Statistical analysis of extreme values. With applications to insurance, finance, hydrology and other fields. With CD-ROM
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The book deals with the modeling and the analysis of extreme values. It is partitioned into five parts and an appendix. The first part contains 2 chapters concerning parametric modeling. In the second part (with 6 chapters) the main statistical methods are given in short for the investigation of parametric models for extreme values in the univariate case while in the third part (with 2 chapters) the multivariate case is considered. The fourth part contains in 3 chapters some special topics from insurance, finance and hydrology and in the fifth part 5 case studies are presented. In the appendix an introduction is given for the software package XTREMES. This software is included in this book on a CD-ROM, so that the hints at the end of every chapter for using XTREMES in the special case mentioned in this chapter can be carried out immediately. The book can be highly recommended to all who deal with statistics of extremes.
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Cited in
(72)- Statistics of extremes under random censoring
- Estimation of the extreme value index and extreme quantiles under random censoring
- Expansions of multivariate Pickands densities and testing the tail dependence
- Subsampling techniques and the jackknife methodology in the estimation of the extremal index
- Kernel density estimation of actuarial loss functions
- Influence functions of empirical nonparametric estimators of net reinsurance premiums
- High volatility, thick tails and extreme value theory in value-at-risk estimation.
- An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
- Editorial: Special issue on extreme theory and application. II
- Selecting the optimal sample fraction in univariate extreme value estimation
- Effect of extrapolation on coverage accuracy of prediction intervals computed from Pareto-type data
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
- Estimation of extreme values by the average conditional exceedance rate method
- Software review: XTREMES package
- Introduction to extreme value theory: applications to risk analysis and management
- Extreme market risk and extreme value theory
- Look-ahead strategies for dynamic pickup and delivery problems
- A nonparametric approach to calculating value-at-risk
- Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
- Gaussian approximation to the extreme value index estimator of a heavy-tailed distribution under random censoring
- Knowledge Elicitation of Gompertz' Law of Mortality
- Statistical analysis of extreme values. From insurance, finance, hydrology and other fields. With 1 CD-ROM (Windows).
- Extremes in random fields. A theory and its applications
- Brownian Type Boundary Crossing Probabilities for Piecewise Linear Boundary Functions
- Modelling extreme values by the residual coefficient of variation
- Extreme value distributions for dependent jointly \(l_{n,p}\)-symmetrically distributed random variables
- Volatilities analysis of first-passage time and first-return time on a small-world scale-free network
- Copulas: A Review and Recent Developments
- Anticipating Catastrophes through Extreme Value Modelling
- The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
- scientific article; zbMATH DE number 193577 (Why is no real title available?)
- scientific article; zbMATH DE number 729453 (Why is no real title available?)
- Modelling extremal events for insurance and finance
- scientific article; zbMATH DE number 1082202 (Why is no real title available?)
- Extreme Values in Finance, Telecommunications, and the Environment
- Computational resources for extremes.
- Estimating oil price value at risk using belief functions
- Correcting certain estimation methods for the generalized Pareto distribution
- Statistical Tools for Finance and Insurance
- Empirical Testing Of The Infinite Source Poisson Data Traffic Model
- Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
- Statistics of Extremes
- Probabilistic methods for the management of extreme risks
- On the measurement and treatment of extremes in time series
- Extreme value analysis -- a brief overview with an application to flow discharge rate data in a hydrometric station in the North of Portugal
- Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death
- Extreme value analysis within a parametric outlier detection framework
- Entropy of sharp restart
- Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models
- Cramér-Lundberg model for some classes of extremal Markov sequences
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Generalizing the Pareto to the log-Pareto model and statistical inference
- Some notes on extremal discriminant analysis
- Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
- Estimating the conditional tail expectation of randomly right-censored heavy-tailed data
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Estimating generalized state density of near-extreme events and its applications in analyzing stock data
- An entropy-based validation of threshold selection technique for extreme value analysis and risk assessment
- Estimation of distortion risk premiums in reinsurance under random right-censoring
- Robust and smooth estimation of the extreme tail index via weighted minimum density power divergence
- Estimation of the conditional tail moment risk measure under random right censoring
- Nelson-Aalen kernel estimator to the tail index of right censored Pareto-type data
- Modelling the financial risk associated with U.S. Movie box office earnings
- An application of extreme value theory for measuring financial risk
- Free extreme values
- Software for the analysis of extreme events: The current state and future directions
- 3D extreme value analysis for stock return, interest rate and speed of mean reversion
- Vector generalized linear and additive extreme value models
- A statistical test procedure for the shape parameter of a generalized Pareto distribution
- Reiss and Thomas' automatic selection of the number of extremes
- Strong convergence bound of the Pareto index estimator under right censoring
- High risk scenarios and extremes. A geometric approach
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