Extreme Value Theory as a Risk Management Tool

Article Properties
Cite
Embrechts, Paul, et al. “Extreme Value Theory As a Risk Management Tool”. North American Actuarial Journal, vol. 3, no. 2, 1999, pp. 30-41, https://doi.org/10.1080/10920277.1999.10595797.
Embrechts, P., Resnick, S. I., & Samorodnitsky, G. (1999). Extreme Value Theory as a Risk Management Tool. North American Actuarial Journal, 3(2), 30-41. https://doi.org/10.1080/10920277.1999.10595797
Embrechts, Paul, Sidney I. Resnick, and Gennady Samorodnitsky. “Extreme Value Theory As a Risk Management Tool”. North American Actuarial Journal 3, no. 2 (1999): 30-41. https://doi.org/10.1080/10920277.1999.10595797.
Embrechts P, Resnick SI, Samorodnitsky G. Extreme Value Theory as a Risk Management Tool. North American Actuarial Journal. 1999;3(2):30-41.
Journal Category
Social Sciences
Finance
Refrences
Title Journal Journal Categories Citations Publication Date
10.2143/AST.27.1.563211 ASTIN Bulletin
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 1997
10.2143/AST.27.1.563210 ASTIN Bulletin
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 1997
Smoothing the Hill Estimator

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  • Science: Mathematics
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Extreme value statistics and wind storm losses: A case study Scandinavian Actuarial Journal
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Statistics
  • Social Sciences: Sociology (General)
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 59 1997
10.1016/S0304-4149(96)00111-1 Stochastic Processes and their Applications
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 1995
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  • Technology: Environmental technology. Sanitary engineering
  • Science: Biology (General): Ecology
  • Science: Geology
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Binary spatial random field reconstruction from non-Gaussian inhomogeneous time-series observations Journal of the Franklin Institute
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  • Science: Mathematics
  • Technology: Technology (General): Industrial engineering. Management engineering
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 2024
Quantitative analysis of the intensity distribution of optical rogue waves

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  • Science: Physics
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Citations Analysis
Category Category Repetition
Science: Mathematics51
Social Sciences: Economic theory. Demography: Economics as a science46
Social Sciences: Commerce: Business44
Social Sciences: Finance40
Science: Mathematics: Probabilities. Mathematical statistics35
Social Sciences: Statistics18
Technology: Engineering (General). Civil engineering (General)15
Science: Physics8
Science: Mathematics: Instruments and machines: Electronic computers. Computer science7
Technology: Technology (General): Industrial engineering. Management engineering7
Technology: Mechanical engineering and machinery6
Technology: Manufactures: Production management. Operations management6
Social Sciences: Commerce: Business: Personnel management. Employment management5
Science: Science (General)4
Geography. Anthropology. Recreation: Environmental sciences4
Technology: Environmental technology. Sanitary engineering4
Social Sciences: Sociology (General)4
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods4
Science: Physics: Meteorology. Climatology3
Science: Geology3
Science: Chemistry: Physical and theoretical chemistry3
Social Sciences3
Technology: Mechanical engineering and machinery: Renewable energy sources3
Science: Biology (General): Ecology3
Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics3
Technology: Hydraulic engineering: River, lake, and water-supply engineering (General)3
Bibliography. Library science. Information resources3
Science: Chemistry2
Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks2
Technology: Manufactures2
Science: Science (General): Cybernetics: Information theory2
Agriculture: Plant culture2
Social Sciences: Industries. Land use. Labor: Special industries and trades: Energy industries. Energy policy. Fuel trade2
Technology: Technology (General): Industrial engineering. Management engineering: Information technology2
Geography. Anthropology. Recreation: Recreation. Leisure: Sports1
Science: Chemistry: General. Including alchemy1
Medicine1
Science1
Science: Astronomy: Astrophysics1
Science: Physics: Electricity and magnetism: Electricity: Plasma physics. Ionized gases1
Social Sciences: Industries. Land use. Labor: Economic growth, development, planning1
Technology: Chemical technology: Chemical engineering1
Philosophy. Psychology. Religion: Psychology1
Medicine: Internal medicine: Special situations and conditions: Industrial medicine. Industrial hygiene1
Social Sciences: Transportation and communications1
Medicine: Public aspects of medicine1
Geography. Anthropology. Recreation: Oceanography1
Agriculture: Aquaculture. Fisheries. Angling1
Science: Biology (General)1
Agriculture: Animal culture1
Political science: International relations1
Geography. Anthropology. Recreation: Human ecology. Anthropogeography: Settlements: Cities. Urban geography1
Social Sciences: Communities. Classes. Races: Urban groups. The city. Urban sociology1
Technology: Chemical technology1
Technology: Electrical engineering. Electronics. Nuclear engineering: Materials of engineering and construction. Mechanics of materials1
Geography. Anthropology. Recreation1
Social Sciences: Commerce: Business: Accounting. Bookkeeping1
Agriculture: Agriculture (General)1
Technology: Electrical engineering. Electronics. Nuclear engineering: Telecommunication1
Social Sciences: Finance: Insurance1
The category Science: Mathematics 51 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach and was published in 2000. The most recent citation comes from a 2024 study titled Quantitative analysis of the intensity distribution of optical rogue waves. This article reached its peak citation in 2022, with 16 citations. It has been cited in 124 different journals, 11% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 41 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year