Simone A. Padoan | DeepAI

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∙ 04/15/2023

Marginal expected shortfall inference under multivariate regular variation

Marginal expected shortfall is unquestionably one of the most popular sy...

0 Simone A. Padoan, et al. ∙

∙ 01/05/2023

Strong Convergence of Peaks Over a Threshold

Extreme Value Theory plays an important role to provide approximation re...

0 Simone A. Padoan, et al. ∙

∙ 10/05/2022

Extreme expectile estimation for short-tailed data

The use of expectiles in risk management contexts has recently gathered ...

0 Abdelaati Daouia, et al. ∙

∙ 04/11/2022

Empirical Bayes inference for the block maxima method

The block maxima method is one of the most popular approaches for extrem...

0 Simone A. Padoan, et al. ∙

∙ 11/04/2021

Optimal pooling and distributed inference for the tail index and extreme quantiles

This paper investigates pooling strategies for tail index and extreme qu...

0 Abdelaati Daouia, et al. ∙

∙ 07/17/2020

Joint inference on extreme expectiles for multivariate heavy-tailed distributions

The notion of expectiles, originally introduced in the context of testin...

0 Simone A. Padoan, et al. ∙

∙ 04/08/2020

Extreme expectile estimation for heavy-tailed time series

Expectiles define a least squares analogue of quantiles. They have latel...

0 Simone A. Padoan, et al. ∙

∙ 04/17/2019

Estimation and uncertainty quantification for extreme quantile regions

Estimation of extreme quantile regions, spaces in which future extreme e...

0 Boris Beranger, et al. ∙

∙ 03/30/2019

Strong Consistency of Nonparametric Bayesian Inferential Methods for Multivariate Max-Stable Distributions

Predicting extreme events is important in many applications in risk anal...

0 Simone A. Padoan, et al. ∙

∙ 09/28/2018

Extremal properties of the multivariate extended skew-normal distribution

The skew-normal and related families are flexible and asymmetric paramet...

0 Boris Beranger, et al. ∙

∙ 07/01/2018

Records for Some Stationary Dependent Sequences

For a zero-mean, unit-variance second-order stationary univariate Gaussi...

0 Michael Falk, et al. ∙

∙ 07/01/2018

Records for Some Stationary Dependence Sequences

For a zero-mean, unit-variance second-order stationary univariate Gaussi...

0 Michael Falk, et al. ∙

∙ 05/08/2018

Extremal properties of the extended skew-normal distribution

The skew-normal and related families are flexible and asymmetric paramet...

0 Boris Beranger, et al. ∙

∙ 12/27/2017

Extremes of a Random Number of Multivariate Risks

Risk analysis in the area of insurance, financial and risk management is...

0 Enkelejd Hashorva, et al. ∙

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