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Title:

Modern extreme value theory at the interface of risk management, Bayesian networks and heavy-tailed time series.

Document type:
Buchbeitrag
Author(s):
Embrechts, Paul, Klüppelberg, Claudia and Mikosch, Thomas
Abstract:
We consider ourselves very fortunate to having been able to publish our 1997 book [7], with the title “Modelling Extremal Events for Insurance and Finance”, under the expert guidance of Catriona Byrne. Whereas, at the time, Extreme Value Theory (EVT) already had a rich history of methodological developments, our book greatly contributed to new areas of applications. By now, EVT constitutes an important area of research within probability and statistics. What started in 1997 as a book project und...     »
Dewey Decimal Classification:
510 Mathematik
Editor:
Morel, J.-M. and Teissier, B.
Book title:
Mathematics Going Forward - Collected Mathematical Brushstrokes
Publisher:
Springer
Publisher address:
Heidelberg
Year:
2022
Language:
en
Semester:
SS 22
TUM Institution:
Lehrstuhl für Mathematische Statistik
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