Recently, new classes of positive and measurable functions, M(ρ) and M(±∞), have been defined in terms of their asymptotic behaviour at infinity, when normalized by a logarithm (Cadena et al., 2015, 2016, 2017). Looking for other suitable normalizing functions than logarithm seems quite...

We define a new class of positive and Lebesgue measurable functions in terms of their asymptotic behavior, which includes the class of regularly varying functions. We also characterize it by transformations, corresponding to generalized moments when these functions are random variables. We study...

In this paper, we develop a statistical approach to explore empirically the dependence between risks in the extremes. We apply it to study the dependence between mortality and market risks. With data for 6 developed countries, extending over 80 years, we pick the worst 10 years of mortality and...

In this paper, we review the concept of risk, its evolution in history and the big changes we experienced in the last 50 years. We conclude that peak risks are growing and the need for risk management is becoming a societal demand. Two phenomena are identified to render risks more complex,...

When a random field (Xt; t 2 R2) is thresholded on a given level u, the excursion set is given by its indicator 1[u;1)(Xt). The purpose of this work is to study functionals (as established in stochastic geometry) of these random excursion sets, as e.g. the capacity functional as well as the...

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES...

This paper proposes a Near Explosive Random-Coefficient autoregressive model for asset pricing which accommodates both the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be stationary with or without fat tails, unit-root nonstationary...