Extreme Value Theory as a Risk Management Tool

North American Actuarial Journal - Tập 3 Số 2 - Trang 30-41 - 1999
Paul Embrechts1, Sidney I. Resnick2, Gennady Samorodnitsky3
1Department of Mathematics , ETHZ, CH-8092 Zurich , Switzerland E-mail: [email protected]
2School of Operations Research and Industrial Engineering , Cornell University , Rhodes Hall/ETC Building, Ithaca, New York 14853 E-mail: [email protected]
3School of Operations Research and Industrial Engineering , Cornell University , Rhodes Hall /ETC Building, Ithaca, New York 14853 E-mail: [email protected]

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