Extreme Value Theory (EVT) deals with the analysis of rare events and it has been recently used in finance to predict the occurrence of such events, or, at least, to build more robust models for unexpected extreme events. Particularly, EVT has been used to model the loss severities in...

The Asmussen-Kroese Monte Carlo estimators of P(S_n u) and P(S_N u) are known to work well in rare event settings, where S_N is the sum of independent, identically distributed heavy-tailed random variables X_1,...,X_N and N is a non-negative, integer-valued random variable independent of the...

We propose a simulated maximum likelihood estimator for dynamic models based on non-parametric kernel methods. Our method is designed for models without latent dynamics from which one can simulate observations but cannot obtain a closed-form representation of the likelihood function. Using the...

We propose a simulated maximum likelihood estimator (SMLE) for general stochastic dynamic models based on nonparametric kernel methods. The method requires that, while the actual likelihood function cannot be written down, we can still simulate observations from the model. From the simulated...