List of publications

 

Theses

  1. Diploma: Über den Kolmogorov-Smirnov Test beim Signalerkennungsproblem mit Gaußschem weißem Rauschen. University of Dortmund.
  2. PhD: Refined estimation of the extreme value index. University of Siegen.
  3. Habilitation: Estimating the Extreme Value Index, University of Cologne.


Papers

  1. Drees, H. and Milbrodt, H. (1991). Components of the two-sided Kolmogorov-Smirnov test in signal detection problems with Gaussian white noise. Journal of Statistical Planning and Inference 29, 325-335.
  2. Drees, H. and Reiss, R.-D. (1992). Tail behavior in Wicksell's corpuscle problem. In: Galambos, J. and Katai, I. (eds.): Probability Theory and Applications. Kluwer Academic Publishers, Dordrecht, 205-220.
  3. Drees, H. and Milbrodt, H. (1994). The one-sided Kolmogorov-Smirnov test in signal detection problems with Gaussian white noise. Statistica Neerlandica 48, 103-116.
  4. Drees, H. and Kaufmann, E. (1994). Poisson approximation of point processes of exceedances under von Mises conditions. In: Galambos, J. et al. (eds.): Extreme Value Theory and Applications, Vol. 3., 95-102.
  5. Drees, H. and Milbrodt, H. (1995). Curbing the rising premiums for older policy holders in German private health insurance -   a simulation study (in German, English abstract). Blätter der DGVM XXII, 393-418.
  6. Drees, H. (1995). Refined Pickands estimators of the extreme value index. Annals of Statistics 23, 2059-2080.
  7. Drees, H. (1996). Refined Pickands estimator with bias correction. Communications in Statistics 25, 837-851.
  8. Drees, H. and Reiss, R.-D. (1996). Residual life functionals at great age. Communications in Statistics 25, 823-835.
  9. Drees, H., Maas, B. and Milbrodt, H. (1996). Curbing the rising premiums for older policy holders in German private health insurance II (in German, English abstract).  Blätter der DGVM  XXIII, 581-590.
  10. Drees, H. (1998). On smooth statistical tail functionals. Scandinavian Journal of Statististics 25, 187-210.  preprint version (ps-file)
  11. Drees, H. (1998). A general class of estimators of the extreme value index. Journal of Statistical Planning and Inference 66, 95-112.
  12. Drees, H. (1998). Optimal rates of convergence for estimates of the extreme value index. Annals of Statistics 26, 434-448. preprint version (ps-file)
  13. Drees, H. and Huang, X. (1998). Best attainable rates of convergence for estimators of the stable tail dependence function. Journal of Multivariate Analysis 64, 25-47.
  14. Drees, H. and Kaufmann, E. (1998). Selecting the optimal sample fraction in univariate extreme value statistics. Stochastic Processes and Their Applications  75, 149-172.
  15. Drees, H., Milbrodt, H. and Schlüter, V. (1998). Curbing the rising premiums for older policy holders in German private health insurance III. In: Transactions of the 26th International Congress of Actuaries, Birmingham 1998, 85-99.
  16. Drees, H. (1999). On fixed-length confidence intervals for a bounded normal mean. Statistics and Probability Letters 44, 399-404. preprint version (ps-file)
  17. Drees, H. and de Haan, L. (1999). Conditions for quantile process approximations. Stochastic Models 15, 485-502.
  18. Drees, H., de Haan, L. and Resnick, S. (2000). How to make a Hill plot. Annals of Statistics 28, 254-274. preprint version (ps-file)
  19. Drees, H. (2000). Weighted Approximations of Tail Processes for ß-Mixing Random Variables. Annals of Applied Probability 10, 1274-1301.preprint version (ps-file)
  20. Drees, H. (2001). Minimax risk bounds in extreme value theory. Annals of Statistics 29, 266-294. preprint version (ps-file)
  21. Drees, H. (2001). Exceedance over Threshold. In  A.H. El-Shaarawi und W.W. Piegorsch (Hrsg.):  Encyclopedia of Environmetrics Vol. 2, 715-728, Wiley, Chichester.
  22. Drees, H. (2001).  Exceedance Probability. In  A.H. El-Shaarawi und W.W. Piegorsch (Hrsg.):  Encyclopedia of Environmetrics Vol. 2,  728-729, Wiley, Chichester.
  23. Drees, H. (2001). Threshold Models. In  A.H. El-Shaarawi und W.W. Piegorsch (Hrsg.):  Encyclopedia of Environmetrics Vol. 4, 2181-2187, Wiley, Chichester.
  24. Drees, H. (2002). Tail empirical processes under mixing conditions. In: H.G. Dehling, T. Mikosch and M. Sorensen (eds.), Empirical Process Techniques for Dependent Data, 325-342. Birkhäuser, Boston.  preprint version (ps-file)
  25. Drees, H. (2003). Extreme Quantile Estimation for Dependent Data with Applications to Finance.  Bernoulli  9, 617-657.     preprint version: zipped ps-file,     pdf-file
  26. Drees, H., de Haan, L. and Li, D. (2003). On large deviations for extremes. Statistics & Probability Letters 64, 51-62.    preprint version: zipped ps-file,     pdf-file  
  27. Draisma, G, Drees, H., Ferreira, A. and de Haan, L. (2004). Bivariate tail estimation: dependence in asymptotic independence.  Bernoulli 10, 251-280.   preprint version: zipped ps-file,     pdf-file
  28. Drees, H., Ferreira, A. and de Haan, L. (2004). On the maximum likelihood estimation of the extreme value index. Annals of Applied Probability 14, 1179-1201.      preprint version: zipped ps-file,     pdf-file
  29. Drees, H., de Haan, L.. and Li, D. (2006). Approximations to the tail empirical distribution function with application to testing extreme value conditions. Journal of Statistical Planning and Inference  136, 3498-3538.     preprint version:  zipped ps-file,    pdf-file
  30. Drees, H. (2008). Some aspects of extreme value statistics under serial dependence. Extremes 11, 35-53.      preprint version:  pdf-file
  31. Drees, H., and Müller, P. (2008). Fitting and validation of a bivariate model for large claims. Insurance: Mathematics and Economics 42, 638-650.     preprint version:  pdf-file
  32. Drees, H., and Rootzén, H. (2010). Limit Theorems for Empirical Processes of Cluster Functionals. Annals of Statistics 38(4), 2145-2186.    arxiv version. (correction note)
  33. Drees, H. (2012). Extreme value analysis of actuarial risks: estimation and model validation. AStA: Advances in Statistical Analysis 96(2), 225-264.    Preprint version.
  34. Drees, H., and de Haan, L. (2015). Estimating failure probabilities. Bernoulli 21(2), 957-1001.    arxiv version.
  35. Drees, H., Segers, J., and Warchoł, M. (2015). Statistics for Tail Processes of Markov Chains. Extremes 18(3), 369-402.    Preprint version.
  36. Janßen, A., and Drees, H. (2016). A stochastic volatility model with flexible extremal dependence structure. Bernoulli 22(3), 1448-1490.   arxiv version
  37. Drees, H., and Janßen, A. (2016). Conditional extreme value models: fallacies and pitfalls. Extremes 20, 777-805.
  38. Davis, R., Drees, H., Segers, J., and Warchoł, M. (2018). Inference on the tail process with application to financial time series modelling. The Journal of Econometrics, to appear.    Preprint version.


Further preprints may be available at the preprint server of the Mathematical Department of the University of Saarland or
the preprint server of the Center for Mathematical Statistics and Stochastic Processes, Mathematical Department of the University of Hamburg, or on arXiv.org

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Last modified:   July 15, 2010

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