Diese Dissertation setzt sich aus vier Arbeiten zusammen, die Forschungsfragen bezüglich verschiedener Kernaufgaben von Versicherungsunternehmen betrachten: Das Pricing von Versicherungsprodukten, die Schätzung zukünftiger Schäden, das Management von Aktiva und Passiva und die Erfüllung der...

Cover -- Title Page -- Copyright -- Contents -- About the Editor -- About the Contributors -- Chapter 1 Introduction -- 1.1 Extremes -- 1.2 History -- 1.3 Extreme value theory -- 1.4 Statistical estimation of extremes -- 1.5 Applications in finance -- 1.6 Practitioners' points of view -- 1.7 A...

"Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market behavior including both ordinary and extraordinary conditions."

The recent financial crisis has accentuated the fact that extreme outcomes have been overlookedand not dealt with adequately. While extreme value theories have existed for a long time, themultivariate variant is difficult to handle in the financial markets due to the prevalentheteroskedasticity...

This paper demonstrates the extensive scope of an alternative to standardinstrumental variables methods, namely covariate-based methods, for identifying and es-timating effects of interest in general structural systems. As we show, commonly usedeconometric methods, speci…cally parametric,...

Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers-in other words, to correct reality if it does not fit the model. Recognizing that any model is only an approximation of reality,...