Modelling Extremal Events
Published 1 January 1997
Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch
Citations4,369
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Abstract
Both in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations in financial data, stock market shocks, risk management, ...) pla
Keywords
Social SciencesEconomics, Econometrics and Finance
Maximum-Likelihood Estimation
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