5 citations · 5 across the 2 of their papers we have counts for
2 papers
stat.ME2014
Max-factor individual risk models with application to credit portfolios
Michel Denuit, Anna Kiriliouk, Johan Segers
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence…
stat.ME2014★ 5 cited
Nonparametric estimation of extremal dependence
Anna Kiriliouk, Johan Segers, Michal Warchol
There is an increasing interest to understand the dependence structure of a random vector not only in the center of its distribution but also in the tails. Extreme-value theory tac…