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.

• ArXiv: https://arxiv.org/a/das_b_1
• ORCID https://orcid.org/0000-0002-6172-8228

Recent preprints

20. Tail probabilities of random linear functions of regularly varying random vectors (with V. Fasen-Hartmann and C. Klüppelberg), 2020. arXiv
21. A note on the classification and complexity of assortment problems under Marginal Distribution Model (with S. D. Ahipasaoglu and Z. Sun), 2020. preprint
22. On the heavy-tail behavior of the distributionally robust newsvendor (with A. Dhara and K. Natarajan), 2019. arXiv
23. Growth of common friends in a preferential attachment model (with S. Ghosh), 2019. arXiv

Publications

1. Risk concentration under second order regular variation (with M. Kratz), Extremes (forthcoming), 2020+. arXiv
2. Worst-case expected shortfall with univariate and bivariate marginals (with A. Dhara and K. Natarajan), INFORMS Journal on Computing (forthcoming), 2020+. arXiv
3. Heavy-tailed random walks, buffered queues and hidden large deviations (with H. Bernhard), Bernoulli, 26(1), 61-92, 2020. arXiv
4. Conditional excess risk measures and multivariate regular variation (with V. Fasen-Hartmann), Statistics and Risk Modeling, 36(1-4), 1-23, 2019. online
5. Risk contagion under regular variation and asymptotic tail independence (with V. Fasen-Hartmann), Journal of Multivariate Analysis, 165, 194-215, 2018. arXiv
6. Hidden regular variation under full and strong asymptotic dependence (with S. Resnick), Extremes, 20(4), 873-904, 2017. arXiv
7. Detecting tail behavior: mean excess plots with confidence bounds (with S. Ghosh). Extremes, 19(2), 325-349, 2016. arXiv
8. Generation and detection of multivariate regular variation and hidden regular variation (with S. Resnick). Stochastic Systems, 5(2), 195-238 (electronic), 2015. arXiv
9. 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
10. 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
11. Weak limits of exploratory plots in extreme value analysis (with S. Ghosh), Bernoulli, 19(1), 308-343, 2013. arXiv
12. Four theorems and a financial crisis (with P. Embrechts and V. Fasen), International Journal of Approximate Reasoning, 54(6), 701-716, 2013. preprint
13. 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
14. Conditioning on an extreme component: model consistency and regular variation on cones (with S. Resnick), Bernoulli, 17(1), 226-252, 2011. arXiv
15. Detecting a conditional extreme value model (with S. Resnick), Extremes, 14(1), 29-61, 2011. arXiv
16. 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.

Presentations

• Heavy tails in a robust newsvendor model, June, 2018. Video
• Multivariate regular variation: full dependence and strong dependence, May, 2016. Video