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2020
Mark Risk concentration under second order regular variation
Das, Bikramjit and Kratz, Marie ^LU (2020) In Extremes 23.
- Contribution to journal › Article
2019
Mark Introduction to Extreme Value Theory: Applications to Risk Analysis & Management
Kratz, Marie ^LU (2019) In Matrix Book Series 2. p.591-636
- Chapter in Book/Report/Conference proceeding › Book chapter
Mark Characterization of a general class of tail probability distributions
Cadena, Meitner ; Kratz, Marie ^LU and Omey, Edward (2019) In Statistics and Probability Letters 154.
- Contribution to journal › Article
Mark On functions bounded by Karamata functions
Cadena, Meitner ; Kratz, Marie ^LU and Omey, Edward (2019) In Journal of Mathematical Sciences 237(5). p.621-630
- Contribution to journal › Article
2018
Mark Central Limit Theorem for Lipschitz-Killing curvatures of excursion sets Gaussian fields
Vadlamani, Sreekar ^LU and Kratz, Marie (2018) In Journal of Theoretical Probability 31(3). p.1729-1758
- Contribution to journal › Article
Mark Validation of Aggregated Risk Models
Dacorogna, Michel ; Elbahtouri, Laila and Kratz, Marie ^LU (2018) In Annals of Actuarial Science 12(2). p.433-454
- Contribution to journal › Article
Mark Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall
Kratz, Marie ^LU ; Lok, Yen H. and McNeil, Alexander (2018) In Journal of Banking and Finance 88. p.393-407
- Contribution to journal › Article
2017
Mark Discussion of "Elicitability and backtesting: Perspectives for banking regulation"
Kratz, Marie ^LU (2017) In Annals of Applied Statistics 11(4). p.1894-1900
- Contribution to journal › Article
Mark On the order of functions at infinity
Cadena, Meitner ; Kratz, Marie ^LU and Omey, Edward (2017) In Journal of Mathematical Analysis and Applications 452(1). p.109-125
- Contribution to journal › Article