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2011, ISBN: 3642082424
[EAN: 9783642082429], Neubuch, [SC: 0.0], [PU: Springer Berlin Heidelberg], ANALYSIS; STATISTICALMETHODS; EXTREMEVALUETHEORY; INSURANCERISK; MATHEMATICALFINANCE; MODELING; SETS; TAILESTIM… More...
Embrechts, Paul, and Kluppelberg, Claudia, and Mikosch, Thomas:
Modelling Extremal Events: for Insurance and Finance - Paperback2011, ISBN: 9783642082429
Paperback, New., 648 p. Stochastic Modelling and Applied Probability , 33. XV, 648 p. Intended for professional and scholarly audience. In Stock. 100% Money Back Guarantee. Brand New, Per… More...
2011, ISBN: 3642082424
[EAN: 9783642082429], Neubuch, [PU: Springer], PRINT ON DEMAND Book; New; Fast Shipping from the UK., Books
2011, ISBN: 9783642082429
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Details of the book - Modelling Extremal Events
EAN (ISBN-13): 9783642082429
ISBN (ISBN-10): 3642082424
Hardcover
Paperback
Publishing year: 2011
Publisher: Springer Berlin
668 Pages
Weight: 0,994 kg
Language: eng/Englisch
Book in our database since 2011-02-01T16:05:50+00:00 (London)
Detail page last modified on 2022-07-12T00:31:40+01:00 (London)
ISBN/EAN: 9783642082429
ISBN - alternate spelling:
3-642-08242-4, 978-3-642-08242-9
Alternate spelling and related search-keywords:
Book author: embrechts, claudia paul, miko, mikos, thomas mikosch, klüppel
Book title: probability, modell, mode, eve, event, stochastic, modelling the, mikosch, modelling extremal events
Information from Publisher
Author: Paul Embrechts
Title: Stochastic Modelling and Applied Probability; Modelling Extremal Events - for Insurance and Finance
Publisher: Springer; Springer Berlin
648 Pages
Publishing year: 2011-02-10
Berlin; Heidelberg; DE
Printed / Made in
Language: English
131,99 € (DE)
BC; Hardcover, Softcover / Mathematik/Sonstiges; Versicherung und Versicherungsmathematik; Verstehen; Analysis; Statistical Methods; extreme value theory; insurance risk; mathematical finance; modeling; sets; tail estimation; time series analysis; quantitative finance; Actuarial Mathematics; Business Mathematics; Econometrics; Mathematics in Business, Economics and Finance; Probability Theory; Financial Economics; Wirtschaftsmathematik und -informatik, IT-Management; Ökonometrie und Wirtschaftsstatistik; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; Wahrscheinlichkeitsrechnung und Statistik; Stochastik; Finanzenwesen und Finanzindustrie; BB
Both in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations, in financial data, stock-market shocks, risk management, ...) play an increasingly important role. This much awaited book presents a comprehensive development of extreme value methodology for random walk models, time series, certain types of continuous-time stochastic processes and compound Poisson processes, all models which standardly occur in applications in insurance mathematics and mathematical finance. Both probabilistic and statistical methods are discussed in detail, with such topics as ruin theory for large claim models, fluctuation theory of sums and extremes of iid sequences, extremes in time series models, point process methods, statistical estimation of tail probabilities. Besides summarising and bringing together known results, the book also features topics that appear for the first time in textbook form, including the theory of subexponential distributions and the spectral theory of heavy-tailed time series. A typical chapter will introduce the new methodology in a rather intuitive (tough always mathematically correct) way, stressing the understanding of new techniques rather than following the usual "theorem-proof" format. Many examples, mainly from applications in insurance and finance, help to convey the usefulness of the new material. A final chapter on more extensive applications and/or related fields broadens the scope further. The book can serve either as a text for a graduate course on stochastics, insurance or mathematical finance, or as a basic reference source. Its reference quality is enhanced by a very extensive bibliography, annotated by various comments sections making the book broadly and easily accessible.More/other books that might be very similar to this book
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