Tail index estimation depends for its accuracy on a precise choice of the sample fraction, i.e. the number of extreme order statistics on which the estimation is based. A complete solution to the sample fraction selection is given by means of a two step subsample bootstrap method. This method...

Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptive method to choose the number of order statistics involved in an optimal way, balancing variance and bias components. Recently this has been achieved for the similar but somewhat less...

We characterize second order regular variation of the tail sum of F together with a balance condition on the tails interms of the behaviour of the characteristic function near zero.

Asymptotic tail probabilities for bivariate linear combinations of subexponential random variables are given. These results are applied to explain the joint movements of the stocks of reinsurers. Portfolio investment and retrocession practices in the reinsurance industry, for reasons of...

We give a sufficient condition for i.i.d. random variables X1,X2 in order to have P{X1-X2>x} ~ P{|X1|>x} as x tends to infinity. A factorization property for subexponential distributions is used in the proof. In a subsequent paper the results will be applied to model fragility of financial markets.

For samples of random variables with a regularly varying tail estimating the tail index has received much attention recently. For the proof of asymptotic normality of the tail index estimator second order regular variation is needed. In this paper we first supplement earlier results on...

This paper addresses the Rolling Stock Balancing Problem (RSBP). This problem arises at a passenger railway operator when the rolling stock has to be re-scheduled due to changing circumstances. These problems arise both in the planning process and during operations. The RSBP has as input a...

In this paper we describe Operations Research (OR) models and techniques that can be used for determining (cyclic) railway timetables. We discuss the two aspects of railway timetabling: ($i$) the determination of arrival and departure times of the trains at the stations and other relevant...

This paper deals with disruption management in passenger railway transportation. In the disruption management process, many actors belonging to different organizations play a role. In this paper we therefore describe the process itself and the roles of the different actors. Furthermore, we...

A fundamental notion in metric graph theory is that of the interval function I : V × V → 2V – {∅} of a (finite) connected graph G = (V,E), where I(u,v) = { w | d(u,w) + d(w,v) = d(u,v) } is the interval between u and v. An obvious question is whether I can be characterized in a nice way...