Statistical Analysis of Extreme Values with Applications to Insurance, Finance, Hydrology and Other Fields

By Jürg Hüsler, Deyuan Li. 2007

362 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5b6a8cacc844d75b9fb397a18739521d947a755e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Tail Index Regression (2009, unknown): “To facilitate the use of extreme value statistics, several books have been published recently; see, for example, Beirlant et al. (2004), Castillo, Hadi, and Sarabia (2005), Reiss and Thomas (2007), and Resnick (2007).”
STATISTICS OF EXTREMES: MODELING ECOLOGICAL DISTURBANCES (2005, background): “We provide only a relatively short overview of the essential features of the statistical theory of extreme values (for more details, see Leadbetter et al. 1983, Coles 2001, Reiss and Thomas 2001).”
Threshold Selection in Extreme Value Analysis (2016, background): “For recent overviews on RB estimation of parameters of extreme events, see Reiss and Thomas ([46]), Beirlant, Caeiro and Gomes ([2]) and Gomes and Guillou ([26]).”
Power-law distributions in binned empirical data (2012, methodology): “To illustrate the accuracy of this method, we compare its performance with the one proposed by Reiss and Thomas (2007).”
Nonparametric Inference of Value-at-Risk for Dependent Financial Returns (2005, background): “The α-mixing coefficient introduced by Rosenblatt (1956) is α(k) = sup A∈F i 1 ,B∈F i+k |P (AB) − P (A)P (B)|.”
Extreme Value Theory and Value at Risk : Application to Oil Market (2009, methodology): “Readers interested in a more detailed background may consult various texts on EVT such as Embrechts et al. (1997) and Reiss and Thomas (1997).”
Stationary and nonstationary generalized extreme value modelling of extreme precipitation over a mountainous area under climate change (2014, background): “The generalized extreme value (GEV) distribution is widely employed for modelling extremes in the environmental sciences and many other fields (see, for example, Reiss and Thomas, 2007, and references therein).”
Extreme Value Analysis: an Introduction (2013, background): “In consequence, Reiss and Thomas (2007) recommend to use the PP-plot principally to justify an hypothesis visually.”
ExtRemes 2.0: An extreme value analysis package in R (2016, background): “Top is the function based onˆρ (Eq (2.65) Reiss and Thomas 2007), and the bottom is based onˆ¯ ρ (Reiss and Thomas 2007, Eq (13.28)). is to look at the auto-tail dependence function plot (Reiss and Thomas 2007, Eq (2.65) and (13.28)).”
Tail index estimation for heavy‐tailed models: accommodation of bias in weighted log‐excesses (2007, background): “For a more extensive overview on the subject see Reiss and Thomas (2007), chapter 6.”
An Application of Extreme Value Theory for Measuring Financial Risk (2006, background): “Inmany ﬁelds of modern science, engineering and insurance, extreme value theory is well established (see e.g. Embrechts et al. (1999), Reiss and Thomas (1997)).”