Smooth Extremal Models in Finance and Insurance

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.
Volume
Vol. 71, No. 2, June
Page
183-199
Year
2004
Categories
Financial and Statistical Methods
Statistical Models and Methods
Generalized Linear Modeling
Financial and Statistical Methods
Extreme Event Modeling
Publications
Journal of Risk and Insurance, The
Authors
V Chavez-Demoulin
Paul Embrechts