3 papers
math.ST2023
Characterization of valid auxiliary functions for representations of extreme value distributions and their max-domains of attraction
Miriam Isabel Seifert
In this paper we study two important representations for extreme value distributions and their max-domains of attraction (MDA), namely von Mises representation (vMR) and variation…
q-fin.RM2016
Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits
Claudia Klüppelberg, Miriam Isabel Seifert
We analyze systems of agents sharing light-tailed risky claims issued by different financial objects. Assuming exponentially distributed claims, we obtain that both agents' and sys…
math.PR2013
A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values
Ph. Barbe, Miriam Isabel Seifert
We consider a real random variable X represented through a random pair of real random variables (R,T) and a deterministic function u as X=Ru(T). Under some additional assumptions,…