Risks of extreme events


Journal Articles


1. Asmussen, Soren; Ivanovs, Jevgenijs; Segers, Johan. On the longest gap between power-rate arrivals. In: Bernoulli : a journal of mathematical statistics and probability, Vol. 25, no. 1, p. 375-394 (2019). doi:10.3150/17-BEJ990. http://hdl.handle.net/2078.1/191354

2. Berghaus, Betina; Segers, Johan. Weak convergence of the weighted empirical beta copula process. In: Journal of Multivariate Analysis, Vol. 166, no. July 2018, p. 266-281 (2018). doi:10.1016/j.jmva.2018.03.009. http://hdl.handle.net/2078.1/196606

3. Bücher, Axel; Segers, Johan. Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series. In: Bernoulli : a journal of mathematical statistics and probability, Vol. 24, no. 2, p. 1427-1462 (2018). doi:10.3150/16-BEJ903. http://hdl.handle.net/2078.1/180480

4. Bücher, Axel; Segers, Johan. On the maximum likelihood estimator for the Generalized Extreme-Value distribution. In: Extremes : statistical theory and applications in science, engineering and economics, Vol. 20, p. 839-872 (2017). doi:10.1007/s10687-017-0292-6. http://hdl.handle.net/2078.1/183984

5. Bücher, Axel; Segers, Johan. Inference for heavy tailed stationary time series based on sliding blocks. In: Electronic Journal of Statistics, Vol. 12, no.1, p. 1098-1125 (2018). doi:10.1214/18-ejs1415. http://hdl.handle.net/2078.1/196603

6. Chiapino, Maël; Sabourin, Anne; Segers, Johan. Identifying groups of variables with the potential of being large simultaneously. In: Extremes, Vol. 22, no. 2, p. 193-222 (2019). doi:10.1007/s10687-018-0339-3. http://hdl.handle.net/2078.1/211880

7. Davis, Richard A.; Drees, Holger; Segers, Johan; Warchoł, Michał. Inference on the tail process with application to financial time series modelling. In: Journal of Econometrics, Vol. 205, no. 2, p. 508-525 (2018). doi:10.1016/j.jeconom.2018.01.009. http://hdl.handle.net/2078.1/198233

8. Denuit, Michel; Kiriliouk, Anna; Segers, Johan. Max-factor individual risk models with application to credit portfolios. In: Insurance: Mathematics and Economics, Vol. 62, p. 162-172 (2015). doi:10.1016/j.insmatheco.2015.03.006. http://hdl.handle.net/2078.1/159060

9. Drees, Holger; Segers, Johan; Warchol, Michal. Statistics for Tail Processes of Markov Chains. In: Extremes : statistical theory and applications in science, engineering and economics, Vol. 18, no. 3, p. 369-402 (2015). doi:10.1007/s10687-015-0217-1. http://hdl.handle.net/2078.1/159066

10. Einmahl, John H. J.; Kiriliouk, Anna; Segers, Johan. A continuous updating weighted least squares estimator of tail dependence in high dimensions. In: Extremes : statistical theory and applications in science, engineering and economics, Vol. 21, no. 2, p. 205-233 (2018). doi:10.1007/s10687-017-0303-7. http://hdl.handle.net/2078.1/189240

11. Einmahl, John; Kiriliouk, Anna; Krajina, Andrea; Segers, Johan. An M-estimator of spatial tail dependence. In: Journal of the Royal Statistical Society. Series B, Statistical methodology, Vol. 78, no. 1, p. 275-298 (2016). http://hdl.handle.net/2078.1/159064

12. Hobæk Haff, Ingrid; Segers, Johan. Nonparametric estimation of pair-copula constructions with the empirical pair-copula. In: Computational Statistics & Data Analysis, Vol. 84, p. 1-13 (2015). doi:10.1016/j.csda.2014.10.020. http://hdl.handle.net/2078.1/154439

13. Kiriliouk, Anna; Rootzén, Holger; Segers, Johan; Wadsworth, Jennifer L. Peaks over thresholds modelling with multivariate generalized Pareto distributions. In: Technometrics, Vol. 61, no. 1, p. 123-135 (2019). doi:10.1080/00401706.2018.1462738 (Accepté/Sous presse). http://hdl.handle.net/2078.1/197273

14. Kiriliouk, Anna; Segers, Johan; Tafakori, Laleh. An estimator of the stable tail dependence function based on the empirical beta copula. In: Extremes, Vol. 21, no. 4, p. 581-600 (2018). doi:10.1007/s10687-018-0315-y. http://hdl.handle.net/2078.1/196605

15. Marcon, Giulia; Padoan, Simone; Naveau, Philippe; Muliere, Pietro; Segers, Johan. Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials. In: Journal of Statistical Planning and Inference, Vol. 183, no.(Available online 3 November 2016), p. 1-17 (2017). doi:10.1016/j.jspi.2016.10.004. http://hdl.handle.net/2078.1/180235

