Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series

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Standard

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. s. 115-139 (Lecture Notes in Mathematics, Bind 2313).

Publikation: Bidrag til bog/antologi/rapport › Bidrag til bog/antologi › Forskning › fagfællebedømt

Harvard

Embrechts, P, Klüppelberg, C & Mikosch, T 2023, Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series. i Mathematics Going Forward: Collected Mathematical Brushstrokes. Springer, Lecture Notes in Mathematics, bind 2313, s. 115-139. https://doi.org/10.1007/978-3-031-12244-6_10

APA

Embrechts, P., Klüppelberg, C., & Mikosch, T. (2023). Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series. I Mathematics Going Forward: Collected Mathematical Brushstrokes (s. 115-139). Springer. Lecture Notes in Mathematics Bind 2313 https://doi.org/10.1007/978-3-031-12244-6_10

Vancouver

Embrechts P, Klüppelberg C, Mikosch T. Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series. I Mathematics Going Forward: Collected Mathematical Brushstrokes. Springer. 2023. s. 115-139. (Lecture Notes in Mathematics, Bind 2313). https://doi.org/10.1007/978-3-031-12244-6_10

Author

Embrechts, Paul ; Klüppelberg, Claudia ; Mikosch, Thomas. / Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series. Mathematics Going Forward: Collected Mathematical Brushstrokes. Springer, 2023. s. 115-139 (Lecture Notes in Mathematics, Bind 2313).

Bibtex

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title = "Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series",
abstract = "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.",
author = "Paul Embrechts and Claudia Kl{\"u}ppelberg and Thomas Mikosch",
note = "Publisher Copyright: {\textcopyright} 2023, The Author(s), under exclusive license to Springer Nature Switzerland AG.",
year = "2023",
doi = "10.1007/978-3-031-12244-6_10",
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RIS

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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.

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