An Application of Extreme Value Theory for Measuring Financial Risk

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Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution (2016, unknown): “We report results for several values of ξ that are consistent with the validity of our bias correction formula, and with the existence of the first two moments of the GPD. Positive values of ξ are especially pertinent in the modeling of returns on financial assets (e.g., see the results of Klüppelbe”
Insurability of Cyber Risk: An Empirical Analysis (2014, methodology): “Gordon et al., 2003). In short, the extant literature tends to highlight aspects of the insurability of cyber risks; our discussion of insurability is thus based on own data and on a review of this literature. 6 Haas and Hofmann (2013) discuss risk management and the insurability of cloud computing ”