Extreme Value Estimation in the Application of Finance and Insurance

Author: Ouyang Zisheng
Publisher:
Publish Date: 2006-04-01
Features: When using extreme value theory for risk management, it is first necessary to analyze the statistical patterns of extreme events and obtain estimates of the parameters in the extreme value distribution and the high percentiles. This is where the extreme value estimation methods in this book come into play. The author systematically studies extreme value estimation methods, verifying the models through mathematical proofs and computer random simulations. Then, the estimation theory is applied to finance and insurance, establishing models for extreme events in these fields. Empirical analysis is conducted using actual stock return data from China, as well as medical and catastrophe insurance claim data, to achieve an effective measurement of extreme risks in finance and insurance. The author's research, based on extreme value estimation, not only introduces theoretical innovations but also is supported by historical empirical data. Accurately characterizing extreme events in finance and insurance and measuring the extreme risks faced by the industry have always been concerns for financial regulators and actuaries. The continuous deepening and development of extreme value theory provide a solid platform for measuring such extreme risks. When using extreme value theory for risk management, it is first necessary to analyze the statistical patterns of extreme events and obtain estimates of the parameters in the extreme value distribution and the high percentiles. This is where the extreme value estimation methods in this book come into play. The book first systematically studies extreme value estimation methods, verifying the models through mathematical proofs and computer random simulations. Then, the estimation theory is applied to finance and insurance, establishing models for extreme events in these fields. Empirical analysis is conducted using actual stock return data from China, as well as medical and catastrophe insurance claim data, to achieve an effective measurement of extreme risks in finance and insurance. This book is suitable for statisticians, risk managers, and actuaries. Accurately characterizing extreme events in finance and insurance and measuring the extreme risks faced by the industry have always been concerns for financial regulators and actuaries. The continuous deepening and development of extreme value theory provide a solid platform for measuring such extreme risks.