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Tail risk driven by investment losses and exogenous shocks
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- ASTIN Bulletin: The Journal of the IAA / Volume 54 / Issue 3 / September 2024
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- 10 October 2024, pp. 712-737
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- September 2024
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Asymptotic results on tail moment and tail central moment for dependent risks
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- Advances in Applied Probability / Volume 55 / Issue 4 / December 2023
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- 08 May 2023, pp. 1116-1143
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- December 2023
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Extreme Behaviors of the Tail Gini-Type Variability Measures
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- Probability in the Engineering and Informational Sciences / Volume 37 / Issue 4 / October 2023
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- 23 September 2022, pp. 928-942
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Limit theorems and structural properties of the cat-and-mouse Markov chain and its generalisations
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- Advances in Applied Probability / Volume 54 / Issue 1 / March 2022
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- 28 February 2022, pp. 141-166
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- March 2022
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Sparse regular variation
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- Advances in Applied Probability / Volume 53 / Issue 4 / December 2021
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- 22 November 2021, pp. 1115-1148
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- December 2021
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One- versus multi-component regular variation and extremes of Markov trees
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- Advances in Applied Probability / Volume 52 / Issue 3 / September 2020
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- 24 September 2020, pp. 855-878
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- September 2020
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On the occupancy problem for a regime-switching model
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- Journal of Applied Probability / Volume 57 / Issue 1 / March 2020
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- 04 May 2020, pp. 53-77
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- March 2020
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Gumbel and Fréchet convergence of the maxima of independent random walks
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- Advances in Applied Probability / Volume 52 / Issue 1 / March 2020
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- 29 April 2020, pp. 213-236
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- March 2020
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Extremes of multitype branching random walks: heaviest tail wins
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- Advances in Applied Probability / Volume 51 / Issue 2 / June 2019
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- 07 August 2019, pp. 514-540
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- June 2019
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On perpetuities with light tails
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- Advances in Applied Probability / Volume 50 / Issue 4 / December 2018
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- 29 November 2018, pp. 1119-1154
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- December 2018
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SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION
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- ASTIN Bulletin: The Journal of the IAA / Volume 48 / Issue 2 / May 2018
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- 18 December 2017, pp. 673-698
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- May 2018
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Ergodicity of Markov chain Monte Carlo with reversible proposal
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- Journal of Applied Probability / Volume 54 / Issue 2 / June 2017
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- 22 June 2017, pp. 638-654
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- June 2017
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Large deviations of means of heavy-tailed random variables with finite moments of all orders
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- Journal of Applied Probability / Volume 54 / Issue 1 / March 2017
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- 04 April 2017, pp. 66-81
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- March 2017
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One-component regular variation and graphical modeling of extremes
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- Journal of Applied Probability / Volume 53 / Issue 3 / September 2016
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- 24 October 2016, pp. 733-746
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- September 2016
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A direct approach to the stable distributions
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- Advances in Applied Probability / Volume 48 / Issue A / July 2016
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- 25 July 2016, pp. 261-282
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- July 2016
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The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process
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- Advances in Applied Probability / Volume 48 / Issue A / July 2016
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- 25 July 2016, pp. 217-233
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- July 2016
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Generalized fractional Lévy processes with fractional Brownian motion limit
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- Advances in Applied Probability / Volume 47 / Issue 4 / December 2015
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- 21 March 2016, pp. 1108-1131
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- December 2015
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Convergence to Stable Laws in the Space D
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- Journal of Applied Probability / Volume 52 / Issue 1 / March 2015
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- 30 January 2018, pp. 1-17
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- March 2015
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General inverse problems for regular variation
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- Journal of Applied Probability / Volume 51 / Issue A / December 2014
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- 30 March 2016, pp. 229-248
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- December 2014
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Hidden regular variation of moving average processes with heavy-tailed innovations
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- Journal of Applied Probability / Volume 51 / Issue A / December 2014
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- 30 March 2016, pp. 267-279
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- December 2014
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