Jan Beirlant (KU Leuven University)

Jan Beirlant obtained a PhD in statistics from KU Leuven in 1984. He is currently a Professor with the Department of Mathematics, KU Leuven University. Presently, he is chairing LRisk, a center for research, training, and advice in insurance and financial risk analysis, combining all relevant KU Leuven expertise. His main research interests include extreme value methodology with emphasis on applications in insurance and finance. He has published over 100 papers in statistical research journals and has published the following books: Statistics of Extremes: Theory and Applications, with Y. Goegebeur, J. Segers, and J.L. Teugels (2004), and Reinsurance: Actuarial and Statistical Aspects, with H. Albrecher and J.L. Teugels (2016).

Chapter: Estimation of the Extreme Value Index

Patrice Bertail (University of Paris-Ouest-Nanterre la Défense)

Patrice Bertail is Professor of applied mathematics (statistics and probabilities) at the University of Paris-Ouest-Nanterre la Défense. He has been in charge of the Master's ISIFAR (Ingénierie Statistique et Informatique de la Finance, l'Assurance et du Risque) program. He is also a researcher with the MODAL'X laboratory and CREST-ENSAE. His research interests include resampling methods for dependent data, survey sampling, empirical processes and extremes, especially for Markovian data (with applications toward food risks assessment).

Chapter: Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance

Philippe Bertrand (IAE Aix-en Provence)

Philippe Bertrand obtained a PhD in mathematical economics from Ecole des Hautes Etudes en Sciences Sociales and the Habilitation à diriger des recherches (HDR) from University Paris-Dauphine. He is currently a Full Professor of finance with IAE Aix-en Provence. He is also a member of the CERGAM Research Center and a member of Aix-Marseille School of Economics. He joined IAE in 2011, from the Faculté d'Economie of Aix-Marseille, where he was Professor of finance. He was formerly the head of Financial Engineering, CCF Capital Management. His research interests include portfolio management, risk and performance evaluation, and portfolio insurance, as well as financial structured products. He has published numerous articles in scientific journals such as the Journal of Banking and Finance, Finance, Geneva Risk and Insurance Review, Financial Analysts Journal, and the Journal of Asset Management. He is currently the executive president of the French Finance Association (AFFI). He has served as an associate editor of the review Bankers, Markets & Investors. He chaired the 31st Spring International Conference of the French Finance Association, held at IAE AIX, May 20–21, 2014.

Chapter: Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method

Laurent Bibard (ESSEC Business School)

Laurent Bibard has been a Professor with ESSEC Business School since 1991. He was Dean of the MBA Programs (2005–2009), and is currently a Full Professor, Management Department, and Head of the Edgar Morin Chair on Complexity. His current research interests include organizational vigilance interpreted as the organizational conditions favoring collective as well as individual mindfulness. He has been invited to many prestigious universities in Germany (Mannheim), Canada (UQAM), Japan (Keio Business School, Keio University), and others. His publications include “Management and Philosophy : What is at Stake?” (Keio Business Forum, March 2011, Vol. 28, no 1, pp. 227–243) and Sexuality and Globalization (Palgrave Macmillan, New York, 2014). His book La sagesse et le féminin (Wisdom and Feminity) was republished in Japan, at the end of 2014.

Chapter: Bounded Rationalities, Routines, and Practical as well as Theoretical Blindness: On the Discrepancy Between Markets and Corporations

Jean-François Boulier (Aviva Investors France)

Jean-François Boulier graduated from the Polytechnique and obtained a PhD in fluid mechanics. He was a researcher with CNRS in Grenoble. He started his career in finance in 1987 with Credit Commercial de France, where he headed the Research and Innovation Department, then the Market Risk Department, and subsequently became CIO of Sinopia asset management and deputy CEO. He is currently the CEO of Aviva Investors France. He joined Aviva Investors in 2008 and has held several positions: CIO in Paris, then CEO in Europe, and Global CIO for Fixed Income. Between 2002 and 2008, he was heading Euro FI at Credit Agricole Asset Management.

