Statistical Analysis of Extreme Values: With Applications to Insurance, Finance, Hydrology, and Other Fields - Couverture souple

Reiss, Rolf-Dieter; Thomas, M.

Couverture souple

ISBN 10 : 3764364874 ISBN 13 : 9783764364878

Editeur : Birkhauser Verlag AG, 2001

Synopsis

The statistical analysis of extreme data is important for disciplines such as hydrology, insurance, finance, engineering and environmental sciences. This book provides an introduction to the parametric modelling, exploratory analysis and statistical interference for extreme values. Besides numerous data-based examples, the book contains chapters on flood frequency analysis, insurance and finance. This second extended edition include: the statistical modelling of tails in conjunction with the global modelling of distributions with special emphasis on heavy-tailed distribution; the Bayesian methodology with applications to regional flood frequency analysis and credibility estimation in reinsurance business; a thorough treatment of the phenomenon of penultimate distributions; an extension of the chapter about multivariate extreme value models, especially for the Gumbel-McFadden model with an application to the theory of economic choice behaviour; sections about corrosion analysis and oldest-old problem; and risk assessment of financial assets and portfolios in the presence of fat and heavy-tailed distributions by means of the value-at-risk (VaR).

Détails de l'édition

• Éditeur: Birkhauser Verlag AG
• Date d'édition: 2001
• Langue: anglais
• ISBN 10: 3764364874
• ISBN 13: 9783764364878
• Reliure: Broché
• Numéro d'édition: 2
• Nombre de pages: 472
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible