Smooth Extremal Models in Finance and Insurance

Extreme Value Theory (EVT) has develop ed very rapidly over the past two decades both methodologically and with respect to applications. Whereas (non–life) actuaries have, at least implicitly, used EVT techniques for a long time, mainly through the emergence of quantitative Risk Management, EVT has entered more recently the finance stage as a useful to olkit for describing non–standard (more precisely non-normal) price fluctuations. Econometricians for a long time were well aware of the so–called stylised facts of market data, which clearly showed that normal distribution based models (i.e. Brownian motion technology) are only a first step into the direction of finding more realistic models...