Marginal expected shortfall is unquestionably one of the most popular
sy...
Extreme Value Theory plays an important role to provide approximation re...
The use of expectiles in risk management contexts has recently gathered
...
The block maxima method is one of the most popular approaches for extrem...
This paper investigates pooling strategies for tail index and extreme
qu...
The notion of expectiles, originally introduced in the context of testin...
Expectiles define a least squares analogue of quantiles. They have latel...
Estimation of extreme quantile regions, spaces in which future extreme e...
Predicting extreme events is important in many applications in risk anal...
The skew-normal and related families are flexible and asymmetric paramet...
For a zero-mean, unit-variance second-order stationary univariate Gaussi...
For a zero-mean, unit-variance second-order stationary univariate Gaussi...
The skew-normal and related families are flexible and asymmetric paramet...
Risk analysis in the area of insurance, financial and risk management is...