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08/12/2021
A new class of copula regression models for modelling multivariate heavy-tailed data
A new class of copulas, termed the MGL copula class, is introduced. The ...
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05/12/2021
Trimmed extreme value estimators for censored heavy-tailed data
We consider estimation of the extreme value index and extreme quantiles ...
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04/10/2020
Tempered Pareto-type modelling using Weibull distributions
In various applications of heavy-tail modelling, the assumed Pareto beha...
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12/19/2019
Generalizing the log-Moyal distribution and regression models for heavy tailed loss data
Catastrophic loss data are known to be heavy-tailed. Practitioners then ...
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12/10/2019
Center-outward quantiles and the measurement of multivariate risk
All multivariate extensions of the univariate theory of risk measurement...
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12/05/2019
Outlier detection and a tail-adjusted boxplot based on extreme value theory
Whether an extreme observation is an outlier or not, depends strongly on...
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08/09/2019
Combined Tail Estimation Using Censored Data and Expert Information
We study tail estimation in Pareto-like settings for datasets with a hig...
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03/19/2019
Trimming and threshold selection in extremes
We consider removing lower order statistics from the classical Hill esti...
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10/02/2018
Bias Reduced Peaks over Threshold Tail Estimation
In recent years several attempts have been made to extend tail modelling...
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04/18/2018