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Aggregation of rapidly varying risks and asymptotic independence
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Aggregation of rapidly varying risks and asymptotic independence (2009)Aggregation of rapidly varying risks and …The Pareto Copula, Aggregation of Risks, and the Emperor's Socks (2008)The Pareto Copula, Aggregatio…Sums of Dependent Nonnegative Random Variables with Subexponential Tails (2008)Sums of Dependent Nonnegative…Asymptotics of sums of lognormal random variables with Gaussian copula (2008)Asymptotics of sums of lognor…Stochastic Simulation (2007)Stochastic SimulationTail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation (2006)Tail Probabilities of Randoml…Tail asymptotics for the sum of two heavy-tailed dependent risks (2006)Tail asymptotics for the sum …Extreme Value Theory (2006)Extreme Value TheoryExtreme Value Theory : An Introduction (2006)Extreme Value Theory : An Int…Bounds for Functions of Dependent Risks (2006)Bounds for Functions of Depen…Diversification of aggregate dependent risks (2004)Diversification of aggregate …Modelling Extremal Events (1997)Modelling Extremal EventsExtremes of moving averages of random variables from the domain of attraction of the double exponential distribution (1988)Extremes of moving averages o…Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution (1988)Distributions that are both s…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Extreme Value Theory for Moving Average Processes (1986)Extreme Value Theory for Movi…Tail equivalence and its applications (1971)Tail equivalence and its appl…Modelling of extremal events in insurance and finance (1994)An Introduction to Copulas (1999)On Sums of Conditionally Independent Subexponential Random Variables (2009)Tail behavior of sums and differences of log-normal random variables (2015)Subexponentiality of the product of independent random variables (1994)Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation (2010)Tail behavior of the product of two dependent random variables with applications to risk theory (2012)Random variables, joint distribution functions, and copulas (1973)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)The complete mixability and convex minimization problems with monotone marginal densities (2011)Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities (2013)Risk aggregation with dependence uncertainty (2013)Applied Probability and Queues (1987)Modeling, Measuring and Hedging Operational Risk (2002)Efficient simulation of tail probabilities of sums of correlated lognormals (2009)Asymptotics for risk capital allocations based on Conditional Tail Expectation (2011)Extreme Correlation of International Equity Markets (2001)Perpetuities and Random Equations (1994)Copulas: A Personal View (2009)Extreme-Value Copulas (2010)Extreme events: dynamics, statistics and prediction (2011)Empirical properties of asset returns: stylized facts and statistical issues (2001)Conditional value-at-risk for general loss distributions (2002)A Guide to Sample Average Approximation (2014)Simulation Modeling and Analysis (2016)A unified framework for stochastic optimization (2018)Stationary max-stable fields associated to negative definite functions (2009)Statistical Modeling of Spatial Extremes (2012)Risk management with expectiles (2015)
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References

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  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2006Extreme Value Theory : An Introduction1,564 cited
  • 2007Stochastic Simulation1,121 cited
  • 2006Extreme Value Theory442 cited
  • 2006Bounds for Functions of Dependent Risks146 cited
  • 2008Asymptotics of sums of lognormal random variables with Gaussian copula110 cited
  • 2006Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation98 cited
  • 2008Sums of Dependent Nonnegative Random Variables with Subexponential Tails89 cited
  • 1986Extreme Value Theory for Moving Average Processes87 cited
  • 2006Tail asymptotics for the sum of two heavy-tailed dependent risks79 cited
  • 1988Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution73 cited
  • 1988Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution71 cited
  • 1971Tail equivalence and its applications71 cited
  • 2004Diversification of aggregate dependent risks62 cited
  • 2008

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The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
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