5 citations · 6 across the 12 of their papers we have counts for
3 papers · 1 filter
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…
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…
An M-estimator of spatial tail dependence
John Einmahl, Anna Kiriliouk, Andrea Krajina +1
Tail dependence models for distributions attracted to a max-stable law are fitted using observations above a high threshold. To cope with spatial, high-dimensional data, a rank-bas…