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Applications of Mathematics #33: Modelling Extremal Events: For Insurance and Finance

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Applications of Mathematics #33: Modelling Extremal Events: For Insurance and Finance Cover

 

Synopses & Reviews

Publisher Comments:

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.

Synopsis:

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.

Synopsis:

"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

Description:

Includes bibliographical references (p. [591]-624) and index.

Table of Contents

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.- Appendix.- References.- Index.- List of Abbreviations and Symbols.

Product Details

ISBN:
9783540609315
Editor:
Yor, M.
Editor:
Karatzas, I.
Author:
Mikosch, Thomas
Author:
Klppelberg, Claudia
Author:
Embrechts, Paul
Author:
Klüppelberg, Claudia
Author:
Kl]ppelberg, Claudia
Author:
Karatzas, I.
Publisher:
Springer
Location:
Berlin, Heidelberg
Subject:
General
Subject:
Management
Subject:
Mathematics
Subject:
Finance
Subject:
Applied
Subject:
Business mathematics
Subject:
Insurance
Subject:
Time-series analysis
Subject:
Insurance -- Mathematics.
Subject:
Extreme value theory.
Subject:
Management - General
Subject:
Mathematical finance
Subject:
insurance risk
Subject:
tail estimation
Subject:
Quantitative Finance
Subject:
Probability Theory and Stochastic Processes
Subject:
Finance/Investment/Banking
Subject:
Statistics for Business/Economics/Mathematical Finance/Insurance
Subject:
Business management
Subject:
Game Theory
Subject:
60-00, 60-01, 60G70, 62P05
Subject:
The Arts
Subject:
mathematics and statistics
Subject:
Distribution (Probability theory)
Subject:
Economics_xStatistics
Copyright:
Edition Number:
1
Edition Description:
1st ed. 1997. Corr. 10th printing 2012
Series:
Stochastic Modelling and Applied Probability
Series Volume:
RCP10533
Publication Date:
July 1997
Binding:
HARDCOVER
Language:
English
Illustrations:
Y
Pages:
650
Dimensions:
235 x 155 mm 2440 gr

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Related Subjects

Business » Human Resource Management
Business » Insurance
Business » International
Business » Management
Reference » Science Reference » Technology
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » General

Applications of Mathematics #33: Modelling Extremal Events: For Insurance and Finance New Hardcover
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$118.50 In Stock
Product details 650 pages Springer - English 9783540609315 Reviews:
"Synopsis" by , 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.
"Synopsis" by , "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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