Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch
Stochastic Modelling and Applied Probability Series
Berlin: Springer, 1997
655pp, ISBN: 978-3-540-60931-5
This comprehensive practitioner reference to extremal events modeling presents a wide range of theory and applications of extremal processes in an accessible way. It combines key concepts in extreme value theory with extreme event modeling, and analyzes a number of issues relevant to both insurance and financial applications, such as large insurance claims, large fluctuations in financial data, stock market shocks, and risk management.
www.qfinance.com