Extreme Value Theory and Archimedean Copulas

Mario V. Wüthrich

Scandinavian Actuarial Journal, 2004, vol. 2004, issue 3, 211-228

Abstract: Using the language of copulas, we generalize the famous Fisher-Tippett Theorem of extreme value theory to the case with sequences of dependent random variables. The dependence structure is modelled using archimedean copulas. This generalization enables to study the behaviour of the maxima of dependent random sequences.

Date: 2004
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03461230110106539 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:sactxx:v:2004:y:2004:i:3:p:211-228

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/sact20

DOI: 10.1080/03461230110106539

Access Statistics for this article

Scandinavian Actuarial Journal is currently edited by Boualem Djehiche

More articles in Scandinavian Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().