Modelling Extremal Events for Insurance and Finance - Couverture rigide

Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas

Couverture rigide

ISBN 10 : 3540609318 ISBN 13 : 9783540609315

Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 1997

Synopsis

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.

A propos du livre

Revue de presse

"...excellent, comprehensive treatise on the subject of extremal events modeling. The authors have responded well to the demands of extreme value practitioners for such a text. Although it was clearly and admittedly motivated by practical questions of workers in finance, insurance, and reinsurance, [the book] contains the mathematical rigor and generality that will interest the extreme value theoretician...An understanding of modes of convergence, specifically weak convergence, is essential to fully appreciate the text, but the authors intuitive writing style makes most of the basic ideas accessible even to the uninitiated...The authors do an excellent job of organizing these topics and also provide a very useful 20-page Reader Guidelines section...[the book] makes an excellent contribution to unifying important concepts in extreme value theory and modeling of extremal events. Aside from its obvious use as a reference for practitioners and theoreticians alike, this text may be used to teach a graduate-level course in mathematical finance or a special topics course in stochastic processes with or without a financial emphasis...As the authors point out this may not be the kind of book that you want to tackle form cover to cover initially, but it is my bet you will eventually discover that you have done just that as you repeatedly reference this hefty volume throughout the years." --Journal of the American Statistical Association

"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, to plot sample paths of various processes 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 with the range of applications of the subject. While there are a number of books available which cover most of the topics herein, I know of none which presents such a range of theory and applications of extremal processes in one volume, at a level easily understood by users of the methodology. I highly recommend the book to all who work in the area, or in related areas. (...) The combination of skills and expertise of the three authors of this book is impressive. Their reading covers not only the traditional and classical works in the area but a great deal of the modern development, too. (They give 646 references to books and articles in the literature.) Their book concludes with copious appendices setting out the basic probability theory and some of the regular variation theory required for understanding the rest of the development. In summary, this is a worthwhile book in an extremely important area." " --Mathematical Reviews

This book impresses me as being exceptionally well written, scholarly beyond question, more than a little daunting, and likely to become a classic in its field. --Siam Reviews

Présentation de l'éditeur

"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

Détails de l'édition

• Éditeur: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
• Date d'édition: 1997
• Langue: anglais
• ISBN 10: 3540609318
• ISBN 13: 9783540609315
• Reliure: Relié
• Numéro d'édition: 1
• Nombre de pages: 648
• Coordonnées du fabricant: non disponible
• Personne responsable: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Allemagne