Chapter: EVT Seen by a Vet: A Practitioner's Experience on Extreme Value Theory

Henri Bourguinat (University of Bordeaux IV)

Henri Bourguinat is Emeritus Professor of Economics, University of Bordeaux IV. In 1974, he founded LAREFI, a research laboratory dedicated to monetary and financial economics (http://lare-efi.u-bordeaux4.fr/spip.php?article36). He is a former research director at CNRS. He is the author of sixty articles published in various journals, such as Revue Economique, Economie Appliquée, and others. He has (co)-authored eighteen books on international economics and finance. His book, Finance Internationale, has been a best seller since it was first published.

Chapter: Credo Ut Intelligam

Geoffrey Booth (Michigan State University)

Geoffrey Booth holds the Frederick S. Addy Distinguished Chair in Finance, Michigan State University. He has published more than 150 journal articles, monographs, and professional papers. Booth's work has appeared in the Journal of Finance, Review of Economics and Statistics, and Review of Financial Studies, to name but a few. His current research interests include the behavior of financial markets with special emphasis on market microstructure issues and asset allocation decisions of financial institutions.

Chapter: The Sortino Ratio and Extreme Value Theory: An Application to Asset Allocation

Eric Briys (Cyberlibris)

Eric Briys is the co-founder of www.cyberlibris.com, and a former Managing Director, Deutsche Bank Global Markets Division, London, where he headed the European Insurance Coverage Group. Prior to joining Deutsche Bank, he worked with Merrill Lynch, Lehman Brothers, Tillinghast, and The World Bank. He has held academic positions at CERAM, Concordia University, University of Montreal, and HEC Paris. He has published articles in American Economic Review, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Risk and Insurance, Geneva Papers on Risk and Insurance Theory, the Southern Economic Journal, Journal of Risk and Uncertainty, Journal of International Money and Finance, European Economic Review, and others. He is a former Editor of Finance, the Journal of the French Finance Association, and Founding Editor of the Review of Derivatives Research. He has also (co)-authored 11 books on economics and finance.

Chapter: Credo Ut Intelligam

John Paul Broussard (Rutgers University)

John Paul Broussard is an Associate Professor of finance at Rutgers University, Camden, NJ, where he teaches investments and corporate finance courses. His research papers have been published in the Journal of Financial Economics, Financial Management, Management Science, Journal of Financial Services Research, Quarterly Review of Economics and Finance, and the European Journal of Operational Research, as well as in other journals and monographs. His current financial market research interests include extreme value applications to portfolio decision making and high-frequency trading.

Chapter: The Sortino Ratio and Extreme Value Theory: An Application to Asset Allocation

Frederico Caeiro (Nova University of Lisbon)

Frederico Caeiro received a MSc in probability and statistics in 2001, and a PhD in statistics in 2006, from the Faculty of Science, Lisbon University. He is currently an Auxiliary Professor with the Mathematics Department, Faculty of Science and Technology, Nova University of Lisbon, and a member of the Center for Mathematics and Applications. His current research interests include statistics of extremes, extreme value theory, nonparametric statistics, and computational statistical methods.

Chapter: Bootstrap Methods in Statistics of Extremes

Kam Fong Chan (University of Queensland Business School)

Kam Fong is currently a Senior Lecturer in finance with the University of Queensland Business School, University of Queensland, Australia. He has previously worked for several years as a quant at the Risk Analytics Division of the Risk Management Department, United Overseas Bank (UOB), Singapore. His research interests include modeling asset prices using various state-of-the-art econometric techniques, derivatives pricing, and risk management. He has published in various journals of international repute, including the Journal of Banking and Finance, International Journal of Forecasting, Pacific Basin Finance Journal, and the Journal of International Financial Markets, Institutions & Money.

