3 citations · 6 across the 6 of their papers we have counts for
4 papers · 1 filter
Modeling Multiple Risks: Hidden Domain of Attraction
Abhimanyu Mitra, Sidney I. Resnick
Hidden regular variation is a sub-model of multivariate regular variation and facilitates accurate estimation of joint tail probabilities. We generalize the model of hidden regular…
Living on the multi-dimensional edge: seeking hidden risks using regular variation
Bikramjit Das, Abhimanyu Mitra, Sidney Resnick
Multivariate regular variation plays a role assessing tail risk in diverse applications such as finance, telecommunications, insurance and environmental science. The classical theo…
Hidden Regular Variation: Detection and Estimation
Abhimanyu Mitra, Sidney I. Resnick
Hidden regular variation defines a subfamily of distributions satisfying multivariate regular variation on and models an…
Aggregation of Risks and Asymptotic independence
Abhimanyu Mitra, Sidney I. Resnick
We study the tail behavior of the distribution of the sum of asymptotically independent risks whose marginal distributions belong to the maximal domain of attraction of the Gumbel…