This study presents a classification of stratospheric extreme events during northern winter into events with or without a consistent downward propagation of anomalies to the troposphere. Anomalous strong and weak stratospheric polar vortex events are detected from daily time series of the polar cap averaged (60∘–90∘N) geopotential height anomaly. The method is applied to chemistry-climate model...

Parameter learning strongly ampli…es the impact of macro shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumption risks. We consider general equilibrium models with unknown parameters governing either long-run economic growth, rare events, or model selection. O...

The distribution of the remaining service time upon reaching some target level in an M/G/1 queue is of theoretical as well as practical interest. In general, this distribution depends on the initial level as well as on the target level, say, B. Two initial levels are of particular interest, namely, level “1” (i.e., upon arrival to an empty system) and level “B − 1” (i.e., upon departure at the ...

Monitoring of patient safety is an indispensable part of clinical trial planning and conduct. Proactive safety signal monitoring using blinded data in on-going clinical trials enables pharmaceutical sponsors to monitor patient safety closely while maintaining the study blind. Bayesian methods, by their nature of updating knowledge based on accumulating data and synthesis of prior knowledge, pro...

We investigate whether a rare event (like the default of the annuity provider) can explain the annuity market participation puzzle. High risk aversion is needed to change behavior in the presence of such a disastrous shock but higher risk aversion also makes annuities more valuable. Therefore, these rare events are unlikely candidates to explain the low take-up of voluntary annuities. JEL Class...

Assessing the probability of occurrence of extreme events is a crucial issue in various fields like finance, insurance, telecommunication or environmental sciences. In a multivariate framework, the tail dependence is characterized by the so-called stable tail dependence function (STDF). Learning this structure is the keystone of multivariate extremes. Although extensive studies have proved cons...

To explain several stylized facts concerning catastrophe-linked securities premium spread, we propose an intertemporal equilibrium model by allowing agents to act in a robust control framework against model misspecification with respect to rare events. We have presented closed-form pricing formulas in some special cases and tested the model using empirical data and simulation. © 2011 Elsevier B...

Extreme events are an emerging and unifying theme in scientific research. Investigations into complex systems yield increasing evidence that system evolution is strongly controlled by extreme events, and increasing insight into how extreme events come about. At the same time, natural and technological disasters, complex civil emergencies, and infectious disease epidemics are all on the upswing....

We focus on the statistics of word occurrences and of the waiting times between such occurrences in Blogs. Due to the heterogeneity of words’ frequencies, the empirical analysis is performed by studying classes of ”frequently-equivalent” words, i.e. by grouping words depending on their frequencies. Two limiting cases are considered: the dilute limit, i.e. for those words that are used less than...

Drought events in a particular region often occur in case of long-term lack of precipitation coinciding with hot weather. Global climate change implies increasing global mean temperature (IPCC, 2001), which may occur due to the increasing average and the modified frequency distribution of temperature values. The main objective of our research is to detect the possible changes of intensity and f...