research
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06/19/2023
Robust and non asymptotic estimation of probability weighted moments with application to extreme value analysis
In extreme value theory and other related risk analysis fields, probabil...
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01/18/2023
Parametric insurance for extreme risks: the challenge of properly covering severe claims
Parametric insurance has emerged as a practical way to cover risks that ...
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09/22/2022
Anomaly Detection on Financial Time Series by Principal Component Analysis and Neural Networks
A major concern when dealing with financial time series involving a wide...
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12/20/2021
Generalized Pareto Regression Trees for extreme events analysis
In this paper, we provide finite sample results to assess the consistenc...
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10/23/2019