16. Portier, François; Segers, Johan. On the weak convergence of the empirical conditional copula under a simplifying assumption. In: Journal of Multivariate Analysis, Vol. 166, p. 160 - 181 (2018). doi:10.1016/j.jmva.2018.03.002. http://hdl.handle.net/2078.1/196436

17. Portier, François; Segers, Johan. Monte Carlo integration with a growing number of control variates. In: Journal of Applied Probability, Vol. to appear (2019). (Accepté/Sous presse). http://hdl.handle.net/2078.1/218811

18. Rootzén, Holger; Segers, Johan; Wadsworth, Jennifer. Multivariate peaks over thresholds models. In: Extremes : statistical theory and applications in science, engineering and economics, Vol. 21, no. 1, p. 115-145 (2018). doi:10.1007/s10687-017-0294-4. http://hdl.handle.net/2078.1/187125

19. Rootzén, Holger; Segers, Johan; Wadsworth, Jennifer L. Multivariate generalized Pareto distributions: Parametrizations, representations, and properties. In: Journal of Multivariate Analysis, Vol. 165, p. 117-131 (2018). doi:10.1016/j.jmva.2017.12.003. http://hdl.handle.net/2078.1/195214

20. Sabourin, Anne; Segers, Johan. Marginal standardization of upper semicontinuous processes with application to max-stable processes. In: Journal of Applied Probability, Vol. 54, no. 3, p. 773-796 (2017). doi:10.1017/jpr.2017.34. http://hdl.handle.net/2078.1/183731

21. Segers, Johan. Hybrid copula estimators. In: Journal of Statistical Planning and Inference, Vol. 160, p. 23-34 (2015). doi:10.1016/j.jspi.2014.11.006. http://hdl.handle.net/2078.1/154645

22. Segers, Johan. Comments on “Human life is unlimited – but short” by H. Rootzén and D. Zholud. In: Extremes, Vol. 21, no. 3, p. 387–390 (2018). doi:10.1007/s10687-018-0317-9. http://hdl.handle.net/2078.1/197272

23. Segers, Johan; Sibuya, Masaaki; Tsukahara, Hideatsu. The empirical beta copula. In: Journal of Multivariate Analysis, Vol. 155, no.(n/a, Available online 1 December 2016), p. 35-51 (2017). doi:10.1016/j.jmva.2016.11.010. http://hdl.handle.net/2078.1/180469

24. Segers, Johan; Zhao, Yuwei; Meinguet, Thomas. Polar decomposition of regularly varying time series in star-shaped metric spaces. In: Extremes : statistical theory and applications in science, engineering and economics, Vol. 20, no. 3, p. 539-566 (2017). doi:10.1007/s10687-017-0287-3. http://hdl.handle.net/2078.1/183733

25. Vettori, Sabrina; Huser, Raphaël; Segers, Johan; Genton, Marc G. Bayesian model averaging over tree-based dependence structures for multivariate extremes. In: Journal of Computational and Graphical Statistics, , p. 1-37 (2019). doi:10.1080/10618600.2019.1647847 (Accepté/Sous presse). http://hdl.handle.net/2078.1/218809

26. van Loenhout, Joris; Delbiso,Tefera; Kiriliouk, Anna; Rodriguez-Llanes, Jose Manuel; Segers, Johan; Guha-Sapir, Debarati. Heat and emergency room admissions in the Netherlands. In: BMC Public Health, Vol. 18, p. 9 (2018). doi:10.1186/s12889-017-5021-1. http://hdl.handle.net/2078.1/193574


Conference Papers


1. Haine, Thomas; Segers, Johan; Flandre, Denis; Bol, David. Gradient Importance Sampling: an Efficient Statistical Extraction methodology of High-Sigma SRAM Dynamic Characteristics. In: 2018 Design, Automation Test in Europe Conference Exhibition (PROCEEDINGS), 2018, 195-200. doi:10.23919/DATE.2018.8342002. http://hdl.handle.net/2078.1/191730


Book Chapters


1. Kiriliouk, Anna; Segers, Johan; Warchol, Michal. Nonparametric Estimation of Extremal Dependence. In: Extreme Value Modeling and Risk Analysis: Methods and Applications (CRC Press; xxx), Taylor & Francis Group, 2016, p. 353-369. 9781498701297. http://hdl.handle.net/2078.1/180222


Working Papers


1. Asmussen, Soren; Ivanovs, Jevgenijs; Segers, Johan. On the longest gap between power-rate arrivals (xxx), 2017. 18 p. http://hdl.handle.net/2078.1/185482

2. Berghaus, Betina; Segers, Johan. Weak convergence of the weighted empirical beta copula process (xxx), 2017. 23 p. http://hdl.handle.net/2078.1/185483

3. Borel-Mathurin, Fabrice; Loisel, Stéphane; Segers, Johan. Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views (xxx), 2017. 25 p. http://hdl.handle.net/2078.1/184734

4. Bücher, Axel; Segers, Johan. Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series (xxx), 2015. 40 p. http://hdl.handle.net/2078.1/168137

