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Modelling Extremal Events for Insurance and Finance · Study

WorkModelling Extremal Events for Insurance and Finance

Jem N. Corcoran2002

Work2002

Modelling Extremal Events for Insurance and Finance

Jem N. Corcoran

369 citations·0/0 files stored·Journal of the American Statistical Association

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Probability and Risk Models Insurance and Financial Risk Management Financial Risk and Volatility Modeling

Abstract

(2002). Modelling Extremal Events for Insurance and Finance. Journal of the American Statistical Association: Vol. 97, No. 457, pp. 360-360.

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2012Jump tails, extreme dependencies, and the distribution of stock returns 2010The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis 2016Frontiers in VaR forecasting and backtesting 2008Power Laws in Economics and Finance 2006Range Unit‐Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers 2022Contagion and tail risk in complex financial networks 2017Compound unimodal distributions for insurance losses 2007On the time value of absolute ruin with debit interest

Details

Year2002

Typeother

Published2002-03-01

VenueJournal of the American Statistical Association

ISSN-L0162-1459

Languageen

Citations369

Files0 public / 0

ShelfProbability and Risk Models

Identifiers

doi10.1198/jasa.2002.s455

openalex_workW1996068192

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