Smooth Extremal Models in Finance and Insurance

V. Chavez‐Demoulin and P. Embrechts

Journal of Risk & Insurance, 2004, vol. 71, issue 2, 183-199

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.

Date: 2004
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https://doi.org/10.1111/j.0022-4367.2004.00085.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jrinsu:v:71:y:2004:i:2:p:183-199

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