Extreme Value Theory
Kapitel i bok, 2007
In insurance one often has to deal with extremal measurements like large claims. Comparable to central limit theory for sums of random variables, extreme value theory provides asymptotic and approximating results for these largest data values. The case of independent claims can be dealt with using three traditional extremal types. These types also appear in the stationary case when the dependence is not too strong.
extreme value distributions
extreme value theory
domains of attraction of extremes
stationary processes
extremal types theorem
stationary sequences
regular variation
Författare
Patrik Albin
Chalmers, Matematiska vetenskaper, Matematisk statistik
Encyclopedia of Actuarial Science
1-4
9780470846766 (ISBN)
Ämneskategorier (SSIF 2025)
Sannolikhetsteori och statistik
DOI
10.1002/9780470012505.tae028