
@misc{yuen2020distributionally,
      title={Distributionally Robust Inference for Extreme Value-at-Risk}, 
      author={Robert Yuen and Stilian Stoev and Dan Cooley},
      year={2020},
      eprint={1902.05853},
      archivePrefix={arXiv},
      primaryClass={math.ST}
}

@article{coles_tawn,
 ISSN = {00359246},
 URL = {http://www.jstor.org/stable/2345748},
 abstract = {The classical treatment of multivariate extreme values is through componentwise ordering, though in practice most interest is in actual extreme events. Here the point process of observations which are extreme in at least one component is considered. Parametric models for the dependence between components must satisfy certain constraints. Two new techniques for generating such models are presented. Aspects of the statistical estimation of the resulting models are discussed and are illustrated with an application to oceanographic data.},
 author = {Stuart G. Coles and Jonathan A. Tawn},
 journal = {Journal of the Royal Statistical Society. Series B (Methodological)},
 number = {2},
 pages = {377--392},
 publisher = {[Royal Statistical Society, Wiley]},
 title = {Modelling Extreme Multivariate Events},
 urldate = {2024-01-28},
 volume = {53},
 year = {1991}
}

@article{dehaan,
author = {Laurens de Haan},
title = {{A Spectral Representation for Max-stable Processes}},
volume = {12},
journal = {The Annals of Probability},
number = {4},
publisher = {Institute of Mathematical Statistics},
pages = {1194 -- 1204},
keywords = {max-stability, spectral representation},
year = {1984},
doi = {10.1214/aop/1176993148},
URL = {https://doi.org/10.1214/aop/1176993148}
}


@article{barbour1992stein,
  title={Stein's method and point process approximation},
  author={Barbour, Andrew David and Brown, Timothy Carlisle},
  journal={Stochastic Processes and their Applications},
  volume={43},
  number={1},
  pages={9--31},
  year={1992},
  publisher={Elsevier}
}

@article{chen2004stein,
  title={Stein’s method, Palm theory and Poisson process approximation},
  author={Chen, Louis HY and Xia, Aihua},
  year={2004}
}

@article{gao2023distributionally,
  title={Distributionally robust stochastic optimization with Wasserstein distance},
  author={Gao, Rui and Kleywegt, Anton},
  journal={Mathematics of Operations Research},
  volume={48},
  number={2},
  pages={603--655},
  year={2023},
  publisher={INFORMS}
}

@article{dombry2016exact,
  title={Exact simulation of max-stable processes},
  author={Dombry, Cl{\'e}ment and Engelke, Sebastian and Oesting, Marco},
  journal={Biometrika},
  volume={103},
  number={2},
  pages={303--317},
  year={2016},
  publisher={Oxford University Press}
}

@article{blanchet2019quantifying,
  title={Quantifying distributional model risk via optimal transport},
  author={Blanchet, Jose and Murthy, Karthyek},
  journal={Mathematics of Operations Research},
  volume={44},
  number={2},
  pages={565--600},
  year={2019},
  publisher={INFORMS}
}

@book{Coles2001Introduction,
  added-at = {2018-06-18T21:23:34.000+0200},
  address = {London},
  author = {Coles, Stuart},
  biburl = {https://www.bibsonomy.org/bibtex/2763a51e5ba0e614daf5a247501f72b79/pbett},
  citeulike-article-id = {13662035},
  citeulike-linkout-0 = {http://dx.doi.org/10.1007/978-1-4471-3675-0},
  comment = {(private-note)Coles' EVA book},
  doi = {10.1007/978-1-4471-3675-0},
  interhash = {4d82deba9ce3cb72aa2ad575fbabd6c7},
  intrahash = {763a51e5ba0e614daf5a247501f72b79},
  isbn = {978-1-84996-874-4},
  keywords = {textbook statistics extremes},
  posted-at = {2015-07-01 11:02:59},
  priority = {2},
  publisher = {Springer London},
  timestamp = {2018-06-22T18:34:53.000+0200},
  title = {An Introduction to Statistical Modeling of Extreme Values},
  url = {http://dx.doi.org/10.1007/978-1-4471-3675-0},
  year = 2001
}

@misc{blanchet2023unifying,
      title={Unifying Distributionally Robust Optimization via Optimal Transport Theory}, 
      author={Jose Blanchet and Daniel Kuhn and Jiajin Li and Bahar Taskesen},
      year={2023},
      eprint={2308.05414},
      archivePrefix={arXiv},
      primaryClass={math.OC}
}


