Statistical Analysis of Extreme Values: with Applications to Insurance, Finance, Hydrology and Other Fields

In this book the emphasis is on applications in insurance, finance, hydrology and other fields. The first 10 chapters develop the theory and teach the use of XTREMES presenting dialog boxes and descriptions. The text is divided into 5 parts. Part I deals with modeling and data analysis, part II covers statistical infrence for parametric models, in part III elements of multivariate analysis are introduced, part IV emphasizes the application areas and part V is a collection of case studies using XTREMES. There are five case studies. One presented by Reiss but other presented by notable researchers including Tai Hsing, Jurg Husler, Ana Ferreira, Edgar Kaufmann and Cornelia Hillgartner. The appendices provide additional details on XTREMES. This is a very unique text that is valuable to anyone interested in doing research or applications of extreme value theory. Includes coverage of the parametric bootstrap.


looks the same as first edition but is expanded   April 23, 2002
Michael R. Chernick (Malvern, PA)
7 out of 7 found this review helpful

The second edition came out in 2001 and although my previous review is listed here it refers to the first edition. Professor Reiss sent me a copy of the second edition and I browsed through it to see what has changed. Except for the words "Second Edition" in the upper left corner of the cover page the cover is the same as the original. A closer look through the text shows that there are substantial changes. The original text was 316 pages long with 35 references and a CD Rom on the back page. The new edition is 443 pages with 51 references and a CD Rom on the back page (this is version 3.0 of Xtremes).

The preface to the second edition tells you precisely what is added. There are 8 new contributing authors who are Stuart Coles , Jurg Husler, Daniel Dietrich, Dietnar Pfeifer, Humberto Vaquera, Jose Villasenor, Pieter van Gelder and Dan Lungu and apparently the two main authors will encourage more contributors for a third edition. The authors are very much interested in demonstrating applications of extreme value theory using their Xtremes software and generously invite others to join in.

The structure and theme of the book has not changed. Section I on modeling and analysis has replaced the section on robust statistics with a section called heavy and fat-tailed distributions. The sections are slightly longer in the second edition. Chapter 2 has an additional section called the auto-tail-dependence function.

Part II on inference for parametric models includes a whole new chapter on Poisson Processes (Chapter 7). In Part III on multivariate methods, Chapter 9 on multivariate maxima includes a new section on the Gumbel-McFadden Model and Chapter 10 a new section on bivariate peaks over a threshold.

Part IV on topics in Hydrology, Insurance and Finance is totally revised and consists of Chapters 11-14 in place of the original Chapters 9-11. The old Chapters 9 and 10 are now Chapters 12 and 13 respectively.

In Part V there are again five case studies but they are totally new ones with the new authors that are acknowledged in the preface.

In the appendix they have replaced the description of the XPL programming language with the StatPascal language.