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

Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

1 Scopus citations

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.

Original languageEnglish
Title of host publicationLecture Notes in Mathematics
PublisherSpringer Science and Business Media Deutschland GmbH
Pages115-139
Number of pages25
DOIs
StatePublished - 2023

Publication series

NameLecture Notes in Mathematics
Volume2313
ISSN (Print)0075-8434
ISSN (Electronic)1617-9692

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