Estimating the tails of loss severity distributions using extreme value theory

ASTIN Bulletin

Volumn 27, Issue 1, 1997, Pages 117-137

  McNeil, Alexander J ^a  

^a ETE Zentrum   (Switzerland)

Author keywords

excesses over high thresholds; extreme value theory; generalized Pareto distribution; high excess layers; Loss severity distributions

Indexed keywords

EID: 85011501232     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.27.1.563210     Document Type: Article

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