This article describes smooth nonstationary generalized additive modeling for sample extremes, in which spline smoothers are incorporated into models for exceedances over high thresholds. We summarize the smoothing methodology as a new tool for practical extreme value exploration in finance and insurance.
CITATION STYLE
Chavez-Demoulin, V., & Embrechts, P. (2004). Smooth extremal models in finance and insurance. Journal of Risk and Insurance, 71(2), 183–199. https://doi.org/10.1111/j.0022-4367.2004.00085.x
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