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Extreme value analysis of actuarial risks: estimation and model validation

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  • Holger Drees

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  • Holger Drees, 2012. "Extreme value analysis of actuarial risks: estimation and model validation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 225-264, June.
    • Handle: RePEc:spr:alstar:v:96:y:2012:i:2:p:225-264
    DOI: 10.1007/s10182-011-0184-z
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    References listed on IDEAS

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    1. Danielsson, J. & de Haan, L. & Peng, L. & de Vries, C. G., 2001. "Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation," Journal of Multivariate Analysis, Elsevier, vol. 76(2), pages 226-248, February.
    2. Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
    3. Einmahl, J.H.J. & Segers, J.J.J., 2008. "Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution," Discussion Paper 2008-42, Tilburg University, Center for Economic Research.
    4. Vandewalle, B. & Beirlant, J., 2006. "On univariate extreme value statistics and the estimation of reinsurance premiums," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 441-459, June.
    5. Einmahl, J.H.J. & Segers, J.J.J., 2008. "Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution," Other publications TiSEM e9340b9a-fe69-4e77-8594-8, Tilburg University, School of Economics and Management.
    6. Anthony W. Ledford & Jonathan A. Tawn, 1997. "Modelling Dependence within Joint Tail Regions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 59(2), pages 475-499.
    7. Hall, Peter, 1990. "Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 177-203, February.
    8. Einmahl, J.H.J. & Segers, J.J.J., 2009. "Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution," Other publications TiSEM ffef2e15-c4a8-471f-b730-1, Tilburg University, School of Economics and Management.
    9. McNeil, Alexander J., 1997. "Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory," ASTIN Bulletin, Cambridge University Press, vol. 27(1), pages 117-137, May.
    10. Drees, Holger & Müller, Peter, 2008. "Fitting and validation of a bivariate model for large claims," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 638-650, April.
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