Chapter: Extreme Value Theory and Risk Management in Electricity Markets

Stephen Chan (University of Manchester)

Stephen Chan is currently working toward the PhD degree at the University of Manchester, UK. He is the winner of an EPSRC Doctoral Prize Fellowship. His research interests include extreme value analysis, financial theory, and distribution theory. His publications include an R package and papers in Quantitative Finance.

Chapter: Estimation Methods for Value at Risk

Jean-Marie Choffray (ESSEC Business School and University of Liège)

Dr. Jean-Marie Choffray was, until recently, Senior Lecturer at ESSEC (France) and Chair Professor of Management Science at the Graduate School of Business, University of Liège (Belgium). He is the author of several books and a frequent contributor to scientific and professional journals, which includes over 70 articles. He is the recipient of a number of distinguished research awards and sits on the boards of several companies that he co-founded.

Chapter: Protecting Assets Under Non-Parametric Market Conditions

Stéphan Clémençon (Telecom ParisTech)

Stéphan Clémençon received a PhD in applied mathematics from the University Denis Diderot, Paris, France, in 2000. In October 2001, he joined the faculty of the University Paris X as an Associate Professor and successfully defended his habilitation thesis in 2006. Since October 2007, he has been a Professor and Researcher with Telecom ParisTech, the leading school in the field of information technologies in France, holding the Chair in Machine Learning. His research interests include machine learning, Markov processes, computational harmonic analysis, and nonparametric statistics.

Chapter: Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance

John Cotter (University College Dublin)

John Cotter is Professor of Finance and the Chair in quantitative finance, University College, Dublin. He is also a Research Fellow with the UCLA Ziman Research Center for Real Estate. His recent professional papers include those in the Review of Financial Studies, Journal of Banking and Finance, and Journal of International Money and Finance. He is an associate editor of the Journal of Banking and Finance, Journal of International Financial Markets, Institutions and Money, and European Journal of Finance.

Chapter: Margin Setting and Extreme Value Theory

Miguel de Carvalho (Pontificia Universidad Católica de Chile)

Miguel de Carvalho is an Associate Professor of applied statistics, Pontificia Universidad Católica de Chile. Before moving to Chile, he was a postdoctoral fellow with the Swiss Federal Institute of Technology (EPFL). He is an applied mathematical statistician with a variety of interdisciplinary interests, inter alia, biostatistics, econometrics, and statistics of extremes. In addition to serving at the university, he is also a regular academic consultant of Banco de Portugal (Portuguese Central Bank). He has been on the editorial board of the Annals of Applied Statistics (IMS) and Statistics and Public Policy (ASA).

Chapter: Statistics of Extremes: Challenges and Opportunities

Thanh Thi Huyen Dinh (De Lage Landen Group)

Thanh Thi Huyen Dinh studied at Maastricht University, the Netherlands. She obtained a PhD based on her research on collateralization and credit scoring in the Vietnamese loan market and on tail risk and systemic risk of different types of financial institutions, the topic of this handbook contribution. She is currently a Global Analytics Consultant at the US division of the De Lage Landen Group (DLL), a Dutch insurance company.

Chapter: Comparing Tail Risk and Systemic Risk Profiles for Different Types of U.S. Financial Institutions

Kevin Dowd (Durham University)

Kevin Dowd is Professor of finance and economics at Durham University, UK. He has written extensively on the history and theory of free banking, central banking, financial regulation and monetary systems, financial risk management, pensions, and mortality modeling. His books include Private Money: The Path to Monetary Stability, The State and the Monetary System, Laissez-Faire Banking, Competition and Finance: A New Interpretation of Financial and Monetary Economics, Money and the Market: Essays on Free Banking, and Measuring Market Risk. He is also the co-author with Martin Hutchinson of Alchemists of Loss: How Modern Finance and Government Intervention Crashed the Financial System (Wiley, 2010).

