22 citations · 25 across the 6 of their papers we have counts for
6 papers
Robust and non asymptotic estimation of probability weighted moments with application to extreme value analysis
Anna Ben-Hamou, Philippe Naveau, Maud Thomas
In extreme value theory and other related risk analysis fields, probability weighted moments (PWM) have been frequently used to estimate the parameters of classical extreme value d…
Parametric insurance for extreme risks: the challenge of properly covering severe claims
Olivier Lopez, Maud Thomas
Parametric insurance has emerged as a practical way to cover risks that may be difficult to assess. By introducing a parameter that triggers compensation and allows the insurer to…
Generalized Pareto Regression Trees for extreme events analysis
Sébastien Farkas, Antoine Heranval, Olivier Lopez +1
In this paper, we provide finite sample results to assess the consistency of Generalized Pareto regression trees, as tools to perform extreme value regression. The results that we…
Real-time prediction of severe influenza epidemics using Extreme Value Statistics
Maud Thomas, Holger Rootzén
Each year, seasonal influenza epidemics cause hundreds of thousands of deaths worldwide and put high loads on health care systems. A main concern for resource planning is the risk…
Tail index estimation, concentration and adaptivity
Stéphane Boucheron, Maud Thomas
This paper presents an adaptive version of the Hill estimator based on Lespki's model selection method. This simple data-driven index selection method is shown to satisfy an oracle…
Concentration inequalities for order statistics
Stephane Boucheron, Maud Thomas
This note describes non-asymptotic variance and tail bounds for order statistics of samples of independent identically distributed random variables. Those bounds are checked to be…