Extreme value theory provides a robust statistical framework to analyse rare and potentially catastrophic events by quantifying the tail behaviour of probability distributions. Central to this ...
An accurate estimation of extreme claims is fundamental to assess solvency capital requirements (SCR) established by Solvency II. Basing on the Extreme Value Theory (EVT), this paper performs a ...
This is a preview. Log in through your library . Abstract Consider a class of nonstationary time series with the form Yt = μt + ξt where {ξt} is a sequence of infinite moving averages of independent ...
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