Extreme Value Estimation: Its Application in Finance and Insurance

Author: Ouyang Zisheng
Publisher:
Publishing Time: Not Available
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, verifies the models through mathematical proofs and computer random simulations, and then applies the estimation theory to finance and insurance. Models are established for extreme events in finance and insurance, and empirical analyses are conducted using actual stock return data from China and medical and catastrophe insurance claim data. This achieves the 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 receives support from historical empirical data. Accurately characterizing extreme events in finance and insurance and measuring the extreme risks faced by the industry have always been concerns of 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, verifies the models through mathematical proofs and computer random simulations, and then applies the estimation theory to finance and insurance. Models are established for extreme events in finance and insurance, and empirical analyses are conducted using actual stock return data from China, medical, and catastrophe insurance claim data as samples. This achieves the effective measurement of extreme risks in finance and insurance. The book is suitable for statisticians, risk management professionals, and actuaries. Accurately characterizing extreme events in finance and insurance and measuring the extreme risks faced by the industry have always been concerns of financial regulators and actuaries. The continuous deepening and development of extreme value theory provide a solid platform for measuring such extreme risks.