Extreme value theory

Known as: Extreme value analysis, Extreme-value theory, EVT 
Extreme value theory or extreme value analysis (EVA) is a branch of statistics dealing with the extreme deviations from the median of probability… (More)
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2011
2011
We study biological evolution in a high-dimensional genotype space in the regime of rare mutations and strong selection. The… (More)
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2009
2009
Extreme value theory has emerged as one of the most important statistical disciplines for the applied sciences. Extreme value… (More)
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2009
2009
We are interested in two questions on extremes relating to world records in athletics. The first question is: What is the… (More)
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Highly Cited
2008
Highly Cited
2008
It has been widely known that one of the key design parameters in orthogonal frequency division multiplexing (OFDM) systems is… (More)
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2008
2008
We consider discrete time dynamical systems and show the link between Hitting Time Statistics (the distribution of the first time… (More)
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2006
2006
Extreme value theory is a practical and useful tool for modeling and quantifying risk. In this article, after introducing basic… (More)
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Highly Cited
2004
Highly Cited
2004
  • Ramazan Genc
  • 2004
In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine… (More)
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Highly Cited
2001
Highly Cited
2001
Nord Pool, the first multinational exchange for electricity trading, has existed since January 1996. Typical characteristics of… (More)
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Highly Cited
1999
Highly Cited
1999
The financial industry, including banking and insurance, is undergoing major changes. The (re)insurance industry is increasingly… (More)
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Highly Cited
1996
Highly Cited
1996
Good estimates for the tails of loss severity distributions are essential for pricing or positioning high-excess loss layers in… (More)
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