Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability)

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9783540609315: Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability)

"A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS

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From the Publisher:

Mathematical Reviews /MathSciNet database, R. A. Maller.

A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions, to plot sample paths of various processes and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists with the range of applications of the subject. While there are a number of books available which cover most of the topics herein, I know of none which presents such a range of theory and applications of extremal processes in one volume, at a level easily understood by users of the methodology. I highly recommend the book to all who work in the area, or in related areas. [...] The combination of skills and expertise of the three authors of this book is impressive. Their reading covers not only ! the traditional and classical works in the area but a great deal of the modern development, too. (They give 646 references to books and articles in the literature.) Their book concludes with copious appendices setting out the basic probability theory and some of the regular variation theory required for understanding the rest of the development.

In summary... a worthwhile book in an extremely important area.

SIAM Review, Roger Pinkham, Stevens Institute of Technology.

[...] This book impresses me as being exceptionally well written, scholarly beyond question, more than a little daunting, and likely to become a classic in its field.

Kwantitiewe Methoden, Casper de Vries (Erasmus University, Rotterdam).

The book is the first in the area that strikes a proper balance between mathematical rigor and scope on the probability side, and the statistically oriented applications for the practitioner. [...] The authors mostly rely on financially oriented examples, but the coverage of methods is such that anyone using extreme value technique should consult the book. [...] It is an exceptional book, recommended to practitioners, students and researchers alike.

Mathematics Today, Mark H. Robson (Bank of England).

This large, recently published volume has already established itself as the indispensable starting point for anyone interested in contemporary applications and extensions of classical extreme value theory.

Extremes, Anders Martin-Löf (Stockholm University).

This is an encyclopedic handbook of theory and statistical praxis, of great value to actuaries and statisticians in the fields concerned, which gives an up to date picture of this fast developing field, and at the same time a useful and well motivated text book for those who need a guide for entering the area without getting lost either in pure theory or messy practice.

ASTIN Bulletin, Ragnar Norberg (London School of Economics).

This long-awaited volume gathers and systematizes a huge material, parts of which were hitherto scattered around in journals. [...] Given the nature of the subject, which is highly technical, the book is easy to read.[...] The narrative style is marvellous, invariably connecting theoretical concepts to the real world objects they are supposed to describe, with ample illustrations (100 figures) and discussions of authentic cases and data. An amazing amount of knowledge, also on the practical side, is generously shared with the readers here. Mathematical rigour is never compromised, but is still exercised in measured amounts; proofs are given when they serve an educative purpose, and adequate references are given otherwise. The list of 646 references opens virtually unlimited access to supplementary reading.

From the Back Cover:

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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Paul Embrechts; Claudia Klüppelberg; Thomas Mikosch
Editore: Springer (2011)
ISBN 10: 3540609318 ISBN 13: 9783540609315
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Descrizione libro Springer, 2011. Hardcover. Condizione libro: New. book. Codice libro della libreria M3540609318

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Embrechts, Paul, Kl?ppelberg, Claudia, Mikosch, Thomas
Editore: Springer (2011)
ISBN 10: 3540609318 ISBN 13: 9783540609315
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Descrizione libro Springer, 2011. Condizione libro: New. 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 both from a probabilistic as well as statistical point of view. Series: Stochastic Modelling and Applied Probability. Num Pages: 663 pages, biography. BIC Classification: KCHS; KFF; PBWH. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 240 x 166 x 42. Weight in Grams: 1072. . 2011. Corrected. Hardcover. . . . . . Codice libro della libreria V9783540609315

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Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch
Editore: Springer Berlin Heidelberg 1997-06-02, New York (1997)
ISBN 10: 3540609318 ISBN 13: 9783540609315
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Descrizione libro Springer Berlin Heidelberg 1997-06-02, New York, 1997. hardback. Condizione libro: New. Codice libro della libreria 9783540609315

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Descrizione libro Springer-Verlag Berlin and Heidelberg GmbH and Co. KG, 1997. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria BB-9783540609315

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Embrechts, Paul, Klüppelberg, Claudia, Mikosch, Thomas
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Descrizione libro Springer. Condizione libro: New. 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 both from a probabilistic as well as statistical point of view. Series: Stochastic Modelling and Applied Probability. Num Pages: 663 pages, biography. BIC Classification: KCHS; KFF; PBWH. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 240 x 166 x 42. Weight in Grams: 1072. . 2011. Corrected. Hardcover. . . . . Books ship from the US and Ireland. Codice libro della libreria V9783540609315

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Descrizione libro Springer, 2013. Condizione libro: New. Codice libro della libreria EH9783540609315

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Descrizione libro Hardback. Condizione libro: New. Not Signed; A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions.and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustration. book. Codice libro della libreria ria9783540609315_rkm

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PAUL EMBRECHTS
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Descrizione libro Springer, 1997. Hardback. Condizione libro: NEW. 9783540609315 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Codice libro della libreria HTANDREE0339894

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Descrizione libro Springer, 2011. Hardcover. Condizione libro: New. Never used!. Codice libro della libreria P113540609318

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Descrizione libro Berlin Springer Jan 2013, 2013. Buch. Condizione libro: Neu. Neuware - 'A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions.and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists.' --MATHEMATICAL REVIEWS 648 pp. Englisch. Codice libro della libreria 9783540609315

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