Extreme Value Theory as a Risk Management Tool |
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| Authors: | Paul Embrechts PhD Sidney I Resnick PhD Gennady Samorodnitsky PhD |
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| Institution: | 1. Department of Mathematics , ETHZ, CH-8092 Zurich , Switzerland E-mail: embrechts@math.ethz.ch;2. School of Operations Research and Industrial Engineering , Cornell University , Rhodes Hall/ETC Building, Ithaca, New York 14853 E-mail: sid@orie.cornell.edu;3. School of Operations Research and Industrial Engineering , Cornell University , Rhodes Hall /ETC Building, Ithaca, New York 14853 E-mail: gennady@orie.cornell.edu |
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| Abstract: | The financial industry, including banking and insurance, is undergoing major changes. The (re)insurance industry is increasingly exposed to catastrophic losses for which the requested cover is only just available. An increasing complexity of financial instruments calls for sophisticated risk management tools. The securitization of risk and alternative risk transfer highlight the convergence of finance and insurance at the product level. Extreme value theory plays an important methodological role within risk management for insurance, reinsurance, and finance. |
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