Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review
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Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series. / Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas.
Mathematics Going Forward: Collected Mathematical Brushstrokes. Springer, 2023. p. 115-139 (Lecture Notes in Mathematics, Vol. 2313).Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review
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TY - CHAP
T1 - Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
AU - Embrechts, Paul
AU - Klüppelberg, Claudia
AU - Mikosch, Thomas
N1 - Publisher Copyright: © 2023, The Author(s), under exclusive license to Springer Nature Switzerland AG.
PY - 2023
Y1 - 2023
N2 - We consider ourselves very fortunate to have been able to publish our 1997 book Embrechts et al. (1997), 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 under the editorial umbrella of Catriona has meanwhile grown into different directions of research for the three authors. We present three very different examples of recent research from the realm of EVT. It gives us great pleasure to contribute to these festive lecture notes, edited in honor of Catriona Byrne.
AB - We consider ourselves very fortunate to have been able to publish our 1997 book Embrechts et al. (1997), 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 under the editorial umbrella of Catriona has meanwhile grown into different directions of research for the three authors. We present three very different examples of recent research from the realm of EVT. It gives us great pleasure to contribute to these festive lecture notes, edited in honor of Catriona Byrne.
U2 - 10.1007/978-3-031-12244-6_10
DO - 10.1007/978-3-031-12244-6_10
M3 - Book chapter
AN - SCOPUS:85159446633
T3 - Lecture Notes in Mathematics
SP - 115
EP - 139
BT - Mathematics Going Forward
PB - Springer
ER -
ID: 370580889