Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk

DOI10.1080/10920277.2006.10597411zbMath1480.91200OpenAlexW2324437291MaRDI QIDQ5018733

Bruce L. Jones, Debbie J. Dupuis

Publication date: 22 December 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2006.10597411

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Actuarial mathematics (91G05)

Related Items (7)

A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series ⋮ Quantification of Operational Risk: A Scenario-Based Approach ⋮ Portfolio risk assessment using multivariate extreme value methods ⋮ Multivariate extreme value theory -- a tutorial ⋮ Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims ⋮ Goodness-of-fit test for tail copulas modeled by elliptical copulas ⋮ Estimating the Probability of a Rare Event via Elliptical Copulas

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