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

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Springer Science & Business Media, Jun 21, 2007 - Business & Economics - 511 pages
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The statistical analysis of extreme data is important for various disciplines, including hydrology, insurance, finance, engineering and environmental sciences. This book provides a self-contained introduction to the parametric modeling, exploratory analysis and statistical interference for extreme values.

The entire text of this third edition has been thoroughly updated and rearranged to meet the new requirements. Additional sections and chapters, elaborated on more than 100 pages, are particularly concerned with topics like dependencies, the conditional analysis and the multivariate modeling of extreme data. Parts I–III about the basic extreme value methodology remain unchanged to some larger extent, yet notable are, e.g., the new sections about "An Overview of Reduced-Bias Estimation" (co-authored by M.I. Gomes), "The Spectral Decomposition Methodology", and "About Tail Independence" (co-authored by M. Frick), and the new chapter about "Extreme Value Statistics of Dependent Random Variables" (co-authored by H. Drees). Other new topics, e.g., a chapter about "Environmental Sciences", (co--authored by R.W. Katz), are collected within Parts IV–VI.

  

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Contents

Parametric Modeling
3
Diagnostic Tools
39
An Introduction to Parametric Inference
83
Generalized Pareto Models
127
Advanced Statistical Analysis
159
coauthored by J P Nolan 6 5 Ultimate and Penultimate GP Approximation
190
Statistics of Dependent Variables
207
Conditional Extremal Analysis
227
Extreme Returns in Asset Prices
369
283
387
The Impact of Large Claims on Actuarial Decisions
411
Material Sciences
439
Life Science
453
285
455
81
460
A The Menu System
467

Statistical Models for Exceedance Processes
247
the Homogeneous Case 9 2 Mean and Median TYear Return Levels 9 3 ML and Bayesian Estimation in Models of Poisson Processes
256
Basic Multivariate Concepts and Visualization
264
Elliptical and Related Distributions
279
Multivariate Maxima
291
Multivariate Peaks Over Threshold
313
Flood Frequency Analysis
337
Environmental Sciences
352
279
363
83
478
B The StatPascal Programming Language
485
301
497
411
498
84
504
453
505
247
506
465
508
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About the author (2007)

Barrister, Gray's Inn Tax Chambers.

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