Estudio de eventos extremos enfocado a seguros y finanzas

Abstract

Many fields of modern science and engineering have to deal with events which are rare but have significant consequences. Extreme value theory is considered to provide the basis for the statistical modeling of such extremes. The potential of extreme value theory applied to financial problems has only been recognized recently. This paper aims at introducing the fundamentals of extreme value theory as well as practical aspects for estimating. Mainly there have been two new approaches: One approach is based on the asymptotic joint distribution of extreme order statistics; and an alternative approach is model all the excedances over a high threshold using a Generalized Pareto Distribution.