Premium
Smooth Extremal Models in Finance and Insurance
Author(s) -
ChavezDemoulin V.,
Embrechts P.
Publication year - 2004
Publication title -
journal of risk and insurance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.055
H-Index - 63
eISSN - 1539-6975
pISSN - 0022-4367
DOI - 10.1111/j.0022-4367.2004.00085.x
Subject(s) - smoothing , extreme value theory , econometrics , sample (material) , economics , smoothing spline , actuarial science , spline (mechanical) , mathematics , computer science , statistics , engineering , physics , structural engineering , thermodynamics , bilinear interpolation , spline interpolation
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.