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Extreme Value Theory as a Risk Management Tool

Author

Listed:
  • Paul Embrechts
  • Sidney Resnick
  • Gennady Samorodnitsky

Abstract

The financial industry, including banking and insurance, is undergoing major changes. The (re)insurance industry is increasingly exposed to catastrophic losses for which the requested cover is only just available. An increasing complexity of financial instruments calls for sophisticated risk management tools. The securitization of risk and alternative risk transfer highlight the convergence of finance and insurance at the product level. Extreme value theory plays an important methodological role within risk management for insurance, reinsurance, and finance.

Suggested Citation

  • Paul Embrechts & Sidney Resnick & Gennady Samorodnitsky, 1999. "Extreme Value Theory as a Risk Management Tool," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(2), pages 30-41.
    • Handle: RePEc:taf:uaajxx:v:3:y:1999:i:2:p:30-41
    DOI: 10.1080/10920277.1999.10595797
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