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The Modelling of Extreme Events

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  • Sanders, D. E. A.

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.

Suggested Citation

  • Sanders, D. E. A., 2005. "The Modelling of Extreme Events," British Actuarial Journal, Cambridge University Press, vol. 11(3), pages 519-557, August.
    • Handle: RePEc:cup:bracjl:v:11:y:2005:i:03:p:519-557_00
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    Cited by:

    1. Ioan TalpoÅŸ & Cosmin Enache, 2007. "Public Finance And Extreme Events," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(9), pages 1-3.

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