Abstract: Abstract 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.
Publication Year: 2004
Publication Date: 2004-09-24
Language: en
Type: other
Indexed In: ['crossref']
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Cited By Count: 1
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