Chapter: Margin Setting and Extreme Value Theory

Isabel Fraga Alves (University of Lisbon)

Isabel Fraga Alves obtained a PhD in statistics and computation in 1992 for her thesis “Statistical Inference in Extreme Value Models,” and the Habilitation degree in statistics and operations research in 2004, both from the University of Lisbon. She is currently an Associate Professor with the Department of Statistics and Operations Research, Faculty of Sciences, University of Lisbon. She is a past Coordinator of the Center of Statistics and Applications, University of Lisbon (2006–2009), an elected member of International Statistical Institute, and a member of the Bernoulli Society for Mathematical Statistics and Probability, Portuguese Statistical Society, and Portuguese Mathematical Society.

Chapter: Extreme Value Theory: An Introductory Overview

Ivette Gomes (University of Lisbon)

Ivette Gomes obtained a PhD in statistics from the University of Sheffield, UK, in 1978, and the Habilitation degree in applied mathematics from the University of Lisbon in 1982. She was a Full Professor with the Department of Statistics and Operations Research, Faculty of Sciences, University of Lisbon (1988–2011), and is now a Principal Researcher with the Centre for Statistics and Applications, University of Lisbon (CEAUL). Her current research interests include statistics of extremes. She is a founding member of the Portuguese Statistical Society and member of several scientific associations. She has been involved in the organization of several international conferences, including the 56th Session of ISI, 2007. Among other editorial duties, she has been the chief editor of Revstat, since 2003, and associate editor of Extremes since 2007. She is currently Vice-President of the International Statistical Institute (ISI) for the period 2015–2019.

Chapter: Bootstrap Methods in Statistics of Extremes

Philip Gray (Monash Business School)

Philip Gray is a Professor of finance with the Monash Business School, Monash University, Melbourne, Australia. His research interests include asset pricing, empirical finance, and capital markets. He also applies quantitative techniques in derivative valuation and risk management. His research has been published in journals including the Journal of Finance, Journal of Futures Markets, Journal of Banking and Finance, Journal of Business, Finance & Accounting, International Review of Finance, and International Journal of Forecasting.

Chapter: Extreme Value Theory and Risk Management in Electricity Markets

Lígia Henriques-Rodrigues (University of São Paulo)

Lígia Henriques-Rodrigues received a degree in applied mathematics and computation (probability and statistics) from the Instituto Superior Técnico (Technical University) of Lisbon in 1996, a Master's in applied mathematics (probability and statistics) from the University of Évora in 2000, and a PhD in statistics and operational research in the field of probability and statistics from the Faculty of Sciences, University of Lisbon in2009. She was as a postdoctoral fellow with the Faculty of Sciences, University of Lisbon, in 2014. She is currently an Assistant Professor with the Institute of Mathematics and Statistics, University of São Paulo, Brazil, and a Researcher at the Center of Statistics and Applications, University of Lisbon. Her research interests include extreme value theory, reduced-bias semiparametric estimation, location- and scale-invariant estimation, and resampling methodologies in statistics of extremes, with applications to life sciences, environment, risk, insurance, and finance.

Chapter: Bootstrap Methods in Statistics of Extremes

Klaus Herrmann (KU Leuven University)

Klaus Herrmann obtained a PhD in science from KU Leuven in 2015 under the supervision of Professor Irène Gijbels. He completed a research stay at the ETH Zurich RiskLab with Professor Paul Embrechts in the same year. He is currently with the Department of Mathematics, KU Leuven, as a postdoctoral researcher. His research interests include statistical and probabilistic dependence concepts and their application to financial and actuarial mathematics.

