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Extreme Values in Finance, Telecommunications, and the Environment
Author(s): Barbel Finkenstadt (Editor), Holger Rootzen
- Publisher: Chapman and Hall/CRC
- Publication Date: July 28, 2003
- Edition: 1st
- Language: English
- Print length: 426 pages
- ISBN-10: 1584884118
- ISBN-13: 9781584884118
Book Description
Because of its potential to …predict the unpredictable,… extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory of extreme values in the areas of finance, insurance, the environment, and telecommunications. The comprehensive introductory chapter by Richard Smith ensures a high level of cohesion for this volume.
Editorial Reviews
Review
…The book includes excellent discussions of the applications of extreme-value theory to risk management, insurance, rainfall and data networks, as well as overview of univariate and multivariate extreme-value theory. This book provides an excellent source both for the basic successes and the limitations of the current extreme-value methodology… – ISI Short Book Reviews, August 2004
About the Author
Barbel Finkenstadt, Holger Rootzen
