Research interests
Risk analysis, dependence in extreme scenarios, heavy-tail analysis, extreme value theory, graphical tools in statistics, spatial statistics, long range dependence, statistical inference for stochastic processes, network traffic modeling, climate modeling, social networks, congestion and queueing.
Recent preprints
- Tail probabilities of random linear functions of regularly varying random vectors (with V. Fasen-Hartmann and C. Klüppelberg), 2020. arXiv
- On the heavy-tail behavior of the distributionally robust newsvendor (with A. Dhara and K. Natarajan), 2019. arXiv
- Growth of common friends in a preferential attachment model (with S. Ghosh), 2019. arXiv
Publications
- Risk concentration under second order regular variation (with M. Kratz), Extremes (forthcoming), 2020+. arXiv
- Worst-case expected shortfall with univariate and bivariate marginals (with A. Dhara and K. Natarajan), INFORMS Journal on Computing (forthcoming), 2020+. arXiv
- Heavy-tailed random walks, buffered queues and hidden large deviations (with H. Bernhard), Bernoulli, 26(1), 61-92, 2020. arXiv
- Conditional excess risk measures and multivariate regular variation (with V. Fasen-Hartmann), Statistics and Risk Modeling, 36(1-4), 1-23, 2019. online
- Risk contagion under regular variation and asymptotic tail independence (with V. Fasen-Hartmann), Journal of Multivariate Analysis, 165, 194-215, 2018. arXiv
- Hidden regular variation under full and strong asymptotic dependence (with S. Resnick), Extremes, 20(4), 873-904, 2017. arXiv
- Detecting tail behavior: mean excess plots with confidence bounds (with S. Ghosh). Extremes, 19(2), 325-349, 2016. arXiv
- Generation and detection of multivariate regular variation and hidden regular variation (with S. Resnick). Stochastic Systems, 5(2), 195-238 (electronic), 2015. arXiv
- Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process (with S. Engelke and E. Hashorva), Stochastic Processes and their Applications, 125(2), 780-796, 2015. arXiv
- Living on the multidimensional edge: seeking hidden risks using regular variation (with A. Mitra and S. Resnick), Advances in Applied Probability, 45(1), 139-163, 2013. arXiv
- Weak limits of exploratory plots in extreme value analysis (with S. Ghosh), Bernoulli, 19(1), 308-343, 2013. arXiv
- Four theorems and a financial crisis (with P. Embrechts and V. Fasen), International Journal of Approximate Reasoning, 54(6), 701-716, 2013. preprint
- On robust tail index estimation for linear long-memory processes (with J. Beran and D. Schell), Journal of Time Series Analysis, 33(3), 406-423, 2012. preprint
- Conditioning on an extreme component: model consistency and regular variation on cones (with S. Resnick), Bernoulli, 17(1), 226-252, 2011. arXiv
- Detecting a conditional extreme value model (with S. Resnick), Extremes, 14(1), 29-61, 2011. arXiv
- QQ plots, random sets and data from a heavy tailed distribution (with S. Resnick), Stochastic Models, 24 (1), 103-132, 2008. arXiv
Thesis, Reports
- The conditional extreme value model and related topics. PhD Thesis, 2009.
- Probabilistic Analysis of flooding at Murgenthal for Kernkraft-Goesgen Däniken (with V. Chavez-Demoulin and P. Embrechts), RiskLab internal report, 2010.