Smooth extremal models in finance and insurance

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Version: Final published version
Serval ID
serval:BIB_14BF3993FFB1
Type
Article: article from journal or magazin.
Collection
Publications
Title
Smooth extremal models in finance and insurance
Journal
Journal of Risk and Insurance
Author(s)
Chavez-Demoulin V., Embrechts P.
ISSN
0022-4367
Publication state
Published
Issued date
06/2004
Peer-reviewed
Oui
Volume
71
Number
2
Pages
183-199
Language
english
Abstract
This article describes smooth nonstationary generalized additive modeling for sample extremes, in which spline smoothers are incorporated into models for exceedances over high thresholds. We summarize the smoothing methodology as a new tool for practical extreme value exploration in finance and insurance.
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23/08/2011 8:57
Last modification date
20/08/2019 13:43
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