Chapter: Estimation of the Extreme Value Index

Marie Kratz (ESSEC Business School Paris – Singapore, Center of Research in Econo-finance and Actuarial Sciences on Risk – CREAR)

Marie Kratz is Professor at ESSEC Business School and Director of its risk research center, CREAR. She holds a Doctorate in Applied Mathematics (UPMC, Paris 6; carried out to a great extent at the Center for Stochastic Processes, Chapel Hill, North Carolina) & Habilitation (HDR), did a post-doc at Cornell University. Her research addresses a broad range of topics in probability and statistics, and actuarial mathematics, with a focus on extreme value theory, risk analysis and Gaussian processes. These fields find natural applications in Finance and Actuarial Sciences that she is developing at ESSEC. Marie is a Fellow (Actuaire Agrégée) of the French Institute of Actuaries. She coordinates the ESSEC-ISUP (Paris 6) Actuarial Track, as well as organizes since 2009 a fortnightly Working Group on Risk Analysis at ESSEC – Paris La Défense with Academics and Professionals. Marie is also the President of the Group ‘Banque Finance Assurance’ of SFdS (French Society of Statistics).

Chapter: On the Estimation of the Distribution of Aggregated Heavy-Tailed Risks: Application to Risk Measures

Maxime Laot (European Central Bank)

Maxime Laot obtained a MBA with a major in applied economics from the ESSEC Business School. He is a practitioner in the field of banking supervision. He has spent several years working as an internal auditor for Groupe BPCE, one of the largest French banks, assessing the level and risk management of financial, credit, and operational risks in various retail and wholesale banking institutions in France and abroad. He recently joined the

new regulatory body of the European Central Bank, and is responsible for the direct supervision of the Eurozone's largest banks.

Chapter: Managing Operational Risk in the Banking Business – An Internal Auditor Point of View

Ross Leadbetter (University of North Carolina)

Ross Leadbetter received a MSc from the University of New Zealand in 1954, a MA from Cambridge University in 1962, and a PhD (1963) from the University of North Carolina (UNC), Chapel Hill. He has also received honorary Doctorates from Lund University, Sweden (1991), and Lisbon University, Portugal (2013). He is currently Professor of statistics at UNC. Before joining UNC in 1966, he worked with the New Zealand Applied Mathematics Laboratory, Wellington, the Naval Research Laboratory, Auckland, and the Research Triangle Institute, North Carolina. His research interests include probability and statistics, stochastic processes, extremal theory, and statistical communication theory in engineering, oceanographic, and environmental applications. He has written many articles and books including Stationary and Related Stochastic Processes (with Harald Cramer) and Extremes and Related Properties of Random Sequences and Processes (with Georg Lindgren and Holger Rootzen).

Chapter: Extremes Under Dependence—Historical Development and Parallels with Central Limit Theory

Olivier Le Courtois (EMLyon Business School)

Olivier Le Courtois is a Professor of finance and insurance with the EMLyon Business School. He is also the head of the CEFRA research center of this institution. He has published articles in academic journals such as Quantitative Finance, Mathematical Finance, Journal of Mathematical Economics, Insurance: Mathematics and Economics, and the North American Actuarial Journal. His book, published by Imperial College Press, examines the application of Lévy processes in both risk management and portfolio management. He is currently writing a new book on the Solvency II regulation and its requirements.

Chapter: Lévy Processes and Extreme Value Theory

B G Manjunath (Dell)

B G Manjunath was born in Bangalore, India, and has lived in Siegen (Germany), Lisbon (Portgual), and Delhi (India). He received a Bachelor's and Master's degrees from Bangalore University. From April 2007 to October 2010, he pursued his doctoral degree on “Extremal discriminant analysis” under the supervision of Prof. R.-D. Reiss at the University of Siegen, Germany. Later, he spent a year at ISI, Delhi, as a Visiting Scientist. Further, from December 2011 to February 2014, he was a postdoctoral fellow working with Prof. MI Gomes, at the University of Lisbon, with financial aid from FCT. Currently, he is working with Dell, India, and also pursuing collaborative and independent research. His research interests include generalized Pareto distributions, extreme value index inference, distribution theory, characterization of distributions, and statistical inference.

Chapter: Bootstrap Methods in Statistics of Extremes

Saralees Nadarajah (University of Manchester)

Saralees Nadarajah is a Senior Lecturer with the School of Mathematics, University of Manchester, UK. His research interests include climate modeling, extreme value theory, distribution theory, information theory, sampling and experimental designs, and reliability. He is an author/co-author of four books, and has over 600 papers published or accepted. He has held positions in Florida, California, and Nebraska.

