• P. Embrechts, C. Klüppelberg und Th. Mikosch,
  Modelling Extremal Events for Insurance and Finance,
  Springer, Berlin, 1997.
• P. Embrechts, A.J. McNeil und D. Straumann,
  Correlation and dependence in risk management:properties and pitfalls,
  in Risk Management: Value at Risk and Beyond,M.Dempster, Hrsg.,
  Cambridge University Press, Cambridge, 2002.
• A.J. McNeil, R. Frey und P. Embrechts,
  Quantitative Risk Management,
  Princeton Series in Finance, Princeton University Press, Princeton, NJ, 2005.
• R.B. Nelsen,
  An Introduction to Copulas,
  Springer, New York, 1999.
• S.I. Resnick,
  Extreme Values, Regular Variation and Point Processes,
  Springer Series in Operations Research and Financial Engineering, New York, 2007.

• Satz von Karamata:
  N.H. Bingham, C.M. Goldie, J.L. Teugels,
  Regular Variation,
  Cambridge University Press, Cambridge, 1987.
• Sätze 9 bis 13:
  P. Embrechts, C. Klüppelberg und Th. Mikosch,
  Modelling Extremal Events for Insurance and Finance,
  Springer, Berlin, 1997.
• Lemma von Leadbetter at al., 1983:
  M.R. Leadbetter, G. Lindgren, und H. Rootzen
  Extremes and related properties of random sequences and processes,
  Springer, Berlin, 1983.

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Letzte Änderung: September 2010