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 …

Multivariate extreme value models are a fundamental tool in order to assess potentially
dangerous events. The target of this paper is two‐fold. On the one hand we outline how …

In this paper, we provide a tutorial on multivariate extreme value methods which allows to
estimate the risk associated with rare events occurring jointly. We draw particular attention to …

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 …

A Horse Race between the Block Maxima Method and the Peak-over-Threshold Approach
Page 1 Statistical Science 2021, Vol. 36, No. 3, 360–378 https://doi.org/10.1214/20-STS795 © …

Many applications in risk analysis require the estimation of the dependence among
multivariate maxima, especially in environmental sciences. Such dependence can be …

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 …

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