Over the decades that have passed since they were introduced, copulae still remain a very
powerful tool for modeling and estimating multivariate distributions. This work gives an …

Research in the statistical analysis of extreme values has flourished over the past decade:
new probability models, inference and data analysis techniques have been introduced; and …

Since the publication of the first edition of this seminar book in 1994, the theory and
applications of extremes and rare events have enjoyed an enormous and still increasing …

Being the limits of copulas of componentwise maxima in independent random samples,
extreme-value copulas can be considered to provide appropriate models for the …

Consider a continuous random pair (X, Y) whose dependence is characterized by an
extreme-value copula with Pickands dependence function A. When the marginal …

It is often reasonable to assume that the dependence structure of a bivariate continuous
distribution belongs to the class of extreme-value copulas. The latter are characterized by …

We propose a new class of estimators for Pickands dependence function which is based on
the concept of minimum distance estimation. An explicit integral representation of the …

This is a succinct guide to the application and modelling of dependence models or copulas
in the financial markets. First applied to credit risk modelling, copulas are now widely used …

This article reviews various characterizations of a multivariate extreme dependence function
A (·). The most important estimators derived from these characterizations are also sketched …

Extreme-value copulas arise in the asymptotic theory for componentwise maxima of
independent random samples. An extreme-value copula is determined by its Pickands …