## Statistical Analysis of Extreme Values: With Applications to Insurance, Finance, Hydrology and Other FieldsThe 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 |