Smooth extremal models in finance and insurance

Journal of Risk and Insurance

Volumn 71, Issue 2, 2004, Pages 183-199

  Chavez Demoulin, V ^a   Embrechts, P ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 2942567597     PISSN: 00224367     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0022-4367.2004.00085.x     Document Type: Article

References (24)

1. Akaike, H., 1974, A New Look at the Statistical Model Identification, IEEE Transactions on Automatic Control, 19: 716-723.
2. Artzner, P., F. Delbaen, J. M. Eber, and D. Heath, 1999, Coherent Measures of Risk, Mathematical Finance, 9:203-228.
3. Chavez-Demoulin, V., 1999, Two Problems in Environmental Statistics: Capture-Recapture Analysis and Smooth Extremal Models. Ph.D. thesis, Swiss Federal Institute of Technology, Lausanne.
4. Chavez-Demoulin, V., and A. C. Davison, 2004, Generalized Additive Models for Sample Extremes, Applied Statistics, forthcoming.
5. Coles, S., 2001, An Introduction to Statistical Modeling of Extreme Values (London: Springer).
6. Cox, D. R., and N. Reid, 1987, Parameter Orthogonality and Approximate Conditional Inference (with Discussion), Journal of the Royal Statistical Society B, 49:1-39.
7. Cruz, M. G., 2002, Modeling, Measuring and Hedging Operational Risk (Chichester: Wiley).
8. Davison, A. C., 1984a, A Statistical Model for Contamination Due to Long-Range Atmospheric Transport of Radionuclides. Ph.D. thesis, Imperial College of Science and Technology, London.
9. Davison, A. C., 1984b, Modeling Excesses Over High Thresholds, With an Application, in: J. Tiago de Oliveira, ed., Statistical Extremes and Applications (Dordrecht: D. Reidel Publishing Company), pp. 461-482.
10. Davison, A. C., and R. L. Smith, 1990, Models for Exceedances Over High Thresholds (with Discussion), Journal of the Royal Statistical Society B, 52: 393-442.
11. Embrechts, P. (Ed.), 2000, Extremes and Integrated Risk Management (London: Risk Books, Risk Waters Group).
12. Embrechts, P., C. Klüppelberg, and T. Mikosch, 1997, Modeling Extremal Events for Insurance and Finance (Berlin: Springer).
13. Embrechts, P., I. S. Resnick, and G. Samorodnitsky, 1999, Extreme Value Theory as a Risk Management Tool, North American Actuarial Journal, 3: 30-41.
14. Hall, P., and N. Tajvidi, 2000, Nonparametric Analysis of Temporal Trend When Fitting Parametric Models to Extreme-Value Data, Statistical Science, 15(2), 153-167.
15. Leadbetter, M. R., 1991, On a Basis for 'Peaks Over Threshold' Modeling, Statistical Probability Letters, 12: 357-362.
16. Leadbetter, M. R., G. Lindgren, and H. Rootzén, 1983, Extremes and Related Properties of Random Sequences and Series (New York: Springer).
17. Matthys, G., and J. Beirlant, 2000, Adaptive Threshold Selection in Tail Index Estimation, in: P. Embrechts, ed., Extremes and Integrated Risk Management (London: Risk Waters Group), pp. 37-49.
18. Reiss, R. D., and J. A. Thomas, 2001, Statistical Analysis of Extreme Values (Basel: Birkhäuser).
19. Robinson, M. E., and J. A. Tawn, 2000, Extremal Analysis of Processes Sampled at Different Frequencies, Journal of the Royal Statistical Society B, 62(1): 117-136.
20. Rootzén, H., and N. Tajvidi, 1997, Extreme Value Statistics and Wind Storm Losses: A Case Study, Scandinavian Actuarial Journal, 97: 70-94.
21. Smith, R. L., 1985, Maximum Likelihood Estimation in a Class of Non-regular Cases, Biometrika, 72: 67-90.
22. Smith, R. L., 1987, Estimating Tails of Probability Distributions, Annals of Statistics, 15: 1174-1207.
23. Smith, R. L., and T. S. Shively, 1995, A Point Process Approach to Modeling Trends in Tropospheric Ozone, Atmospheric Environment, 29: 3489-3499.
24. Yang, G. L., 1978, Estimation of a Biometric Function, Annals of Statistics, 6:112-116.