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

Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas

ISBN 10: 3540609318 / ISBN 13: 9783540609315

Editore: Springer (edition Corrected), 1997

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It's a preowned item in good condition and includes all the pages. It may have some general signs of wear and tear, such as markings, highlighting, slight damage to the cover, minimal wear to the binding, etc., but they will not affect the overall reading experience.

Codice articolo 3540609318-11-1

Dati bibliografici

• Titolo: Modelling Extremal Events: For Insurance and Finance (Stochastic Modelling and Applied Probability)
• Editore: Springer (edition Corrected)
• Data di pubblicazione: 1997
• Lingua: Inglese
• ISBN 10: 3540609318
• ISBN 13: 9783540609315
• Rilegatura: Hardcover
• Edizione: Corrected.
• Condizione: Good

Descrizione articolo

Riassunto

"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

Dalla quarta di copertina

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.