Albrecher, H., Beirlant, J. and Teugels, J.L. (2017). Reinsurance: Actuarial and Statistical Aspects. John Wiley & Sons.
Ammeter, H. (1964). The rating of "largest claim" reinsurance covers. Quarterly Letter from the Allgemeene Reinsurance Companies, 5–17.
Balkema, A.A. and De Haan, L. (1974). Residual life time at great age. The Annals of Probability, 2(5):792–804.
Bazyari, A. (2022). Ruin probabilities for two risk models with asymptotically independent and dependent classes. Journal of the Iranian Statistical Society, 21(2):165–196.
Bazyari, A. (2023a). On the ruin probabilities for a general perturbed renewal risk process. Journal of Statistical Planning and Inference, 277:1–17.
Bazyari, A. (2023b). Inequalities on the ruin probability for light-tailed distributions with some restrictions. Communications in Statistics, Theory and Methods. https://doi.org/10.1080/03610926.2023.2281273.
Beirlant, J. and Teugels, J.L. (1992). Modeling large claims in non-life insurance. Insurance: Mathematics and Economics, 11(1):17–29.
Chan, G.K. and Yang, H. (2005). Sensitivity analysis on ruin probabilities with heavy-tailed claims. Statistical Methodology, 2(1):59–63.
Charpentier, A. and Flachaire, E. (2021). Pareto models for risk management. Recent Econometric Techniques for Macroeconomic and Financial Data, 355–387.
Cramer, H. (1938). Sur un nouveau theoreme-limite de la theorie des probabilites. Actualites Sci. et Industrielles, 736, 5–23.
Christoffersen, P.F. (1998). Evaluating interval forecasts. International Economic Review, 39(4):841–862.
Chukwudum, Q.C. (2019). Extreme value theory and copulas: Reinsurance in the presence of dependent risks. Applied Mathematical Sciences, 13(2):67–86.
Denuit, M., Purcaru, O. and Van Keilegom, I. (2004). Bivariate archimedean copula modelling for loss-ALAE data in non-life insurance. IS Discussion Papers, 423:1–21.
Eling, M., Gatzert, N. and Schmeiser, H. (2009). Minimum standards for investment performance: A new perspective on non-life insurer solvency. Insurance: Mathematics and Economics, 45(1):113–122.
Embrechts, P., Resnick, S.I. and Samorodnitsky, G. (1999). Extreme value theory as a risk management tool. North American Actuarial Journal, 3(2):30–41.
Eryilmaz, S. and Gebizlioglu, O.L. (2017). Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences. Journal of Computational and Applied Mathematics, 313:235–242.
Frees, E.W. and Valdez, E.A. (1998). Understanding relationships using copulas. North American Actuarial Journal, 2(1):1–25.
Frees, E.W. and Wang, P. (2005). Credibility using copulas. North American Actuarial Journal, 9(2):31–48.
Glosten, L.R., Jagannathan, R. and Runkle, D.E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5):1779–1801.
Jin, F., Li, J. and Li, G. (2022). Modeling the linkages between bitcoin, gold, dollar, crude oil, and stock markets: A GARCH-EVT-Copula approach. Discrete Dynamics in Nature and Society, 2022(1):8901180.
Jorion, P. (2007). Financial Risk Manager Handbook. John Wiley & Sons.
Konstantinides, D.G. (2011). Extremal subexponentiality in ruin probabilities. Communications in Statistics-Theory and Methods, 40(16):2907–2918.
Kratz, M. (2019). Introduction to extreme value theory: Applications to risk analysis and management. In: de Gier, J., Praeger, C., Tao, T. (Eds.), 2017 MATRIX Annals, 2:591–636.
Kulekci, B.Y., Karabey, U. and Selcuk-Kestel, S. (2023). Assessment of dependent risk using extreme value theory in a time-varying framework. Hacettepe Journal of Mathematics and Statistics, 51(1):248–267.
Kupiec, P.H. (1995). Techniques for verifying the accuracy of risk measurement models. The Journal of Derivatives, 3(2):73–84.
Ledford, A.W. and Tawn, J.A. (1996). Statistics for near independence in multivariate extreme values. Biometrika, 83(1):169–187.
Lundberg, F. (1903). Approximerad Framställning af Sannolikhetsfunktionen: Återförsäkring af kollektivrisker. Almqvist & Wiksells Boktr.
Marimoutou, V., Raggad, B. and Trabelsi, A. (2009). Extreme value theory and value at risk: Application to oil market. Energy Economics, 31(4):519–530.
McNeil, A.J. (1999). Extreme value theory for risk managers. Departement Mathematik ETH Zentrum, 12(5):217–237.
McNeil, A.J. and Frey, R. (2000). Estimation of tail-related risk measures for heteroscedastic financial time series: An extreme value approach. Journal of Empirical Finance, 7(3-4):271–300.
Mikosch, T. (1997). Heavy-tailed modelling in insurance. Stochastic Models, 13(4):799–815.
Patton, A.J. (2006). Modelling asymmetric exchange rate dependence. International Economic Review, 47(2):527–556.
Pickands III, J. (1975). Statistical inference using extreme order statistics. The Annals of Statistics, 3(1):119–131.
Sklar, A. (1985). Fonctions de répartition à n dimensions et leurs marges. Publications de l'Institut Statistique de l'Université de Paris, 8(3):229–231.
Smith, R.L. (1985). Maximum likelihood estimation in a class of nonregular cases. Biometrika, 2(1):67–90.
Thepaut, A. (1950). Une Nouvelle Forme De Réassurance: Le Traité D'excédent Du Coût Moyen Relatif. (ecomor), Paris: Dulac.
Tsai, M.S. and Chen, L.C. (2011). The calculation of capital requirement using extreme value theory. Economic Modelling, 28(1-2):390–395.
Watts, K.A., Dupuis, D.J. and Jones, B.L. (2006). An extreme value analysis of advanced age mortality data. North American Actuarial Journal, 10(4):162–178.
Weng, C., Zhang, Y. and Tan, K.S. (2009). Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Scandinavian Actuarial Journal, 2009(3):205–218.
)