Risk measurement using time varying extreme value copulas
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Abstract (EN)
This thesis aims to estimate reliable risk measures by considering the dependent and heavy-tailed characteristics of the different insurance risk branches. Thus, it is aimed to model the skewed and heavy-tailed data more accurately by an extreme value theory (EVT) model which combines the time series and copula models. This approach is also called dynamic EVT, due to two-piece modelling, which can tackle the specific needs of insurance data.
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Bükre Yıldırım Külekci
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Bükre Yıldırım Külekci (Doctorate thesis). Risk measurement using time varying extreme value copulas, 2021, Hacettepe University.
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