Extreme Value Theory as a Risk Management Tool

DOI10.1080/10920277.1999.10595797zbMath1082.91530OpenAlexW2132149004MaRDI QIDQ5718354

Paul Embrechts, Gennady Samorodnitsky, Sidney I. Resnick

Publication date: 13 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.1999.10595797

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

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