3 papers
math.ST2024
Tail Asymptotic of Heavy-Tail Risks with Elliptical Copula
Kai Wang, Chengxiu Ling
We consider a family of multivariate distributions with heavy-tailed margins and the type I elliptical dependence structure. This class of risks is common in finance, insurance, en…
stat.AP2023
Pricing Multi-event Triggered Catastrophe Bonds Based on Copula-POT Model
Yifan Tang, Chengxiu Ling, Conghua Wen
The constantly expanding frequency and loss affected by natural disasters pose a severe challenge to the traditional catastrophe insurance market. This paper aims to develop an inn…
math.PR2014
Extremes of order statistics of self-similar processes
Chengxiu Ling
Let be independent copies of a random process . For a given positive constant , define the set of th conjunctions $C_r(u):=\{…