Sojourn times and the fragility index

We investigate the sojourn time above a high threshold of a continuous stochastic process Y=(Yt)t∈[0,1]. It turns out that the limit, as the threshold increases, of the expected sojourn time given that it is positive, exists if the copula process corresponding to Y is in the functional domain of attraction of a max-stable process. This limit coincides with the limit of the fragility index corresponding to (Yi/n)1≤i≤n as n and the threshold increase.

MoreLess

Year of publication:	2012
Authors:	Falk, Michael ; Hofmann, Martin
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 3, p. 1110-1128
Publisher:	Elsevier
Subject:	Sojourn time \| Fragility index \| Max-stable process \| Functional domain of attraction \| Copula process \| Generalized Pareto process \| Expected shortfall \| Sojourn time distribution \| Excursion time

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011065067