Smooth extremal models in finance and insurance

被引：34

作者：

Chavez-Demoulin, V ^{[1
]}

Embrechts, P ^{[1
]}

机构：

[1] ETH Zentrum, Dept Math, CH-8092 Zurich, Switzerland

来源：

JOURNAL OF RISK AND INSURANCE | 2004年 / 71卷 / 02期

关键词：

D O I：

10.1111/j.0022-4367.2004.00085.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：183 / 199

页数：17

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