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Publications by Natalia Nolde

2018

Nolde N, Zhang J. Conditional extremes in asymmetric financial markets. Journal of Business & Economic Statistics. 2018;.

2017

Nolde N, Ziegel J. Elicitability and backtesting: Perspectives for banking regulation. The Annals of Applied Statistics. 2017; 11: 1833--1874.

2015

Nolde N, Jakob M. Challenging the standard dike freeboard: Methods to quantify statistical uncertainties in river flood protection. Canadian Water Resources Journal/Revue canadienne des ressources hydriques. Taylor & Francis; 2015;: 1–10.

2014

Nolde N. The effect of aggregation on extremes from asymptotically independent light-tailed risks. EXTREMES. 233 SPRING ST, NEW YORK, NY 10013 USA: SPRINGER; 2014; 17: 615-631. DOI: 10.1007/s10687-014-0192-y
Nolde N, Parker G. Stochastic analysis of life insurance surplus. INSURANCE MATHEMATICS & ECONOMICS. PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS: ELSEVIER SCIENCE BV; 2014; 56: 1-13. DOI: 10.1016/j.insmatheco.2014.02.006
Nolde N. Geometric interpretation of the residual dependence coefficient. JOURNAL OF MULTIVARIATE ANALYSIS. 525 B STREET, STE 1900, SAN DIEGO, CA 92101-4495 USA: ELSEVIER INC; 2014; 123: 85-95. DOI: 10.1016/j.jmva.2013.08.018

2013

Nolde N, Joe H. A Bayesian extreme value analysis of debris flows. WATER RESOURCES RESEARCH. 2000 FLORIDA AVE NW, WASHINGTON, DC 20009 USA: AMER GEOPHYSICAL UNION; 2013; 49: 7009-7022. DOI: 10.1002/wrcr.20494
Balkema G, Embrechts P, Nolde N. The shape of asymptotic dependence. In Prokhorov and Contemporary Probability Theory. Springer; 2013. pp. 43–67.

2012

Balkema G, Embrechts P, Nolde N. Sensitivity of the limit shape of sample clouds from meta densities. BERNOULLI. 428 PRINSES BEATRIXLAAN, 2270 AZ VOORBURG, NETHERLANDS: INT STATISTICAL INST; 2012; 18: 1386-1404. DOI: 10.3150/11-BEJ370
Balkema G, Nolde N. ASYMPTOTIC DEPENDENCE FOR LIGHT-TAILED HOMOTHETIC DENSITIES. ADVANCES IN APPLIED PROBABILITY. THE UNIVERSITY, SCHOOL MATHEMATICS STATISTICS, SHEFFIELD S3 7RH, ENGLAND: APPLIED PROBABILITY TRUST; 2012; 44: 506-527.

2010

Balkema G, Nolde N. ASYMPTOTIC INDEPENDENCE FOR UNIMODAL DENSITIES. ADVANCES IN APPLIED PROBABILITY. THE UNIVERSITY, SCHOOL MATHEMATICS STATISTICS, SHEFFIELD S3 7RH, ENGLAND: APPLIED PROBABILITY TRUST; 2010; 42: 411-432.
Balkema AA, Embrechts P, Nolde N. Meta densities and the shape of their sample clouds. Journal of Multivariate Analysis. Elsevier; 2010; 101: 1738–1754.

2009

Lysenko N, Roy P, Waeber R. Multivariate extremes of generalized skew-normal distributions. Statistics & Probability Letters. Elsevier; 2009; 79: 525–533.
Wüthrich MV, Merz M, Lysenko N. Uncertainty of the claims development result in the chain ladder method. Scandinavian Actuarial Journal. Taylor & Francis; 2009; 2009: 63–84.