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...

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...

The Basel Committee on Banking Supervision ("the Committee") released a consultative document that included a regulatory capital charge for operational risk. Since the release of the document, the complexity of the concept of "operational risk" has led to vigorous and recurring discussions. We...

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,...

For estimating the shape parameter of Paretian excess claims, certainBayesian estimators, which are closely related to the Hill estimator, have been suggested in the insurance literature...

This paper studies the distribution of the classical t-ratio with data generatedfrom distributions with no nite moments and shows how classical testing is affectedby bimodality. A key condition in generating bimodality is independenceof the observations in the underlying data generating process...