Modelling Extremal Events: for Insurance and Finance / Edition 1

Modelling Extremal Events: for Insurance and Finance / Edition 1

by Paul Embrechts, Claudia Kluppelberg, Thomas Mikosch
     
 

ISBN-10: 3540609318

ISBN-13: 9783540609315

Pub. Date: 06/01/2008

Publisher: Springer Berlin Heidelberg

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

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Overview

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.

Product Details

ISBN-13:
9783540609315
Publisher:
Springer Berlin Heidelberg
Publication date:
06/01/2008
Series:
Stochastic Modelling and Applied Probability Series, #33
Edition description:
1st ed. 1997, Corr. 10th printing 2012
Pages:
648
Product dimensions:
6.10(w) x 9.25(h) x 0.36(d)

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.

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