Chapter: Estimation Methods for Value at Risk

Cláudia Neves (University of Reading)

Cláudia Neves received a PhD in statistics and operational research from the Faculty of Science, University of Lisbon, Portugal, in 2006. She is currently a Lecturer with the Department of Mathematics and Statistics, University of Reading, UK. Her research interests include extreme value theory, theory of regular variation, semiparametric inference, spatiotemporal modeling, risk assessment and large sample theory. Dr Neves is a member of the Institute of Mathematical Statistics, the Portuguese Statistical Society, and the Royal Statistical Society.

Chapter: Extreme Value Theory: An Introductory Overview

Jacques Ninet (La Française)

Jacques Ninet graduated from ESCP-Europe and also from the Institut Technique de Banque. He is a consultant and Senior Research Advisor with La Française Group and Convictions AM. He shares his professional life between financial markets and academics. He has been head of the Financial Markets Department, CEPME, and led teams of fund managers in various asset management companies, such as Fimagest, Barclays, and Sarasin, France. Throughout his career, he has been constantly active in the academic field, teaching finance-oriented Master's degree students. His research interests include responsible finance and sustainable development, as well as risk management.

Chapter: Two Tales of Liquidity Stress

Serguei Novak (Middlesex University, London)

Serguei Novak holds a MSc, PhD, and Dr Sc degrees. He teaches the postgraduate modules “Portfolios and Risk” and “Risk Measurement” at Middlesex University, London. His areas of expertise include extreme value theory, sums of random variables, nonparametric lower bounds, methods of nonparametric estimation of value at risk and expected shortfall, and others. His current research interests include probability theory, statistics, and quantitative finance.

Chapter: Measures of Financial Risk

Charles Pahud de Mortanges (University of Liège)

Charles Pahud de Mortanges is Professor Emeritus with the University of Liège, Belgium, and an active investor. He has contributed to several books, and has published in numerous scientific journals and conference proceedings. Prior to his academic career, he has held executive positions with two international trading firms. Through his own consulting firm, he has carried out brand valuation projects for several multinational companies.

Chapter: Protecting Assets Under Non-Parametric Market Conditions

Wesley Phoa (Capital Group)

Wesley K.-S. Phoa obtained a Bachelor's degree with honors from the Australian National University, and a PhD in pure mathematics from Trinity College, University of Cambridge, UK. He is currently a fixed-income portfolio manager and economist with Capital Group. Prior to joining Capital, he was director of research with Capital Management Sciences and a quantitative analyst with Deutsche Bank in Australia. He is an elected member of the Conference of Business Economists and the International Conference of Commercial Bank Economists, and a member of the Editorial Board of the Journal of Portfolio Management.

Chapter: Extreme Value Theory and Credit Spreads

Jean-Luc Prigent (University of Cergy-Pontoise)

Jean-Luc Prigent obtained a PhD in mathematics from the University of Rennes I, and two Habilitations à Diriger des Recherches (HDR) degrees, in management from the University of Paris and in Economics from the University of Cergy-Pontoise. He is currently a Full Professor of economics and finance with the University of Cergy-Pontoise. He is also a member of the ThEMA Research Center and a member of Labex MME-DII. His research interests include portfolio optimization, performance measurement, asset pricing and hedging, financial econometrics, risk management, and decision theory. He is the author of five books and of about 70 papers published, for example, in the Journal of Banking and Finance, European Journal of Operational Research, Journal of Economic Dynamics and Control, and the Geneva Risk and Insurance Review. Since 1995, he has presented his research papers in about 80 international conferences. He has been a scientific consultant for many financial institutions.

