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

  1. Tail probabilities of random linear functions of regularly varying random vectors (with V. Fasen-Hartmann and C. Klüppelberg), 2019. arXiv
  2. A note on the classification and complexity of assortment problems under Marginal Distribution Model (with S. D. Ahipasaoglu and Z. Sun), 2019.
  3. Growth of common friends in a preferential attachment model (with S. Ghosh), 2018. arXiv
  4. On the heavy-tail behavior of the distributionally robust newsvendor (with A. Dhara and K. Natarajan), 2018. arXiv
  5. Diversification benefits under multivariate second order regular variation (with M. Kratz), 2017. arXiv


  1. Worst-case expected shortfall with univariate and bivariate marginals (with A. Dhara and K. Natarajan), INFORMS Journal of Computing (forthcoming), 2019. arXiv
  2. Conditional excess risk measures and multivariate regular variation (with V. Fasen-Hartmann), Statistics and Risk Modeling (forthcoming), 2019. online
  3. Heavy-tailed random walks, buffered queues and hidden large deviations (with H. Bernhard), Bernoulli, 26(1), 61-92, 2020. arXiv
  4. Risk contagion under regular variation and asymptotic tail independence (with V. Fasen-Hartmann), Journal of Multivariate Analysis, 165, 194-215, 2018. arXiv
  5. Hidden regular variation under full and strong asymptotic dependence (with S. Resnick), Extremes, 20(4), 873-904, 2017. arXiv
  6. Detecting tail behavior: mean excess plots with confidence bounds (with S. Ghosh). Extremes, 19(2), 325-349, 2016. arXiv
  7. Generation and detection of multivariate regular variation and hidden regular variation (with S. Resnick). Stochastic Systems, 5(2), 195-238 (electronic), 2015. arXiv
  8. 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
  9. 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
  10. Weak limits of exploratory plots in extreme value analysis (with S. Ghosh), Bernoulli, 19(1), 308-343, 2013. arXiv
  11. Four theorems and a financial crisis (with P. Embrechts and V. Fasen), International Journal of Approximate Reasoning, 54(6), 701-716, 2013. preprint
  12. 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
  13. Conditioning on an extreme component: model consistency and regular variation on cones (with S. Resnick), Bernoulli, 17(1), 226-252, 2011. arXiv
  14. Detecting a conditional extreme value model (with S. Resnick), Extremes, 14(1), 29-61, 2011. arXiv
  15. QQ plots, random sets and data from a heavy tailed distribution (with S. Resnick), Stochastic Models, 24 (1), 103-132, 2008. arXiv
  16. The conditional extreme value model and related topics. PhD Thesis, 2009.

Unpublished Reports

  • Probabilistic Analysis of flooding at Murgenthal for Kernkraft-Goesgen Däniken (with V. Chavez-Demoulin and P. Embrechts), RiskLab internal report, 2010.


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