Extreme Value Theory and Archimedean Copulas

DOI10.1080/03461230110106539zbMath1141.60032OpenAlexW1981122174WikidataQ126243251 ScholiaQ126243251MaRDI QIDQ5430577

Mario V. Wüthrich

Publication date: 16 December 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230110106539

zbMATH Keywords

extreme value theoryArchimedean copulamaximum domain of attractiondependent riskFisher-Gnedenko-Tippett theorem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10)

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Limit distributions of upper order statistics for families of multivariate distributions ⋮ Limit theorem for the Robin Hood game

Cites Work

• Optimal choice of sample fraction in extreme-value estimation
• Copula convergence theorems for tail events.
• Bivariate Survival Models for Coupled Lives
• Largest Claims Reinsurance Premiums under Possible Claims Dependence
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