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Embrechts, Paul; Resnick, Sidney I.; Samorodnitsky, Gennady

Extreme value theory as a risk management tool. SOA Seminar: Integrated Approaches to Risk Measurement in the Financial Services Industry (Atlanta, GA, 1997). (English) Zbl 1082.91530

N. Am. Actuar. J. 3, No. 2, 30-41 (1999).
Summary: The financial industry, including banking and insurance, is undergoing major changes. The (re)insurance industry is increasingly exposed to catastrophic losses for which the requested cover is only just available. An increasing complexity of financial instruments calls for sophisticated risk management tools. The securitization of risk and alternative risk transfer highlight the convergence of finance and insurance at the product level. Extreme value theory plays an important methodological role within risk management for insurance, reinsurance, and finance.

Cited in 51 Documents

MSC:

91B30 Risk theory, insurance (MSC2010)
62G32 Statistics of extreme values; tail inference
62P05 Applications of statistics to actuarial sciences and financial mathematics
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\textit{P. Embrechts} et al., N. Am. Actuar. J. 3, No. 2, 30--41 (1999; Zbl 1082.91530)
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