Modelling Extremal Events / Stochastic Modelling and Applied Probability Bd.33 (PDF)
for Insurance and Finance
(Sprache: Englisch)
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...
sofort als Download lieferbar
Printausgabe 128.39 €
eBook (pdf) -8%
117.69 €
58 DeutschlandCard Punkte sammeln
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenloser tolino webreader
Produktdetails
Produktinformationen zu „Modelling Extremal Events / Stochastic Modelling and Applied Probability Bd.33 (PDF)“
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.
Bibliographische Angaben
- Autoren: Paul Embrechts , Claudia Klüppelberg , Thomas Mikosch
- 2013, 1997. 4th corr. printing and 9th printing, 648 Seiten, Englisch
- Verlag: Springer Berlin Heidelberg
- ISBN-10: 3642334830
- ISBN-13: 9783642334832
- Erscheinungsdatum: 14.03.2013
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: PDF
- Größe: 6.13 MB
- Ohne Kopierschutz
- Vorlesefunktion
Sprache:
Englisch
Kommentar zu "Modelling Extremal Events / Stochastic Modelling and Applied Probability Bd.33"
0 Gebrauchte Artikel zu „Modelling Extremal Events / Stochastic Modelling and Applied Probability Bd.33“
Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
---|
Schreiben Sie einen Kommentar zu "Modelling Extremal Events / Stochastic Modelling and Applied Probability Bd.33".
Kommentar verfassen