Abstract
The financial industry, including banking and insurance, is undergoing major changes. The (re)insurance industry is increasingly exposed to catastrophic losses for which the requested cover is only just available. An increasing complexity of financial instruments calls for sophisticated risk management tools. The securitization of risk and alternative risk transfer highlight the convergence of finance and insurance at the product level. Extreme value theory plays an important methodological role within risk management for insurance, reinsurance, and finance.
Volume
3:2
Page
30-41
Year
1999
Categories
Actuarial Applications and Methodologies
Enterprise Risk Management
Processes
Analyzing/Quantifying Risks
Financial and Statistical Methods
Loss Distributions
Extreme Values
Financial and Statistical Methods
Extreme Event Modeling
Natural Peril Modeling
Financial and Statistical Methods
Statistical Models and Methods
Time Series
Financial and Statistical Methods
Risk Measures
Value-at-Risk (VAR);
Publications
North American Actuarial Journal
