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Univariate and bivariate GPD methods for predicting extreme wind storm losses

  • Published:2009-06 Issue:3 Volume:44 Page:345-356
  • ISSN:0167-6687
  • Container-title:Insurance: Mathematics and Economics
  • language:en
  • Short-container-title:Insurance: Mathematics and Economics

Author:

Brodin Erik,Rootzén Holger

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference16 articles.

1. Statistics of Extremes: Theory and Applications;Beirlant,2004

2. Comparison of approaches for estimating the probability of coastal flooding;Bruun;Journal of Royal Statistical Society Series C,1998

3. An Introduction to Statistical Modeling of Extreme Values;Coles,2001

4. Modeling catastrophes and their impact on insurance portfolios;Cossette;North American Actuarial Journal,2003

5. Modelling Extremal Events for Insurance and Finance;Embrechts,1997

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