Smooth extremal models in finance and insurance

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Abstract

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.

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APA

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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