Research Library

Premium Smooth Extremal Models in Finance and Insurance
Author(s)
ChavezDemoulin V.,
Embrechts P.
Publication year2004
Publication title
journal of risk and insurance
Resource typeJournals
PublisherBlackwell Publishing
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.
Subject(s)actuarial science , bilinear interpolation , econometrics , economics , engineering , extreme value theory , mathematics , physics , sample (material) , smoothing , smoothing spline , spline (mechanical) , spline interpolation , statistics , structural engineering , thermodynamics
Language(s)English
SCImago Journal Rank1.055
H-Index63
eISSN1539-6975
pISSN0022-4367
DOI10.1111/j.0022-4367.2004.00085.x

Seeing content that should not be on Zendy? Contact us.

This content is not available in your region!

Continue researching here.

Having issues? You can contact us here