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| 破产论× | 极值理论 (EVT)× | |
|---|---|---|
| 领域≠ | 精算学 | 金融学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2010 | 2001 |
| 提出者≠ | Filip Lundberg; Harald Cramér | Coles (textbook treatment); McNeil, Frey & Embrechts |
| 类型≠ | Stochastic risk process model | Tail / extreme-event model |
| 开创性文献≠ | Asmussen, S., & Albrecher, H. (2010). Ruin Probabilities (2nd ed.). World Scientific. ISBN: 978-981-4282-52-9 | Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer. ISBN: 978-1852334598 |
| 别名≠ | Collective Risk Theory, Cramér-Lundberg Theory, Probability of Ruin Analysis, Hasar Süreci Çöküş Teorisi | EVT, generalized extreme value, generalized Pareto distribution, peaks over threshold |
| 相关≠ | 3 | 5 |
| 摘要≠ | Ruin Theory models the stochastic surplus process of an insurance company to quantify the probability that accumulated losses eventually exceed available capital. Introduced by Filip Lundberg in his 1903 doctoral thesis and rigorously unified by Harald Cramér in 1930, the classical Cramér-Lundberg model assumes premiums arrive at a constant rate, claims follow a compound Poisson process, and individual claim sizes are independent and identically distributed. It remains the foundational framework of collective risk theory in actuarial science. | Extreme Value Theory is a statistical framework for modelling the rare events that live in the tail of a probability distribution. As developed in Coles (2001) and applied to risk by McNeil, Frey & Embrechts (2005), it offers two standard routes: the Generalized Extreme Value (GEV) distribution for block maxima and the Generalized Pareto Distribution (GPD), used in the peaks-over-threshold approach, for exceedances above a high threshold. |
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