Multivariate extreme value theory and its usefulness in understanding risk

DOI10.1080/10920277.2006.10597411MaRDI QIDQ5018733zbMATH OpenOpenAlexFDO

Authors 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

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

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Cited in

(24)

• Statistical models and methods for dependence in insurance data
• Extreme dependence of multivariate catastrophic losses
• Multivariate extremes, aggregation and risk estimation
• Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
• Assessment of dependent risk using extreme value theory in a time-varying framework
• Introduction to extreme value theory: applications to risk analysis and management
• A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series
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• Extremes and products of multivariate AC-product risks
• Quantification of operational risk: a scenario-based approach
• A multivariate piecing-together approach with an application to operational loss data

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