5. Bücher, Axel; Segers, Johan. Inference for heavy tailed stationary time series based on sliding blocks (xxx), 2017. 24 p. http://hdl.handle.net/2078.1/185486

6. Bücher, Axel; Segers, Johan. On the Maximum Likelihood Estimator for the Generalized Extreme-Value Distribution (xxx), 2016. 29 p. http://hdl.handle.net/2078.1/171497

7. Chiapino, Maël; Sabourin, Anne; Segers, Johan. Identifying groups of variables with the potential of being large simultaneously (xxx), 2018. 23 p. http://hdl.handle.net/2078.1/196292

8. Davis, Richard; Drees, Holger; Segers, Johan; Warchol, Michal. Inference on the tail process with application to financial time series modelling (xxx), 2018. 22 p. http://hdl.handle.net/2078.1/195211

9. Davis, Richard; Holger, Drees; Segers, Johan; Warchol, Michal. Modeling serial extremal dependence (xxx), 2016. 20 p. http://hdl.handle.net/2078.1/173616

10. Einmahl, John; Kiriliouk, Anna; Segers, Johan. A continuous updating weighted least squares estimator of tail dependence in high dimensions (xxx), 2016. 23 p. http://hdl.handle.net/2078.1/171495

11. Guillote, Simon; Perron, François; Segers, Johan. Bayesian Inference For Bivariate Ranks (xxx), 2018. 21 p. http://hdl.handle.net/2078.1/196291

12. Kiriliouk, Anna; Rootzén, Holger; Segers, Johan; Wadsworth, Jennifer. Peaks over thresholds modelling with multivariate generalized Pareto distributions (xxx), 2016. 31 p. http://hdl.handle.net/2078.1/179269

13. Kiriliouk, Anna; Segers, Johan; Tafakori, Laleh. An estimator of the stable tail dependence function based on the empirical beta copula (xxx), 2017. http://hdl.handle.net/2078.1/189492

14. Kiriliouk, Anna; Segers, Johan; Tafakori, Laleh. An estimator of the stable tail dependence function based on the empirical beta copula (xxx), 2018. 19 p. http://hdl.handle.net/2078.1/207360

15. Kiriliouk, Anna; Segers, Johan; Tsukahara, Hideatsu. On Some Resampling Procedures with the Empirical Beta Copula (xxx), 2019. 21 p. http://hdl.handle.net/2078/216244

16. Leluc, Rémi; Portier, François; Segers, Johan. Control variate selection for Monte Carlo integration (xxx), 2019. 23 p. http://hdl.handle.net/2078.1/217638

17. Marcon, Giulia; Padoan, Simone; Naveau, Philippe; Muliere, Pietro; Segers, Johan. Multivariate Nonparametric Estimation of the Pickands Dependence Function using Bernstein Polynomials (xxx), 2016. 27 p. http://hdl.handle.net/2078.1/173623

18. Portier, François; Segers, Johan. On the weak convergence of the empirical conditional copula under a simplifying assumption (xxx), 2015. 36 p. http://hdl.handle.net/2078.1/168138

19. Portier, François; Segers, Johan. Monte Carlo integration with a growing number of control variates (xxx), 2018. 33 p. http://hdl.handle.net/2078.1/195210

20. Rootzén, Holger; Segers, Johan; Wadsworth, Jennifer. Multivariate generalized Pareto distributions: parametrizations, representations, and properties (xxx), 2017. 20 p. http://hdl.handle.net/2078.1/185484

21. Rootzén, Holger; Segers, Johan; Wadsworth, Jenny. Multivariate peaks over thresholds models (xxx), 2016. 32 p. http://hdl.handle.net/2078.1/173619

22. Sabourin, Anne; Segers, Johan. Marginal standardization of upper semicontinuous processes with application to max-stable processes (xxx), 2016. 26 p. http://hdl.handle.net/2078.1/173621

23. Segers, Johan. One- versus multi-component regular variation and extremes of Markov trees (xxx), 2019. 21 p. http://hdl.handle.net/2078.1/214600

24. Segers, Johan; Sibuya, Masaaki; Tsukahara, Hideatsu. The Empirical Beta Copula (xxx), 2016. 21 p. http://hdl.handle.net/2078.1/176393

25. Segers, Johan; Zhao, Yuwei; Meinguet, Thomas. Radial-angular decomposition of regularly varying time series in star-shaped metric spaces (xxx), 2016. 28 p. http://hdl.handle.net/2078.1/173618

26. Vettori, Sabrina; Huser, Raphaël; Segers, Johan; Genton, Marc. Bayesian Clustering and Dimension Reduction in Multivariate Extremes (xxx), 2017. 31 p. http://hdl.handle.net/2078.1/185485

27. de Valk, Cees Fouad; Segers, Johan. Stability and tail limits of transport-based quantile contours (xxx), 2018. 40 p. http://hdl.handle.net/2078.1/207814