Living on the Edge - An introduction to extreme value theory - the study of fat-tailes return distributions and their risks which has proved useful in fields from medical statistics to heavy engineering and is now beginning to prove its worth in risk management.

Living on the Edge - An introduction to extreme value theory - the study of fat-tailes return distributions and their risks which has proved useful in fields from medical statistics to heavy engineering and is now beginning to prove its worth in risk management.

Embrechts, Paul, (1998)

A Heavy Traffic Approximation for Workload Processes with Heavy Tailed Service Requirements

Resnick, Sidney, (2000)

Growth rates of sample covariances of stationary symmetric [alpha]-stable processes associated with null recurrent Markov chains

Resnick, Sidney, (2000)