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math.ST2026
Large and Moderate Deviations for Conservative Tail-Index Estimation
Martijn Gösgens, Bart P. G. van Parys, Bert Zwart
To design systems that are protected against events much rarer than the observational record, extreme-value methods are needed to extrapolate distribution tails. Tail-index estimat…
math.ST2026
Decision-Centric Large Deviations for Data-Driven Capital Buffers in Ruin Models
Yf Henkes, Bart P. G. van Parys, Bert Zwart
We consider an insurance risk model with a random walk structure in which the underlying probability law is unknown. A decision maker observes a statistic computed from h…