Browsing Theses by Author "Cui, Hengxin"
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Quantitative Analysis of Extreme Risks and Extremal Dependence in Insurance and Finance
Cui, Hengxin (University of Waterloo, 2019-09-25)In this thesis, we aim at a quantitative understanding of extreme risks and extremal depen- dence in insurance and finance. We use regularly varying distribution functions in extreme value theory (EVT) to model extreme ...