Peer-reviewed publications

• Margin-closed vector autoregressive time series models. (With L. Zhang and H. Joe) Journal of Time Series Analysis, accepted, 2023.
  

• Copula-based conditional tail indices. (With V. Coia and H. Joe) Journal of Multivariate Analysis, accepted, 2023.

• Probabilistic prediction of rock avalanche runout using a numerical model. (With J. Aaron, S. McDougall, J. Kowalski, A. Mitchell ) Landslides 19: 2853-2869, 2022
• Linking representations for multivariate extremes via a limit set. (With  J. Wadsworth) Adv. Appl. Probab. 54:688-717, 2022.
• Extreme value analysis for financial risk management. (With C. Zhou) Annual Review of Statistics and Its Application 8: 217-240, 2021 .

• Tail behavior for bivariate distributions based on Pareto mixtures. (With V. Coia and H. Joe.) In "Advances in Statistics: Theory and Applications - On the Occasion of Barry C. Arnold's 80th Birthday", Springer, New York, 2020.

• Samples with a limit shape, multivariate extremes and risk. (With G. Balkema) Adv. Appl. Probab. 52: 491-522, 2020.
• Rock avalanche runout prediction using stochastic analysis of a regional dataset. (With

    A. Mitchell, S. McDougall, et al.) Landslides  https://doi.org/10.1007/s10346-019-01331-3,         2019.

• On the selection of loss severity distributions to model operational risk. (With D. Hadley and H. Joe).

     Journal of Operational Risk 14: 73-94, 2019.

• Two methodologies to calibrate landslide runout models. (With J. Aaron and S. McDougall).

      Landslides, DOI: 10.1007/s10346-018-1116-8, 2019.

• Conditional extremes in asymmetric financial markets. (With J. Zhang). Journal of Business and Economic Statistics 38: 201-213, 2018.
• Elicitability and backtesting: Perspectives for banking regulation; with discussion. (With J.F. Ziegel). Annals of Applied Statistics 11: 1833-1974, 2017.
  
• Challenging the standard dike freeboard: methods to quantify statistical uncertainties in river flood protection. (With M. Jakob). Canadian Water Resources Journal 41: 151-160, 2016.
  
• The effect of aggregation on extremes from asymptotically independent light-tailed risks. Extremes 17: 615-631, 2014.
  
• Stochastic analysis of life insurance surplus. (With G. Parker). Insurance: Mathematics and Economics 56: 1-13, 2014.
  
• Geometric interpretation of the residual dependence coefficient. Journal of Multivariate Analysis 123: 85-95, 2014.
  
• A Bayesian extreme value analysis of debris flows. (With H. Joe). Water Resources Research 49(10): 7009-7022, 2013.
• The shape of asymptotic dependence. (With G. Balkema and P. Embrechts). Prokhorov and Contemporary Probability Theory, Springer Proceedings in Mathematics & Statistics 33, ed. A. Shiryaev, S. Varadhan, and E. Presman. Springer-Verlag Berlin Heidelberg, 2013.
• Tail dependence for homothetic light-tailed densities. (With G. Balkema).
  Advances in Applied Probability 44: 506-527, 2012.
• Sensitivity of the limit shape of sample clouds from meta densities. (With G. Balkema and P. Embrechts). Bernoulli J. 18: 1386-1404, 2012.
  
• Asymptotic independence for unimodal densities. (With G. Balkema).
  Advances in Applied Probability 42: 411-432, 2010.
• Meta densities and the shape of their sample clouds. (With G. Balkema and P. Embrechts).
  Journal of Multivariate Analysis 101: 1738-1754, 2010.
• Multivariate extremes of generalized skew-normal distributions. Statistics and Probability Letters 79: 525-533, 2009. (With P. Roy and R. Waeber).
• Uncertainty in the claims development result in the chain ladder method. Scandinavian Actuarial Journal 109: 63-84, 2009. (With M. Merz and M. Wuethrich).