Mathematik

We discuss univariate and multivariate extreme-value theory on both a theoretical and applied level. Univariate theory encompasses classical limit results for order statistics, the peaks-over-threshold method and estimation. Multivariate theory focuses on the dependence among extreme events. Applications are considered from the insurance industry, mostly from non-life and operational risk. Each participant presents one of the selected papers and discusses subsequent developments in the respective field. This provides a broad overview to all participants on the different topics, recent aspects, and historical development of the topics