Extreme Value Theory
Limit laws for maxima, tail estimation, and applications to risk.
Extreme Value Theory. Limit laws for maxima, tail estimation, and applications to risk.
Foundations and canonical references
The standard treatments of extreme value theory approach the subject from complementary angles. Embrechts, Modelling Extremal Events (1997) is the anchor reference for the subject and lays out the core definitions, theorems, and worked examples that practitioners return to.
Open methodological questions for extreme value theory include sharpening the bridges between foundational theory and computational practice, extending classical results to broader or more structured settings, and integrating the techniques surveyed above with adjacent mathematical disciplines. The references listed in this page are the entry points that current work builds on.
Prerequisites
Sources
- textbook · primary · 1997Modelling Extremal Eventsembrechts-1997, kluppelberg-1997, mikosch-1997
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