2 citations · 7 across the 18 of their papers we have counts for
21 papers
Multivariate Ruin in Lévy-driven Insurance Risk Models under Heavy Tails
Bikramjit Das, Vicky Fasen-Hartmann
The paper studies finite-horizon ruin for an insurance company with several lines of business admitting heavy-tailed claims. The claim amount process of the insurance company is mo…
Statistical inference for extremal directions in high-dimensional spaces
Lucas Butsch, Vicky Fasen-Hartmann
In multivariate extreme value statistics, the first step in understanding the dependence structure of extremes is identifying the directions in which they occur. The novelty of thi…
Estimation of the number of principal components in high-dimensional multivariate extremes
Lucas Butsch, Vicky Fasen-Hartmann
For multivariate regularly random vectors of dimension , the dependence structure of the extremes is modeled by the so-called angular measure. When the dimension is high, es…
Information criteria for the number of directions of extremes in high-dimensional data
Lucas Butsch, Vicky Fasen-Hartmann
In multivariate extreme value analysis, the estimation of the dependence structure in extremes is demanding, especially in the context of high-dimensional data. Therefore, a common…
Asymptotic independence in higher dimensions and its implications on risk management
Bikramjit Das, Vicky Fasen-Hartmann
In the study of extremes, the presence of asymptotic independence signifies that extreme events across multiple variables are probably less likely to occur together. Although well-…
Partial correlation graphs for continuous-parameter time series
Vicky Fasen-Hartmann, Lea Schenk
In this paper, we establish the partial correlation graph for multivariate continuous-time stochastic processes, assuming only that the underlying process is stationary and mean-sq…
Mixed orthogonality graphs for continuous-time state space models and orthogonal projections
Vicky Fasen-Hartmann, Lea Schenk
In this paper, we derive (local) orthogonality graphs for the popular continuous-time state space models, including in particular multivariate continuous-time ARMA (MCARMA) process…
Measuring risk contagion in financial networks with CoVaR
Bikramjit Das, Vicky Fasen-Hartmann
The stability of a complex financial system may be assessed by measuring risk contagion between various financial institutions with relatively high exposure. We consider a financia…
Mixed orthogonality graphs for continuous-time stationary processes
Vicky Fasen-Hartmann, Lea Schenk
In this paper, we introduce different concepts of Granger causality and contemporaneous correlation for multivariate stationary continuous-time processes to model different depende…
On heavy-tailed risks under Gaussian copula: the effects of marginal transformation
Bikramjit Das, Vicky Fasen-Hartmann
In this paper, we compute multivariate tail risk probabilities where the marginal risks are heavy-tailed and the dependence structure is a Gaussian copula. The marginal heavy-taile…
Aggregating heavy-tailed random vectors: from finite sums to Lévy processes
Bikramjit Das, Vicky Fasen-Hartmann
The tail behavior of aggregates of heavy-tailed random vectors is known to be determined by the so-called principle of "one large jump'', be it for finite sums, random sums, or, Lé…
Empirical spectral processes for stationary state space models
Vicky Fasen-Hartmann, Celeste Mayer
In this paper, we consider function-indexed normalized weighted integrated periodograms for equidistantly sampled multivariate continuous-time state space models which are multivar…
Factorization and discrete-time representation of multivariate CARMA processes
Vicky Fasen-Hartmann, Markus Scholz
In this paper we show that stationary and non-stationary multivariate continuous-time ARMA (MCARMA) processes have the representation as a sum of multivariate complex-valued Ornste…
A note on estimation of -stable CARMA processes sampled at low frequencies
Vicky Fasen-Hartmann, Celeste Mayer
In this paper, we investigate estimators for symmetric -stable CARMA processes sampled equidistantly. Simulation studies suggest that the Whittle estimator and the estimator pre…
Whittle estimation for stationary state space models with finite second moments
Vicky Fasen-Hartmann, Celeste Mayer
In this paper, we consider the Whittle estimator for the parameters of a stationary solution of a continuous-time linear state space model sampled at low frequencies. In our contex…
Tail probabilities of random linear functions of regularly varying random vectors
Bikramjit Das, Vicky Fasen-Hartmann, Claudia Klüppelberg
We provide a new extension of Breiman's Theorem on computing tail probabilities of a product of random variables to a multivariate setting. In particular, we give a complete charac…
Robust estimation of stationary continuous-time ARMA models via indirect inference
Vicky Fasen-Hartmann, Sebastian Kimmig
In this paper we present a robust estimator for the parameters of a continuous-time ARMA(p,q) (CARMA(p,q)) process sampled equidistantly which is not necessarily Gaussian. Therefor…
Hidden regular variation, copula models, and the limit behavior of conditional excess risk measures
Bikramjit Das, Vicky Fasen-Hartmann
Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenari…
Quasi-maximum likelihood estimation for cointegrated continuous-time state space models observed at low frequencies
Vicky Fasen-Hartmann, Markus Scholz
In this paper, we investigate quasi-maximum likelihood (QML) estimation for the parameters of a cointegrated solution of a continuous-time linear state space model observed at disc…
Cointegrated Continuous-time Linear State Space and MCARMA Models
Vicky Fasen-Hartmann, Markus Scholz
In this paper we define and characterize cointegrated continuous-time linear state-space models. A main result is that a cointegrated continuous-time linear state-space model can b…
Risk contagion under regular variation and asymptotic tail independence
Bikramjit Das, Vicky Fasen
Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk c…