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math.PR2011
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…
math.PR2011
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…