actuar. J. 7, No. 3, 18-36 (2003). MSC: 62P05 62G32 PDF BibTeX XML Cite \textit{A. C. Cebrián} et al., N. Am. Actuar. J. 7, No. 3, 18--36 (2003; Zbl 1084.62108) Full Text: DOI OpenURL
Gençay, Ramazan; Selçuk, Faruk; Ulugülyaǧci, Abdurrahman High volatility, thick tails and extreme value theory in value-at-risk estimation. (English) Zbl 1103.91364 Insur. Math. Econ. 33, No. 2, 337-356 (2003). MSC: 91B30 PDF BibTeX XML Cite \textit{R. Gençay} et al., Insur. Math. Econ. 33, No. 2, 337--356 (2003; Zbl 1103.91364) Full Text: DOI Link OpenURL
Johansen, Anders; Sornette, Didier Bubbles and anti-bubbles in Latin-America, Asian and Western stock markets: an empirical study. (English) Zbl 1153.91791 Int. J. Theor. Appl. Finance 4, No. 6, 853-920 (2001). MSC: 91B84 91B74 91B28 PDF BibTeX XML Cite \textit{A. Johansen} and \textit{D. Sornette}, Int. J. Theor. Appl. Finance 4, No. 6, 853--920 (2001; Zbl 1153.91791) Full Text: DOI OpenURL