ABSTRACT
Extreme value theory is of major importance in many fields of applications where extreme values may appear and have detrimental effects. Such fields range from hydrology (Smith, 1989, Davison & Smith, 1990, Coles & Tawn, 1996, Barão & Tawn, 1999) to insurance (Beirlant et al., 1994, Mikosch, 1997, McNeil, 1997, Rootzén & Tajvidi, 1997) and finance (Danielsson & de Vries, 1997, McNeil, 1998; 1999, Embrechts et al., 1998; 1999, Embrechts, 1999). Actually, extreme value theory is a blend of a variety of applications and sophisticated mathematical results on point processes and regular varying functions.
