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Dr. Vicky Fasen
Publications:
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Fasen, V., Klüppelberg, C. and Schlather, M. (2009)
High-Level Dependence in Time Series Models
(ps),(pdf)
to appear in Extremes.
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Fasen, V., Samorodnitsky, G. (2009)
A fluid cluster Poisson input process can look like
a fractional Brownian motion even in the
slow growth aggregation
regime
(ps),(pdf)
Adv. in Appl. Probab. 41(2), pp. 393-427.
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Brachner, C., Fasen, V. and Lindner, A. (2009)
Extremes of Autoregressive Threshold Processes
(ps),(pdf)
Adv. in Appl. Probab. 41(2), pp. 428-451.
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Asmussen, S., Fasen, V. and Klüppelberg, C. (2009)
Heavy tails in insurance
(ps),(pdf)
In: Cont, R. (Ed.) Encyclopedia of Quantitative Finance.
Wiley, Chichester, to appear.
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Fasen, V. (2009)
Asymptotic Results for Sample Autocovariance Functions and Extremes of Integrated
Generalized Ornstein-Uhlenbeck Processes
(ps),(pdf)
to appear in Bernoulli.
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Fasen, V. (2009)
Extremes of Lévy Driven Mixed MA Processes with Convolution Equivalent Distributions
(ps),(pdf)
to appear in Extremes.
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Fasen, V. (2009)
Extremes of Continuous-Time Processes
(ps),(pdf)
In: T.G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch (Eds.), Handbook of Financial Time Series,
Springer, pp. 653-667.
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Fasen, V. and Klüppelberg, C. (2008)
Large Insurance Losses Distributions
(ps),(pdf)
In: E. Melnick and B. Everitt (Eds.), Encyclopedia of Quantitative Risk Analysis and Assessment, Wiley, pp. 961-969.
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Fasen, V. and Klüppelberg, C. (2007)
Extremes of SupOU Processes
(ps),(pdf)
In: F.E. Benth, G. Di Nunno, T. Lindstrom, B. Oksendal and T. Zhang (Eds.),
Stochastic Analysis and Applications: The Abel Symposium 2005,
Springer, pp. 340-359.
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Fasen, V. (2006)
Extremes of Subexponential Lévy Driven Moving Average Processes
(ps),(pdf)
Stochastic Process. Appl., 116, pp. 1066-1087
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Fasen, V., Klüppelberg, C. and Lindner, A. (2006)
Extremal Behavior of Stochastic Volatility
Models (ps),(pdf)
In: A. Shiryaev, M.d.R. Grossinho, P. Oliviera, M. Esquivel (Eds.), Stochastic Finance,
Springer, New York, pp. 107-155.
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Fasen, V. (2005)
Extremes of Regularly Varying Lévy Driven Mixed Moving Average Processes
(ps),(pdf)
Adv. in Appl. Probab., 37, pp. 993-1014.
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Preprints:
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Fasen, V. (2009)
Modeling Network Traffic by a Cluster Poisson Input Process with Heavy and Light Tailed File Sizes
(pdf)
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Ph.D. Thesis:
Diploma Thesis:
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