Several risk measures have been proposed in the literature. In this paper, we focus on the estimation of the Conditional Tail Expectation (CTE). Its asymptotic normality has been first established in the literature under the classical assumption that the second moment of the loss variable is finite, this condition being very restrictive in practical applications. Such a result has been extended...

Aims. This paper tackles important aspects of comets dynamics from a statistical point of view. Existing methodology uses numerical integration for computing planetary perturbations for simulating such dynamics. This operation is highly computational. It is reasonable to wonder whenever statistical simulation of the perturbations can be much more easy to handle. Methods. The first step for answ...

In this work, the problem of testing whether different (≥ 2) independent samples, with (possibly) different heavy tailed distributions, share the same extreme value index, is addressed. The test statistic proposed is inspired by the empirical likelihood methodology and consists in an ANOVA-like confrontation of Hill estimators. Asymptotic validity of this simple procedure is proved and efficien...

Myosins, a large family of actin-based motors, have one or two heavy chains with one or more light chains associated with each heavy chain. The heavy chains have a (generally) N-terminal head domain with an ATPase and actin-binding site, followed by a neck domain to which the light chains bind, and a C-terminal tail domain through which the heavy chains self-associate and/or bind the myosin to ...

For many optimization algorithms the time to solution depends not only on the problem size but also on the specific problem instance and may vary by many orders of magnitude. It is then necessary to investigate the full distribution and especially its tail. Here, we analyze the distributions of annealing times for simulated annealing and simulated quantum annealing (by path integral quantum Mon...

The problem of tail index estimation of Hall distribution is considered. We propose the estimators of tail index using the truncated estimation method developed for ratio type functionals. It is shown that the truncated estimator constructed on the sample of fixed size has a guaranteed accuracy in the sense of the L2m-norm, m≥ 1. The asymptotic properties of estimators are although investigated...

It is shown that the sample paths of Poisson shot noise with heavy-tailed semi-exponential distributions satisfy a large deviation principle with a rate function that is insensitive to the shot shape. This demonstrates that, on the scale of large deviations, paths to rare events do not depend on the shot shape.

Ph. Barbe and W.P. McCormick CNRS, France, and University of Georgia Abstra t. We establish some asymptotic expansions for infinite weighted convolution of distributions having regular varying tails. Various applications to statistics and probability are developed. AMS 2000 Subje t Classi ations: Primary: 41A60, 60F99. Secondary: 41A80, 44A35, 60E07, 60G50, 60K05, 60K25, 62E17, 62G32.

Heavy tailed distributions are useful for modeling actuarial and financial risk management problems. Actuaries often search finding that provide the best fit to heavy data sets. In present work, we introduce a new class of special sub-model proposed family, called extended alpha power transformedWeibull distribution, Mathematical properties along with certain characterizations distribution pres...