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North American Actuarial Journal Volume 10, 2006 - Issue 4
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Original Articles

Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk

Debbie J. Dupuis PhD Department of Management Sciences, HEC Montréal, Montréal, Québec, Canada, H3T 2A7
&
Bruce L. Jones PhD, FSA, FCIA Department of Statistical and Actuarial Sciences, University of Western Ontario, London, Ontario, Canada, N6A 5B7
Pages 1-27 | Published online: 02 Jan 2013

Citations (17)

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Read on this site (3)

Zeinab Amin. (2016) Quantification of Operational Risk: A Scenario-Based Approach. North American Actuarial Journal 20:3, pages 286-297.
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Ruodu Wang, Liang Peng & Jingping Yang. (2013) Jackknife empirical likelihood for parametric copulas. Scandinavian Actuarial Journal 2013:5, pages 325-339.
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Liang Peng. (2008) Estimating the Probability of a Rare Event via Elliptical Copulas. North American Actuarial Journal 12:2, pages 116-128.
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Articles from other publishers (14)

Carlin C. F. Chu & Simon S. W. Li. (2023) A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series. Computational Management Science 21:1.
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Darmesah Gabd & Jonathan Tawn. Inference for an extreme value model accounting for inter-site dependence. Inference for an extreme value model accounting for inter-site dependence.
Xiaohu Li, Jintang Wu & Jinsen Zhuang. (2013) Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims. Methodology and Computing in Applied Probability 17:2, pages 463-477.
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Sawsan Hilal, Ser-Huang Poon & Jonathan Tawn. (2014) Portfolio risk assessment using multivariate extreme value methods. Extremes 17:4, pages 531-556.
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Feifei Zheng, Seth Westra, Michael Leonard & Scott A. Sisson. (2014) Modeling dependence between extreme rainfall and storm surge to estimate coastal flooding risk. Water Resources Research 50:3, pages 2050-2071.
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Ralf Kellner & Nadine Gatzert. (2013) Estimating the basis risk of index-linked hedging strategies using multivariate extreme value theory. Journal of Banking & Finance 37:11, pages 4353-4367.
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K. Goda & J. Ren. 2013. Handbook of Seismic Risk Analysis and Management of Civil Infrastructure Systems. Handbook of Seismic Risk Analysis and Management of Civil Infrastructure Systems 760 786 .
Martin Eling. (2012) Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?. Insurance: Mathematics and Economics 51:2, pages 239-248.
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K Goda & J Ren. 2011. Applications of Statistics and Probability in Civil Engineering. Applications of Statistics and Probability in Civil Engineering 2416 2424 .
Kamel Beznia, Ahcene Bounceur, Salvador Mir & Reinhardt Euler. (2011) Parametric Test Metrics Estimation Using Non-gaussian Copulas. Parametric Test Metrics Estimation Using Non-gaussian Copulas.
Christian Genest, Ivan Kojadinovic, Johanna Nešlehová & Jun Yan. (2011) A goodness-of-fit test for bivariate extreme-value copulas. Bernoulli 17:1.
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Deyuan Li & Liang Peng. (2009) Goodness-of-fit test for tail copulas modeled by elliptical copulas. Statistics & Probability Letters 79:8, pages 1097-1104.
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Zhengjun Zhang. (2008) On approximating max-stable processes and constructing extremal copula functions. Statistical Inference for Stochastic Processes 12:1, pages 89-114.
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Abhay Kumar Singh, David E. Allen & Robert J. Powell. (2012) Risk and Dependence Analysis of Australian Stock Market - The Case of Extreme Value Theory. SSRN Electronic Journal.
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