Extremes and Robustness: A Contradiction?

@article{DellAquila2006ExtremesAR,
  title={Extremes and Robustness: A Contradiction?},
  author={Rosario Dell’Aquila and Paul Embrechts},
  journal={Financial Markets and Portfolio Management},
  year={2006},
  volume={20},
  pages={103-118}
}
Stochastic models play an important role in the analysis of data in many different fields, including finance and insurance. Many models are estimated by procedures that lose their good statistical properties when the underlying model slightly deviates from the assumed one. Robust statistical methods can improve the data analysis process of the skilled analyst and provide him with useful additional information. For this anniversary issue, we discuss some aspects related to robust estimation in… CONTINUE READING

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