The Modelling of Extreme Events

D. E. A. Sanders

British Actuarial Journal, 2005, vol. 11, issue 3, 519-557

Abstract: The modelling of extreme events is becoming of increased importance to actuaries. This paper outlines the various theories. It outlines the consistent theory underlying many of the differing approaches and gives examples of the analysis of models. A review of non-standard extreme events is given, and issues of public policy are outlined.

Date: 2005
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