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Resnick, Sidney’ AUTHOR PAGE
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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...
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