@book{Haan.Ferreira2010,
  added-at = {2010-11-23T12:30:57.000+0100},
  asin = {144192020X},
  author = {de Haan, Laurens and Ferreira, Ana},
  biburl = {https://www.bibsonomy.org/bibtex/227a035a03865f7dc4517a80c9a9852d5/marsianus},
  ean = {9781441920201},
  edition = {1st Edition.},
  interhash = {633c65bf2aaa0b546f233f6960184281},
  intrahash = {27a035a03865f7dc4517a80c9a9852d5},
  isbn = {144192020X},
  keywords = {EVT Likelihood},
  publisher = {Springer},
  timestamp = {2011-08-10T12:04:47.000+0200},
  title = {Extreme Value Theory: An Introduction (Springer Series in Operations Research and Financial Engineering)},
  year = 2010
}

@article{stephenson2003simulating,
  title={Simulating multivariate extreme value distributions of logistic type},
  author={Stephenson, Alec},
  journal={Extremes},
  volume={6},
  pages={49--59},
  year={2003},
  publisher={Springer}
}

@book{dey2016extreme,
  title={Extreme value modeling and risk analysis: methods and applications},
  author={Dey, Dipak K and Yan, Jun},
  year={2016},
  publisher={CRC Press}
}

@inproceedings{gudendorf2010extreme,
  title={Extreme-value copulas},
  author={Gudendorf, Gordon and Segers, Johan},
  booktitle={Copula Theory and Its Applications: Proceedings of the Workshop Held in Warsaw, 25-26 September 2009},
  pages={127--145},
  year={2010},
  organization={Springer}
}

@inproceedings{hasan2022modeling,
  title={Modeling extremes with $ d $-max-decreasing neural networks},
  author={Hasan, Ali and Elkhalil, Khalil and Ng, Yuting and Pereira, Jo{\~a}o M and Farsiu, Sina and Blanchet, Jose and Tarokh, Vahid},
  booktitle={Uncertainty in Artificial Intelligence},
  pages={759--768},
  year={2022},
  organization={PMLR}
}

@article{bai2023distributionally,
  title={A Distributionally Robust Optimization Framework for Extreme Event Estimation},
  author={Bai, Yuanlu and Lam, Henry and Zhang, Xinyu},
  journal={arXiv preprint arXiv:2301.01360},
  year={2023}
}

@article{blanchet2020distributionally,
  title={On distributionally robust extreme value analysis},
  author={Blanchet, Jose and He, Fei and Murthy, Karthyek},
  journal={Extremes},
  volume={23},
  pages={317--347},
  year={2020},
  publisher={Springer}
}


@article{marcon2017multivariate,
  title={Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials},
  author={Marcon, Giulia and Padoan, SA and Naveau, Philippe and Muliere, Pietro and Segers, Johan},
  journal={Journal of statistical planning and inference},
  volume={183},
  pages={1--17},
  year={2017},
  publisher={Elsevier}
}

@article{liu2016optimal,
  title={On optimal exact simulation of max-stable and related random fields},
  author={Liu, Zhipeng and Blanchet, Jose H and Dieker, AB and Mikosch, Thomas},
  journal={arXiv preprint arXiv:1609.06001},
  year={2016}
}

@article{OJMO_2022__3__A4_0,
     author = {Hamed Rahimian and Sanjay Mehrotra},
     title = {Frameworks and {Results} in {Distributionally} {Robust} {Optimization}},
     journal = {Open Journal of Mathematical Optimization},
     eid = {4},
     publisher = {Universit\'e de Montpellier},
     volume = {3},
     year = {2022},
     doi = {10.5802/ojmo.15},
     language = {en},
     url = {https://ojmo.centre-mersenne.org/articles/10.5802/ojmo.15/}
}

@article{doi:10.1287/mnsc.2020.3678,
author = {Van Parys, Bart P. G. and Esfahani, Peyman Mohajerin and Kuhn, Daniel},
title = {From Data to Decisions: Distributionally Robust Optimization Is Optimal},
journal = {Management Science},
volume = {67},
number = {6},
pages = {3387-3402},
year = {2021},
doi = {10.1287/mnsc.2020.3678},

URL = { 
    
        https://doi.org/10.1287/mnsc.2020.3678
    
    

},
eprint = { 
    
        https://doi.org/10.1287/mnsc.2020.3678
    
    

}
}