Research

Research interests

Risk analysis, social network analysis, congestion and queueing, heavy-tail analysis, rare events and extreme value theory, robust optimization.

PUBLICATIONS

• Systemic risk in financial networks: the effects of asymptotic independence (with V. Fasen-Hartmann), 2023. arXiv 

• Inference for heavy-tailed data with Gaussian dependence, 2023. arXiv

• On heavy-tailed risks under Gaussian copula: the effects of marginal transformation (with V. Fasen-Hartmann), Journal of Multivariate Analysis (forthcoming), 2024. arXiv 

• Aggregating heavy-tailed random vectors: from finite sums to Lévy processes (with V. Fasen-Hartmann), 2023. arXiv

• Asymptotic behavior of common connections in sparse random networks (with T. Wang and G. Dai), Methodology and Computing in Applied Probability, 24, 2071–2092, 2022. arXiv

• Tail probabilities of random linear functions of regularly varying random vectors  (with V. Fasen-Hartmann and C. Kluppelberg), Extremes, 25 (4), 721-758, 2022. arXiv

• On the heavy-tail behavior of the distributionally robust newsvendor (with A. Dhara and K. Natarajan), Operations Research, 69(4), 1077-1099, 2021. arXiv

• Common friends in a preferential attachment model (with S. Ghosh), Stochastic Models, 37(3), 427-447, 2021. 

• Worst-case expected shortfall with univariate and bivariate marginals (with A. Dhara and K. Natarajan), INFORMS Journal on Computing, 33(1), 370-390, 2021. 

• Risk concentration under second order regular variation (with M. Kratz), Extremes, 23(3), 381-410, 2020. arXiv

• Heavy-tailed random walks, buffered queues, and hidden large deviations (with H. Bernhard), Bernoulli, 26(1), 61-92, 2020. arXiv

• Conditional excess risk measures and multivariate regular variation (with V. Fasen-Hartmann), Statistics and Risk Modeling, 36, 1-23, 2019. arXiv

• Risk contagion under regular variation and asymptotic tail independence (with V. Fasen-Hartmann), Journal of Multivariate Analysis, 165, 194-215, 2018. arXiv

• Hidden regular variation under full and strong asymptotic dependence (with S. Resnick), Extremes, 20(4), 873-904, 2017. arXiv

• Detecting tail behavior: mean excess plots with confidence bounds (with S. Ghosh). Extremes, 19(2), 325-349, 2016. arXiv

• Generation and detection of multivariate regular variation and hidden regular variation (with S. Resnick). Stochastic Systems, 5(2), 195-238 (electronic), 2015. arXiv

• Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process (with S. Engelke and E. Hashorva), Stochastic Processes and their Applications, 125(2), 780-796, 2015. arXiv

• Living on the multidimensional edge: seeking hidden risks using regular variation (with A. Mitra and S. Resnick), Advances in Applied Probability, 45(1), 139-163, 2013. arXiv

• Weak limits of exploratory plots in extreme value analysis (with S. Ghosh), Bernoulli, 19(1), 308-343, 2013. arXiv

• Four theorems and a financial crisis (with P. Embrechts and V. Fasen), International Journal of Approximate Reasoning, 54(6), 701-716, 2013. preprint

• On robust tail index estimation for linear long-memory processes (with J. Beran and D. Schell), Journal of Time Series Analysis, 33(3), 406-423, 2012. preprint

• Conditioning on an extreme component: model consistency and regular variation on cones (with S. Resnick), Bernoulli, 17(1), 226-252, 2011. arXiv

• Detecting a conditional extreme value model (with S. Resnick), Extremes, 14(1), 29-61, 2011. arXiv

• QQ plots, random sets, and data from a heavy-tailed distribution (with S. Resnick), Stochastic Models, 24 (1), 103-132, 2008. arXiv

Thesis, Reports

• The conditional extreme value model and related topics. PhD Thesis, 2009.

• Probabilistic Analysis of flooding at Murgenthal for Kernkraft-Goesgen Daeniken (with V. Chavez-Demoulin and P. Embrechts), RiskLab internal report, 2010.

• Joint optimization of product assortment and inventory under the marginal distribution model (with S.D. Ahipasaoglu and Z. Sun), preprint, 2020.

Recent presentations

• Heavy tails in a robust newsvendor model, June, 2018. Video

• Multivariate regular variation: full dependence and strong dependence, May, 2016. Video

Collaborators

Harald Bernhard, Anulekha Dhara , Paul Embrechts , Sebastian Engelke , Vicky Fasen-Hartmann , Souvik Ghosh , Enkelejd Hashorva , Claudia Kluppelberg, Marie Kratz , Abhimanyu Mitra , Karthik Natarajan , Sidney Resnick.

Research support: Support from EU Marie Curie Actions (FP-7) , MOE ACRF Tier 2 and SUTD-MIT IDC grants is gratefully acknowledged for the research conducted.