Multivariate extreme value theory and its usefulness in understanding risk

DOI10.1080/10920277.2006.10597411zbMATH Open1480.91200OpenAlexW2324437291MaRDI QIDQ5018733FDOQ5018733

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

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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)

• Extreme dependence of multivariate catastrophic losses
• Statistical models and methods for dependence in insurance data
• Multivariate extremes, aggregation and risk estimation
• Assessment of dependent risk using extreme value theory in a time-varying framework
• Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
• A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series
• Introduction to extreme value theory: applications to risk analysis and management
• Toward a copula theory for multivariate regular variation
• Economic value added optimization of insurers using a multivariate Student \(t\)-model
• Goodness-of-fit test for tail copulas modeled by elliptical copulas
• Correlation of powers of Hüsler-Reiss vectors and Brown-Resnick fields, and application to insured wind losses
• Estimating the probability of a rare event via elliptical copulas
• Multivariate extreme value theory -- a tutorial
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• Univariate and bivariate GPD methods for predicting extreme wind storm losses
• Multivariate extreme value copulas with factor and tree dependence structures
• Multivariate extreme value analysis
• Portfolio risk assessment using multivariate extreme value methods
• Estimation of extreme risk regions under multivariate regular variation
• Extreme VaR scenarios in higher dimensions
• A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications
• Quantification of operational risk: a scenario-based approach
• Extremes and products of multivariate AC-product risks
• A multivariate piecing-together approach with an application to operational loss data

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