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Modelling Extremal Events : for Insurance and Finance - Marc Herrlich
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Marc Herrlich:

Modelling Extremal Events : for Insurance and Finance - new book

ISBN: 9783642334832

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 managem… More...

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Modelling Extremal Events - Paul Embrechts/ Claudia Klüppelberg/ Thomas Mikosch
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Paul Embrechts/ Claudia Klüppelberg/ Thomas Mikosch:

Modelling Extremal Events - new book

ISBN: 9783642334832

Modelling Extremal Events ab 106.99 € als pdf eBook: for Insurance and Finance. Aus dem Bereich: eBooks, Fachthemen & Wissenschaft, Mathematik, Medien > Bücher, Modelling Extremal Events … More...

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Hema Divakar:
Modelling Extremal Events : for Insurance and Finance - new book

ISBN: 9783642334832

In insurance and finance applications, questions involving extremal events play an important role. This book sets out to bridge the gap between existing theory and practical applications … More...

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Modelling Extremal Events - Paul Embrechts/ Claudia Klüppelberg/ Thomas Mikosch
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Paul Embrechts/ Claudia Klüppelberg/ Thomas Mikosch:
Modelling Extremal Events - new book

ISBN: 9783642334832

Modelling Extremal Events - for Insurance and Finance: ab 106.99 € eBooks > Fachthemen & Wissenschaft > Mathematik Springer Berlin Heidelberg, Springer Berlin Heidelberg

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Paul Embrechts; Claudia Kluppelberg; Thomas Mikosch:
Modelling Extremal Events - new book

2013, ISBN: 9783642334832

for Insurance and Finance, eBooks, eBook Download (PDF), [PU: Springer Berlin Heidelberg], Springer Berlin Heidelberg, 2013

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Modelling Extremal Events
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9783642334832

Details of the book - Modelling Extremal Events


EAN (ISBN-13): 9783642334832
Publishing year: 2013
Publisher: Springer Berlin Heidelberg

Book in our database since 2017-04-25T08:00:16+01:00 (London)
Detail page last modified on 2022-06-10T21:55:08+01:00 (London)
ISBN/EAN: 9783642334832

ISBN - alternate spelling:
978-3-642-33483-2
Alternate spelling and related search-keywords:
Book author: thomas mikosch, paul thomas, embrechts
Book title: 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: 2013-03-14
Berlin; Heidelberg; DE
Language: English
121,00 € (DE)

EA; E107; eBook; Nonbooks, PBS / 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; B; Actuarial Mathematics; Business Mathematics; Econometrics; Mathematics in Business, Economics and Finance; Probability Theory; Financial Economics; Mathematics and Statistics; 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.
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