Modelling Extremal Events

for Insurance and Finance
1. Auflage 1997. Corr. 4th printing. Softcover version of original hardcover Auflage 1997
ISBN: 978-3-642-08242-9
Verlag: Springer

Buch, Englisch, Band 33, 648 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 2030 g

Reihe: Stochastic Modelling and Applied Probability

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.

Zielgruppe

Research

Autoren/Hrsg.

Embrechts, Paul

Mikosch, Thomas

Klüppelberg, Claudia

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Numerische Mathematik
• Mathematik | Informatik Mathematik Stochastik
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie

Inhaltsverzeichnis

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.