output
20052026
most citedOperational Research: Methods and Applications

120 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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Showing math.PRShow all

5 papers · 1 filter

math.PR2017★ 2 cited

Risk concentration under second order regular variation

Bikramjit Das, Marie Kratz

Measures of risk concentration and their asymptotic behavior for portfolios with heavy-tailed risk factors is of interest in risk management. Second order regular variation is a st…

math.PR2014

An extension of the class of regularly varying functions

Meitner Cadena, Marie Kratz

We define a new class of positive and Lebesgue measurable functions in terms of their asymptotic behavior, which includes the class of regularly varying functions. We also characte…

math.PR2014

On the capacity functional of excursion sets of Gaussian random fields on

Marie Kratz, Werner Nagel

When a random field is thresholded on a given level , the excursion set is given by its indicator . The purpose of this work…

math.PR2006★ 83 cited

Level crossings and other level functionals of stationary Gaussian processes

Marie F. Kratz

This paper presents a synthesis on the mathematical work done on level crossings of stationary Gaussian processes, with some extensions. The main results [(factorial) moments, repr…

math.PR2005★ 4 cited

Options on Hedge Funds under the High Water Mark Rule

Marc Atlan, Hélyette Geman, Marc Yor

The rapidly growing hedge fund industry has provided individual and institutional investors with new investment vehicles and styles of management. It has also brought forward a new…