AN APPLICATION OF EXTREME VALUE THEORY IN AUTOMOBILE INSURANCE: A NEW APPROACH TO THE CONVEX COMBINATION OF TWO VARIABLES THRESHOLDS MINIMIZING THE VARIANCE OF THIS COMBINATION

Advances and Applications in Statistics ◽

10.17654/as048020091 ◽

2016 ◽

Vol 48 (2) ◽

pp. 91-108

Author(s):

Yingmei Xu ◽

Diawara Daouda ◽

Kané Ladji

Keyword(s):

Extreme Value Theory ◽

Convex Combination ◽

Value Theory ◽

Extreme Value ◽

Automobile Insurance ◽

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Commodity Futures in Asset Allocation: A New Approach with the Extreme Value Theory

SSRN Electronic Journal ◽

10.2139/ssrn.715641 ◽

2005 ◽

Author(s):

Shengwu Du

Keyword(s):

Extreme Value Theory ◽

Asset Allocation ◽

Value Theory ◽

Extreme Value ◽

Commodity Futures ◽

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Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory

Economic Modelling ◽

10.1016/j.econmod.2020.10.002 ◽

2021 ◽

Vol 94 ◽

pp. 401-414

Author(s):

Haiying Wang ◽

Ying Yuan ◽

Yiou Li ◽

Xunhong Wang

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Financial Contagion ◽

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Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2013.01.032 ◽

2013 ◽

Vol 392 (9) ◽

pp. 2163-2174 ◽

Author(s):

Yu Wei ◽

Wang Chen ◽

Yu Lin

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Multifractal Analysis ◽

Value Theory ◽

Extreme Value ◽

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Extreme Value Theory and Archimedean Copulas

Scandinavian Actuarial Journal ◽

10.1080/03461230110106534 ◽

2004 ◽

Vol 2004 (3) ◽

pp. 211-228 ◽

Author(s):

Mario V. Wüthrich

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Archimedean Copulas

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Extreme Value Theory and Dependence.

10.21236/ada159138 ◽

1985 ◽

Author(s):

M. R. Leadbetter

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

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Extreme Value Theory for Suprema of Random Variables with Regularly Varying Tail Probabilities.

10.21236/ada179126 ◽

1986 ◽

Author(s):

Tailen Hsing

Keyword(s):

Extreme Value Theory ◽

Random Variables ◽

Value Theory ◽

Extreme Value ◽

Tail Probabilities ◽

Regularly Varying

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Extreme value theory and high quantile convergence

The Journal of Operational Risk ◽

10.21314/jop.2006.009 ◽

2006 ◽

Vol 1 (2) ◽

pp. 51-57 ◽

Author(s):

Mikhail Makarov

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

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Efficient filtering of financial time series and extreme value theory

The Journal of Risk ◽

10.21314/jor.2005.107 ◽

2005 ◽

Vol 7 (2) ◽

pp. 63-84 ◽

Author(s):

Kaj Nyström ◽

Jimmy Skoglund

Keyword(s):

Time Series ◽

Extreme Value Theory ◽

Financial Time Series ◽

Value Theory ◽

Extreme Value ◽

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Modeling extreme returns and asymmetric dependence structures of hedge fund strategies using extreme value theory and copula theory

The Journal of Risk ◽

10.21314/jor.2010.220 ◽

2010 ◽

Vol 13 (2) ◽

pp. 23-55 ◽

Author(s):

Jan Viebig ◽

Thorsten Poddig

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Copula Theory ◽

Asymmetric Dependence ◽

Extreme Returns ◽

Dependence Structures

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Specification test for threshold estimation in extreme value theory

The Journal of Operational Risk ◽

10.21314/jop.2014.145 ◽

2014 ◽

Vol 9 (2) ◽

pp. 23-37

Author(s):

Lourenco Couto Miranda

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Threshold Estimation ◽

Specification Test

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