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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, 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.
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.
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.

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.
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.
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.