Asymptotic properties of the harmonic moment tail index Estimator are derived for distributions with regularly varying tails. The estimator shows good robustness properties and stands out for its simplicity. A tuning parameter allows for regulating the trade-off between robustness and...

A flexible class of anisotropic stationary lattice processes with long memory can be defined in terms of a two-way fractional ARIMA (FARIMA) representation. We consider parameter estimation based on minimizing an approximate residual sum of squares. The method can be applied to sampling areas...

A new approach to tail index estimation based on huberization of the Pareto MLE is considered. The proposed estimator is robust in a nonstandard way in that it protects against deviations from the central model at low quantiles. Asymptotic normality with the parametric n-rate of convergence is...

Abstract Conditional excess risk measures like Marginal Expected Shortfall and Marginal Mean Excess are designed to aid in quantifying systemic risk or risk contagion in a multivariate setting. In the context of insurance, social networks, and telecommunication, risk factors often tend to be...

We analyze risk diversification in a portfolio of heavy-tailed risk factors under the assumption of second order multivariate regular variation. Asymptotic limits for a measure of diversification benefit are obtained when considering, for instance, the value-at-risk. The asymptotic limits are...

Since the seminal work of Scarf (1958) [A min-max solution of an inventory problem, Studies in the Mathematical Theory of Inventory and Production, pages 201-209] on the newsvendor problem with ambiguity in the demand distribution, there has been a growing interest in the study of the...

Multivariate regular variation plays a role 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...