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Untersuchte Arbeit: Seite: 1, Zeilen: 18-22 |
Quelle: Schmidt 2003 Seite(n): 6, Zeilen: 9-13 |
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Extreme events refer, for example, to extraordinary claims to insurance companies, crashes of equity markets or extreme losses in credit portfolios due to borrower defaults. Hence, extreme events occur rarely, i.e., only few extreme observations are available. Nevertheless, probabilities and dependence structures have to be assigned to extreme events due to their economic impact. | Extreme events refer, for example, to extraordinary claims to insurance companies, crashes of equity markets, or extreme losses in credit portfolios due to borrower defaults. Hence, extreme events occur rarely, ergo, only few extreme observations are available; but probabilities and dependence structures have to be assigned to extreme events due to their economic impact. |
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