Modelling Extremal Events for Insurance and Finance

By Jem N. Corcoran. 2002

4,039 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/ebbcee8b22f8d1a2cd5ac3858b84e8f2af127300

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Citations in the corpus

Copulas: A Review and Recent Developments (2006, background): “They are more useful than the joint or marginal unconditional distributions and have become a standard tool in finance and insurance, see Embrechts et al.[39], Cherubini et al.[21], Patton[103], Fermanian and Scaillet[48], Fermanian and Wegkamp[49].”
Bayesian Spatial Modeling of Extreme Precipitation Return Levels (2007, background): “It has been shown that maxima of stationary series still converges in distribution to a GEV provided that dependence is short-range and that extremes do not occur in clusters (Embrechts et al., 1997).”
The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails (2004, background): “…exist some constant 00aB and positive slowly varying function L(x) such that F (x) x aL(x): (2:3) We denote this case by F R a: For reviews on heavy-tailed distributions and their applications to insurance and finance, the readers are referred to Bingham et al. (1987) and Embrechts et al. (1997).”
Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation (2009, methodology): “For more details about heavy-tailed distributions and their applications to insurance and finance, the reader is referred to Bingham et al.[2] and Embrechts et al.[10].”
Stein's Lemma for elliptical random vectors (2008, background): “Especially in insurance, the liability components are typically heavier-tailed than the normal (see for instance [4,15]).”
Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database (2003, methodology): “For a deeper introduction to EVT, refer to the books by Embrechts et al. (1997) and Beirlant et al. (1996).”
International diversification: A copula approach (2011, neutral): “For more details , see de Haan and Ferreira ( 2006 ) and Embrechts et al .”
A note on generalized inverses (2013, background): “Many of the basic results in extreme value theory involve generalized inverses; see for instance Embrechts et al. (1997) and the references therein.”
Pricing catastrophe insurance products based on actually reported claims (2000, background): “This means that the aggregate claim basically is determined by the largest claim; see Embrechts et al. (1997) or Rolski et al. (1999).”
Using copulae to bound the Value-at-Risk for functions of dependent risks (2003, background): “These generalized inverses possess the following properties; see Embrechts et al. (1997), p.130 and Appendix A1.”
Space–time modelling of extreme events (2012, background): “(2004), Embrechts et al. (1997) or de Haan and Ferreira (2006). As the upper tail may be well approximated by a generalized Pareto distribution, the distribution F of Y can be approximated by”
High volatility, thick tails and extreme value theory in value-at-risk estimation (2003, background): “8 For an in-depth coverage of EVT and its applications in finance and insurance, see Embrechts et al. (1997), McNeil (1998), Reiss and Thomas (1997) and Teugels and Vynckier (1996).”
Estimating the tail-dependence coefficient: Properties and pitfalls (2005, methodology): “Different methods for estimating the tail index are discussed, e.g., in Matthys and Beirlant (2002) or Embrechts et al. (1997).”