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Extreme Values in Finance, Telecommunications, and the Environment

Edited by Barbel Finkenstadt, Holger Rootzen

Series Editor: N. Reid, Valerie Isham, R.J. Tibshirani, Thomas A. Louis, Howell Tong, Niels Keiding

Contributors: Richard L. Smith, Claudia Kluppelberg, Thomas Mikosch, Sidney Resnick, Stuart Coles, Anne-Laure Fougeres, Paul Embrechts

Published July 28th 2003 by Chapman and Hall/CRC – 432 pages

Series: Chapman & Hall/CRC Monographs on Statistics & Applied Probability

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Description

Because of its potential to …predict the unpredictable,… extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory of extreme values in the areas of finance, insurance, the environment, and telecommunications. The comprehensive introductory chapter by Richard Smith ensures a high level of cohesion for this volume.

Reviews

…The book includes excellent discussions of the applications of extreme-value theory to risk management, insurance, rainfall and data networks, as well as overview of univariate and multivariate extreme-value theory. This book provides an excellent source both for the basic successes and the limitations of the current extreme-value methodology… - ISI Short Book Reviews, August 2004

Contents

Because of its potential to …predict the unpredictable,… extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory of extreme values in the areas of finance, insurance, the environment, and telecommunications. A comprehensive introductory chapter by Richard Smith ensures a high level of cohesion for this volume. Presenting information from the forefront of knowledge and research, this book brings readers quickly up to speed on the current issues and techniques of EVT.

Name: Extreme Values in Finance, Telecommunications, and the Environment (Hardback) – Chapman and Hall/CRC 
Description: Edited by Barbel Finkenstadt, Holger RootzenSeries Editor: N. Reid, Valerie Isham, R.J. Tibshirani, Thomas A. Louis, Howell Tong, Niels KeidingContributors: Richard L. Smith, Claudia Kluppelberg, Thomas Mikosch, Sidney Resnick, Stuart Coles, Anne-Laure Fougeres, Paul Embrechts. Because of its potential to …predict the unpredictable,… extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together...
Categories: Financial Mathematics, Statistics