Chapter: Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method

Hubert Rodarie (Groupe SMA)

Hubert Rodarie graduated from the Ecole Centrale de Paris in 1979 and Institut d'Etudes Politiques de Paris in 1981. He started his career as an Engineer with Commissariat à l'Énergie Atomique (CEA) and Electricité de France (EDF). He then worked in the financial sector as a Financial Engineer with EDF, as CEO at Union de Garantie et de Placement, then with the asset management firm BTP Investissements, and finally deputy CEO with Groupe SMA, where he is responsible for finance, investments, and life insurance. He has written several articles, book chapters, and two books: Dettes et Monnaie de Singe, published by Salvator (2011), and La Pente Despotique de L'économie Mondiale published by Salvator (2015) (Prix 2016 Directeur financiers DFCG-TURGOT). Since 2008, he has been organizing, biennially, a scientific conference on the basis of norms in finance.

Chapter: The Robotization of Financial Activities: A Cybernetic Perspective

Stefan Straetmans (Maastricht University)

Stefan Straetmans is an Associate Professor of finance at Maastricht University, the Netherlands. His research includes, inter alia, the modeling and measurement of systemic risk, financial risk management and contagion, market linkages, and financial integration. Parts of his work have been published in international academic journals like the Review of Economics and Statistics, Journal of Applied Econometrics, Oxford Bulletin of Economics and Statistics, Journal of International Money and Finance, and Journal of Banking and Finance.

Chapter: Comparing Tail Risk and Systemic Risk Profiles for Different Types of U.S. Financial Institutions

Jozef Teugels (Catholic University of Leuven)

J(oz)ef Teugels obtained a PhD from Purdue University, USA, in 1967. Subsequently, he was appointed at the Catholic University of Leuven, Belgium, where he stayed until his retirement in 2004 as Professor of statistics. His interest in actuarial sciences emerged from experience with extreme value statistics. Among the topics that he dealt with in some 200 publications are stochastic processes (queuing theory, renewal theory, random walks, ruin theory), actuarial mathematics (especially reinsurance and catastrophic events), multivariate discrete data, and extreme value theory (probabilistic and statistical aspects plus applications).

Chapter: Estimation of the Extreme Value Index

Charles Tillier (University Paris-Ouest)

Charles Tillier graduated in fundamental mathematics and obtained the Master's degree in applied mathematics (data sciences) from the University of Reims. He is currently pursuing a PhD, working on extensions of ruin models and multivariate regular variations, under the supervision of Patrice Bertail (University Paris-Ouest) and Olivier Wintenberger (University Paris 6 and University of Copenhagen). His works have applications in finance, insurance, and food risk assessment.

Chapter: Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance

Christian Walter (Fondation Maison des Sciences de l'Homme)

Christian Walter obtained a PhD in economics in management science from ESSEC and Habilitation à diriger des recherches (HDR). He is an Actuary (Fellow of the French Institute of Actuaries). He currently holds the Chair “Ethics and Finance” at the Collège d'études mondiales of the Fondation Maison des sciences de l'homme (FMSH), Paris. He specializes in financial-market-related issues (mathematical, economic, philosophical, and historical) with interplays between the history of science, modern financial approaches to pricing, and ethical perspectives. He has had 30 years of experience in the financial industry, in various areas covering asset allocation, risk management, performance measurement and analysis, quantitative products, and others. He launched, in 1996, the research program “History and epistemology of finance” at the FMSH, devoted to the investigation of nonfinancial roots of financial theory as applied in the financial industry, and the critical analysis of theoretical foundations of finance. His main articles cover in-depth analysis of the market efficiency concept, Lévy modeling of the behavior of stock market prices and asset pricing, the history of financial thought, and critical analysis of financial mathematical concepts. His last book: Extreme Financial Risks and Asset Allocation (with Olivier Le Courtois), Series in Quantitative Finance, was published by Imperial College Press, London, in 2014.

Chapter: Lévy Processes and Extreme Value Theory; The Extreme Value Problem in Finance: Comparing the Pragmatic Program with the Mandelbrot Program