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math.ST2026
Estimating the Hüsler--Reiss variogram matrix by clipped moments
Shuang Hu, Johan Segers
In multivariate extreme value analysis, the tail dependence between some of the risk variables at hand may be weak, even when other variables do tend to become large simultaneously…
math.ST2023
Multivariate generalized Pareto distributions along extreme directions
Anas Mourahib, Anna Kiriliouk, Johan Segers
When modeling a vector of risk variables, extreme scenarios are often of special interest. The peaks-over-thresholds method hinges on the notion that, asymptotically, the excesses…