Browsing Theses by Supervisor "Yang, Fan"
Now showing items 1-2 of 2
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Quantitative Analysis of Extreme Risks and Extremal Dependence in Insurance and Finance
(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 ... -
Tail Dependence and Heavy Tailedness in Extreme Risks
(University of Waterloo, 2020-12-18)Much empirical work has shown that asset returns, exchange rates, operational risks, large insurance claims exhibit heavy tailedness. Dependence also widely exists among these risks. An example of the impact of dependence ...