Asset Details
Do you wish to reserve the book?
Approximation of the Equilibrium Distribution via Extreme Value Theory: an Application to Insurance Risk
Hey, we have placed the reservation for you!
By the way, why not check out events that you can attend while you pick your title.
Oops! Something went wrong.
Looks like we were not able to place the reservation. Kindly try again later.
Are you sure you want to remove the book from the shelf?
Approximation of the Equilibrium Distribution via Extreme Value Theory: an Application to Insurance Risk
Do you wish to request the book?
Approximation of the Equilibrium Distribution via Extreme Value Theory: an Application to Insurance Risk
Please be aware that the book you have requested cannot be checked out. If you would like to checkout this book, you can reserve another copy
We have requested the book for you!
Your request is successful and it will be processed during the Library working hours. Please check the status of your request in My Requests.
Oops! Something went wrong.
Looks like we were not able to place your request. Kindly try again later.
Journal Article
Approximation of the Equilibrium Distribution via Extreme Value Theory: an Application to Insurance Risk
2021
Overview
We use the excess over a threshold method (see e.g. Embrechts et al. 1997) to approximate the tails of equilibrium distributions (integrated tail distributions) associated to distributions with regularly varying tail. We evaluate the performance of our approximations in some particular cases of distributions with regularly varying tails. Finally, we apply our results to the Danish reinsurance real data set.
Publisher
Springer Nature B.V
