Paul Embrechts: Modelling Extremal Events

Cover: 9783642082429 | Modelling Extremal Events | for Insurance and Finance | Taschenbuch

Rückseite: 9783642082429 | Modelling Extremal Events | for Insurance and Finance | Taschenbuch

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Sprache: Englisch

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Beschreibung

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 book sets out to bridge the gap between the existing theory and practical applications both from a probabilistic as well as from a statistical point of view. Whatever new theory is presented is always motivated by relevant real-life examples. The numerous illustrations and examples, and the extensive bibliography make this book an ideal reference text for students, teachers and users in the industry of extremal event methodology.

Zusammenfassung

Includes supplementary material: [...]

Inhaltsverzeichnis

Reader Guidelines.- Risk Theory.- Fluctuations of Sums.- Fluctuations of Maxima.- Fluctuations of Upper Order Statistics.- An Approach to Extremes via Point Processes.- Statistical Methods for Extremal Events.- Time Series Analysis for Heavy-Tailed Processes.- Special Topics.

Erscheinungsjahr:	2011
Fachbereich:	Allgemeines
Genre:	Mathematik , Medizin , Naturwissenschaften , Technik
Rubrik:	Naturwissenschaften & Technik
Medium:	Taschenbuch
Inhalt:	xv 648 S. 100 s/w Illustr.
ISBN-13:	9783642082429
ISBN-10:	3642082424
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Embrechts, Paul Mikosch, Thomas Klüppelberg, Claudia
Auflage:	Softcover reprint of the original 1st edition 1997
Hersteller:	Springer-Verlag GmbH Springer Berlin Heidelberg
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	235 x 155 x 36 mm
Von/Mit:	Paul Embrechts (u. a.)
Erscheinungsdatum:	10.02.2011
Gewicht:	0,996 kg