Introduction to extreme value theory: applications to risk analysis and management

DOI10.1007/978-3-030-04161-8_51zbMath1422.60087OpenAlexW2920827799MaRDI QIDQ2001261

Marie F. Kratz

Publication date: 2 July 2019

Full work available at URL: https://doi.org/10.1007/978-3-030-04161-8_51

zbMATH Keywords

generalized Pareto distributionpeak over threshold

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Credit risk (91G40) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (2)

Assessment of dependent risk using extreme value theory in a time-varying framework ⋮ Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data

Uses Software

• CopulaModel

Cites Work

• Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
• Tail fitting for truncated and non-truncated Pareto-type distributions
• A moment estimator for the index of an extreme-value distribution
• Extremes and related properties of random sequences and processes
• A simple general approach to inference about the tail of a distribution
• An introduction to copulas. Properties and applications
• Sur la distribution limite du terme maximum d'une série aléatoire
• The qq-estimator and heavy tails
• Dependence Modeling with Copulas
• Multivariate extremes, aggregation and risk estimation
• Statistics of Extremes
• Heavy-Tail Phenomena
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