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Stochastic Modelling and Applied Probability #33: Modelling Extremal Events

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Stochastic Modelling and Applied Probability #33: Modelling Extremal Events 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 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.

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

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:
9783642082429
Author:
Embrechts, Paul
Publisher:
Springer
Author:
uuml
Author:
ppelberg, Claudia
Author:
ppelberg
Author:
Klüppelberg, Claudia
Author:
Kl
Author:
Claudia Kl
Author:
Mikosch, Thomas
Author:
&
Location:
Berlin, Heidelberg
Subject:
Finance
Subject:
Extreme value theory.
Subject:
insurance risk
Subject:
Mathematical finance
Subject:
tail estimation
Subject:
Time-series analysis
Subject:
Quantitative Finance
Subject:
Probability Theory and Stochastic Processes
Subject:
Finance /Banking
Subject:
Statistics for Business/Economics/Mathematical Finance/Insurance
Subject:
Finance/Investment/Banking
Subject:
Business management
Subject:
Game Theory
Subject:
60-00, 60-01, 60G70, 62P05
Subject:
Applied
Subject:
Mathematics
Subject:
The Arts
Subject:
mathematics and statistics
Subject:
Distribution (Probability theory)
Subject:
Economics_xStatistics
Copyright:
Edition Description:
Softcover reprint of hardcover 1st ed. 1997
Series:
Stochastic Modelling and Applied Probability
Series Volume:
33
Publication Date:
20101201
Binding:
TRADE PAPER
Language:
English
Pages:
650
Dimensions:
235 x 155 mm 2030 gr

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Stochastic Modelling and Applied Probability #33: Modelling Extremal Events New Trade Paper
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$118.50 In Stock
Product details 650 pages Springer - English 9783642082429 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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