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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 - libro nuevo

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… Más…

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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 - libro nuevo

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 … Más…

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Hema Divakar:
Modelling Extremal Events : for Insurance and Finance - libro nuevo

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 … Más…

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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 - libro nuevo

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 - libro nuevo

2013, ISBN: 9783642334832

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

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Detalles del libro
Modelling Extremal Events
Autor:
Título:
ISBN:

9783642334832

Detalles del libro - Modelling Extremal Events


EAN (ISBN-13): 9783642334832
Año de publicación: 2013
Editorial: Springer Berlin Heidelberg

Libro en la base de datos desde 2017-04-25T09:00:16+02:00 (Madrid)
Página de detalles modificada por última vez el 2022-06-10T22:55:08+02:00 (Madrid)
ISBN/EAN: 9783642334832

ISBN - escritura alterna:
978-3-642-33483-2
Mode alterno de escritura y términos de búsqueda relacionados:
Autor del libro: thomas mikosch, paul thomas, embrechts
Título del libro: modelling extremal events

Datos del la editorial

Autor: Paul Embrechts
Título: Stochastic Modelling and Applied Probability; Modelling Extremal Events - for Insurance and Finance
Editorial: Springer; Springer Berlin
648 Páginas
Año de publicación: 2013-03-14
Berlin; Heidelberg; DE
Idioma: Inglés
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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