Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation
By Bikramjit Das, Abhimanyu Mitra, Sidney I. Resnick. Advances in Applied Probability, 2011
56 citations recorded by the source corpus.
Multivariate regular variation plays a role in assessing tail risk in diverse applications such as finance, telecommunications, insurance, and environmental science. The classical theory, being based on an asymptotic model, sometimes leads to inaccurate and useless estimates of probabilities of joint tail regions. This problem can be partly ameliorated by using hidden regular variation (see Resnick (2002) and Mitra and Resnick (2011)). We offer a more flexible definition of hidden regular variation that provides improved risk estimates for a larger class of tail risk regions.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/a9524584e77be6d67323c772f786c81234c5fd53
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Jennifer L. Wadsworth
- Jonathan A. Tawn
- Sidney I. Resnick
- A. C. Davison
- Emilie Chautru
- Emma S. Simpson
- Joyjit Roy
- Filip Lindskog
In Statistics and Probability
- Jonathan A. Tawn
- Jennifer L. Wadsworth
- Emilie Chautru
- Emma S. Simpson
- Filip Lindskog
- Joyjit Roy
- Sidney I. Resnick
- Bikramjit Das
Citations in the corpus
- Dimension reduction in multivariate extreme value analysis (2015, background): “It can be directly linked to the concept of hidden regular variation introduced in Das and Resnick (2011); Das et al. (2013); Heffernan and Resnick (2005); Resnick (2002, 2007, 2008).”
- Determining the dependence structure of multivariate extremes (2018, background): “ones leads to understanding of the sub-asymptotic behaviour of in relation to which of these sub-cones of E are charged with mass. This is analogous to determining the support of H; see Section 2.4. Das et al. (2013) also consider hidden regular variation on a series of nonstandard cones from a theo”
- Regularly Varying Measures on Metric Spaces: Hidden Regular Variation and Hidden Jumps (2013, background): “Abstract: We develop a framework for regularly varying measures on complete separable metric spaces S with a closed cone C removed, extending material in [15, 24].”