Reader Guidelines.- Risk Theory.- Fluctuations of Sums.- Fluctuations of Maxima.- Fluctuations of Upper Order Statistics.- An Approach to Extremes via Point Processes.- Statistical Methods for Extremal Events.- Time Series Analysis for Heavy-Tailed Processes.- Special Topics.
Corrected 2nd print
From the reviews: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
"…excellent, comprehensive treatise on the subject of extremal
events modeling. The authors have responded well to the demands of
extreme value practitioners for such a text. Although it was
clearly and admittedly motivated by practical questions of workers
in finance, insurance, and reinsurance, [the book] contains the
mathematical rigor and generality that will interest the extreme
value theoretician…An understanding of modes of convergence,
specifically weak convergence, is essential to fully appreciate the
text, but the authors’ intuitive writing style makes most of the
basic ideas accessible even to the uninitiated…The authors do an
excellent job of organizing these topics and also provide a very
useful 20-page ‘Reader Guidelines’ section…[the book] makes an
excellent contribution to unifying important concepts in extreme
value theory and modeling of extremal events. Aside from its
obvious use as a reference for practitioners and theoreticians
alike, this text may be used to teach a graduate-level course in
mathematical finance or a special topics course in stochastic
processes with or without a financial emphasis…As the authors point
out this may not be the kind of book that you want to tackle form
cover to cover initially, but it is my bet you will eventually
discover that you have done just that as you repeatedly reference
this hefty volume throughout the years." MATHEMATICAL
REVIEWS/MATHSCINET DATABASE "A reader's first impression on leafing
through this book is of the large number of graphs and diagrams,
used to illustrate shapes of distributions, to plot sample paths of
various processes and to show real data examples in various ways. A
closer reading reveals a nice mix of theory and applications, with
the copious graphical illustrations alluded to. Such a mixture is
of course dear to the heart of the applied
probabilist/statistician, andshould impress even the most ardent
theorists with the range of applications of the subject. While
there are a number of books available which cover most of the
topics herein, I know of none which presents such a range of theory
and applications of extremal processes in one volume, at a level
easily understood by users of the methodology. I highly recommend
the book to all who work in the area, or in related areas. (...)
The combination of skills and expertise of the three authors of
this book is impressive. Their reading covers not only the
traditional and classical works in the area but a great deal of the
modern development, too. (They give 646 references to books and
articles in the literature.) Their book concludes with copious
appendices setting out the basic probability theory and some of the
regular variation theory required for understanding the rest of the
development. In summary, this is a worthwhile book in an extremely
important area." SIAM REVIEWS "(...) This book impresses me as
being exceptionally well written, scholarly beyond question, more
than a little daunting, and likely to become a classic in its
field."
KWANTITIEWE METHODEN "The book is the first in the area that
strikes a proper balance between mathematical rigor and scope (...)
and the statistically-oriented applications for the
practitioner."
EXTREMES "(...) the indispensable starting point for anyone
interested in contemporary applications and extensions of classical
EVT." MATHEMATICS TODAY "This is an encyclopedic handbook of theory
and statistical praxis, of great value to actuaries and
statisticians in the fields concerned, which gives an up to date
picture of this fast developing field, and at the same time a
useful and well motivated text book for those who need a guide for
entering the area without getting lost either in pure theory or
messy practice."ASTIN BULLETIN "Given the nature of the subject
(...) the book is easy to read.(...) The narrative style is
marvellous, invariably connecting theoretical concepts to the real
world objects they are supposed to describe, (...)." RISKBOOK.COM
"There are a number of texts available on Extreme Value Theory
(EVT). This is the essential one to read. It is authoritative and
extremely well written…A nice feature of Embrechts et al is an
opening 20-page ‘reader guideline’ that gives an overview of the
material before the start of the main text."
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