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Resnick, Sidney’ AUTHOR PAGE

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E-Mail: sid@orie.cornell.edu

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Affiliation: Columbia University

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Extreme Values, Regular Variation and Point Processes

2007

Resnick, Sidney

Extremes Values, Regular Variation and Point Processes is a readable and efficient account of the fundamental mathematical and stochastic process tech...

Heavy-Tail Phenomena: Probabilistic and Statistical Modeling

2006

Resnick, Sidney

This comprehensive text gives an interesting and useful blend of the mathematical, probabilistic and statistical tools used in heavy-tail analysis....

The Pareto Copula, Aggregation of Risks and the Emperors Socks

2007

Kluppelberg, Claudia

Resnick, Sidney

The copula of a multivariate distribution is the distribution transformed tohave uniform one dimensional marginals. We review a transformation of the ...

How to Make a Hill Plot

1999

Drees, Holger

De Haan, Laurens

Resnick, Sidney

An abundance of high quality data sets requiring heavy tailed models necessitates reliable methods of estimating the shape parameter governing the deg...

Living on the Edge

1998

Emmer, Suzanne

Resnick, Sidney

Samorodnitsky, Gennady

Risk management is currently a crucial topic in the world of finance, We argue that an important analytic tool in risk management should be extreme va...

Extreme Value Theory as a Risk Management Tool

1999

Embrechts, Paul

Resnick, Sidney

Samorodnitsky, Gennady

The financial industry, including banking and insurance, is undergoing major changes. The (re)insurance industry is increasingly exposed to catastroph...