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Practical analysis of extreme values
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Practical analysis of extreme values (1997)Practical analysis of extreme valuesCompound unimodal distributions for insurance losses (2017)Compound unimodal distributio…Managing extreme risk in some major stock markets: An extreme value approach (2014)Managing extreme risk in some…Universal behaviour of interoccurrence times between losses in financial markets: An analytical description (2011)Universal behaviour of intero…New Goodness-of-Fit Tests for Pareto Distributions (2009)New Goodness-of-Fit Tests for…Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions (2008)Statistics of extremes for II…The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance (2005)The Tail Probability of Disco…Overnight borrowing, interest rates and extreme value theory (2005)Overnight borrowing, interest…Local polynomial maximum likelihood estimation for Pareto-type distributions (2003)Local polynomial maximum like…Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database (2003)Generalized Pareto Fit to the…Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data (2003)Favorable Estimators for Fitt…Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins (2002)Market Fluctuations I: Scalin…The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange (2001)The limiting extremal behavio…Heavy-Tailed Distributions and Rating (2001)Heavy-Tailed Distributions an…Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution (2000)Robust and Efficient Estimati…Portfolio selection with limited downside risk (2000)Portfolio selection with limi…“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998 (1998)“Understanding Relationships …The Asymptotic Theory of Extreme Order Statistics (1990)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)Stochastic bounds on sums of dependent risks (1999)Asymptotics for risk capital allocations based on Conditional Tail Expectation (2011)Tests of symmetry for bivariate copulas (2011)Residual Life Time at Great Age (1974)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Non-life rate-making with Bayesian GAMs (2004)A robust estimator for the tail index of Pareto-type distributions (2007)Composite Lognormal–Pareto model with random threshold (2010)Modern Portfolio Theory and Investment Analysis. 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  • 1998“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998115 cited
  • 2002Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins114 cited
  • 2005The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance104 cited
  • 2003Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database91 cited
  • 2000Portfolio selection with limited downside risk90 cited
  • 2001Heavy-Tailed Distributions and Rating86 cited
  • 2000Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution82 cited
  • 2011Universal behaviour of interoccurrence times between losses in financial markets: An analytical description75 cited
  • 2017Compound unimodal distributions for insurance losses73 cited
  • 2001The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange71 cited
  • 2008Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions57 cited
  • 2003Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data56 cited
  • 2009New Goodness-of-Fit Tests for Pareto Distributions55 cited

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2003
Local polynomial maximum likelihood estimation for Pareto-type distributions
54 cited
  • 2005Overnight borrowing, interest rates and extreme value theory41 cited
  • 2014Managing extreme risk in some major stock markets: An extreme value approach38 cited