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Modelling Extremal Events: For Insurance and Finance

1st ed. 1997, Corr. 10th printing 2012, 1997

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Integrability conditions for space—time stochastic integrals: Theory and applications

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2015-11, Vol.21 (4), p.2190-2216

2015

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Risk - A Multidisciplinary Introduction

2014, 2014

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Fractional Lévy-driven Ornstein—Uhlenbeck processes and stochastic differential equations

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2011-02, Vol.17 (1), p.484-506

2011

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Max-stable processes for modeling extremes observed in space and time

Journal of the Korean Statistical Society, 2013, 42(3), , pp.399-414

2013

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Max-linear models on directed acyclic graphs

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2018-11, Vol.24 (4A), p.2693-2720

2018

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Modelling extremal dependence for operational risk by a bipartite graph

Journal of banking & finance, 2020-08, Vol.117, p.105855, Article 105855

2020

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Risk in a Large Claims Insurance Market with Bipartite Graph Structure

Operations research, 2016-09, Vol.64 (5), p.1159-1176

2016

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Max-linear models in random environment

Journal of multivariate analysis, 2022-07, Vol.190, p.104999, Article 104999

2022

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Density Functional Theory and Optimal Transportation with Coulomb Cost

Communications on pure and applied mathematics, 2013-04, Vol.66 (4), p.548-599

2013

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Estimating an extreme Bayesian network via scalings

Journal of multivariate analysis, 2021-01, Vol.181, p.104672, Article 104672

2021

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Smoothing of Transport Plans with Fixed Marginals and Rigorous Semiclassical Limit of the Hohenberg–Kohn Functional

Archive for rational mechanics and analysis, 2018-06, Vol.228 (3), p.891-922

2018

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Contagion in Financial Systems: A Bayesian Network Approach

SIAM journal on financial mathematics, 2018-01, Vol.9 (1), p.28-53

2018

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Estimating a directed tree for extremes

Journal of the Royal Statistical Society. Series B, Statistical methodology, 2024-07, Vol.86 (3), p.771-792

2024

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Statistical inference for max-stable processes in space and time

Journal of the Royal Statistical Society. Series B, Statistical methodology, 2013-11, Vol.75 (5), p.791-819

2013

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Statistical models and methods for dependence in insurance data

Journal of the Korean Statistical Society, 2011, 40(2), , pp.125-139

2011

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Combination of multi-mission altimetry data along the Mekong River with spatio-temporal kriging

Journal of geodesy, 2017-05, Vol.91 (5), p.519-534

2017

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Identifiability and estimation of recursive max‐linear models

Scandinavian journal of statistics, 2021-03, Vol.48 (1), p.188-211

2021

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Explicit results on conditional distributions of generalized exponential mixtures

Journal of applied probability, 2020-09, Vol.57 (3), p.760-774

2020

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Partial mean field limits in heterogeneous networks

Stochastic processes and their applications, 2019-12, Vol.129 (12), p.4998-5036

2019

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Testing for non-correlation between price and volatility jumps

Journal of econometrics, 2017-04, Vol.197 (2), p.284-297

2017

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Recursive max-linear models with propagating noise

Electronic journal of statistics, 2021-01, Vol.15 (2)

2021

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Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Finance and stochastics, 2019-10, Vol.23 (4), p.795-826

2019

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Futures pricing in electricity markets based on stable CARMA spot models

Energy economics, 2014-07, Vol.44, p.392-406

2014

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Generalized fractional Lévy processes with fractional Brownian motion limit

Advances in applied probability, 2015-12, Vol.47 (4), p.1108-1131

2015

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Modelling Extremal Events: For Insurance and Finance

Integrability conditions for space—time stochastic integrals: Theory and applications

Risk - A Multidisciplinary Introduction

Fractional Lévy-driven Ornstein—Uhlenbeck processes and stochastic differential equations

Max-stable processes for modeling extremes observed in space and time

Max-linear models on directed acyclic graphs

Modelling extremal dependence for operational risk by a bipartite graph

Risk in a Large Claims Insurance Market with Bipartite Graph Structure

Max-linear models in random environment

Density Functional Theory and Optimal Transportation with Coulomb Cost

Estimating an extreme Bayesian network via scalings

Smoothing of Transport Plans with Fixed Marginals and Rigorous Semiclassical Limit of the Hohenberg–Kohn Functional

Contagion in Financial Systems: A Bayesian Network Approach

Estimating a directed tree for extremes

Statistical inference for max-stable processes in space and time

Statistical models and methods for dependence in insurance data

Combination of multi-mission altimetry data along the Mekong River with spatio-temporal kriging

Identifiability and estimation of recursive max‐linear models

Explicit results on conditional distributions of generalized exponential mixtures

Partial mean field limits in heterogeneous networks

Testing for non-correlation between price and volatility jumps

Recursive max-linear models with propagating noise

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Futures pricing in electricity markets based on stable CARMA spot models

Generalized fractional Lévy processes with fractional Brownian motion limit

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