In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high{dimensional and bivariate simplifications would produce misleading results. This occurs when a significant portion of the...

In this paper we develop a class of applied probabilistic continuous time but discretized state space decompositions of the characterization of a multivariate generalized diffusion process. This decomposition is novel and, in particular, it allows one to construct families of mimicking classes...

Bundling is pervasive in many markets. Optimal bundle pricing requires learning the joint distribution of consumer valuations for items in the bundle, that is, consumers' willingness to pay for the items. However, retailers typically do not observe this quantity. In this work, we develop a...