Estimating quantile risk measures using extreme value theory in finance and insurance

This paper discusses the modeling strategy of extreme value theory (EVT) to describe the behavior of financial returns and medical insurance claim losses. Using EVT, the modeling focuses on "block maxima" approach to fit the generalized extreme value distribution (GEV) and the "peak...

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Bibliografske podrobnosti
Glavni avtor: Uyaco, Filame Joy Depakakibo
Format: Thesis
Jezik:English
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