Read full-text. Please review prior to ordering, ebooks can be used on all reading devices, Institutional customers should get in touch with their account manager, Usually ready to be dispatched within 3 to 5 business days, if in stock, The final prices may differ from the prices shown due to specifics of VAT rules. "EXTREMES, "(...) the indispensable starting point for anyone interested in contemporary applications and extensions of classical EVT. It is authoritative and extremely well written…A nice feature of Embrechts et al is an opening 20-page ‘reader guideline’ that gives an overview of the material before the start of the main text. 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. Resnick, S.I. events in phenomena described by high-dimensional, chaotic dynamical systems. We address the problem of fitting a Gnedenko distribution to a realization of an IID sample, thereby deciding upon the heavy/light character of the upper tail of the phenomenon under study. It seems that you're in Germany. 689. 0000000608 00000 n
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. ", An Approach to Extremes via Point Processes, Time Series Analysis for Heavy-Tailed Processes. This is the essential one to read. 0000001009 00000 n
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. Ladda ned Spara som favorit Laddas ned direkt Läs i vår app för iPhone, iPad och Android Finns även som Inbunden Skickas inom 10-15 vardagar 849. 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. Modelling Extremal Events (e-bok) for Insurance and Finance. We discuss the strengths and limi- JavaScript is currently disabled, this site works much better if you price for Spain The real world however often informs us about such events through statistical data: major insurance claims, flood levels of rivers, large decreases (or indeed increases) of stock market values over a certain period of time, extreme levels of environmental indicators such as ozone or carbon monoxide, wind—speed values at a certain site, wave heights during a storm or maximal and minimal performance values of a portfolio. An illustration based on earthquake magnitude data is (gross), © 2020 Springer Nature Switzerland AG. pp 283-370 | This book sets out to bridge the gap between the existing theory (They give 646 references to books and articles in the literature.) 0000001694 00000 n
Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability series) by Paul Embrechts. Blätter der DGVM, XVII, 237243. 32 0 obj
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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. Læs Lyt Lev blandt millioner af bøger på Saxo.com. The file will be sent to your email address. @�W��k�B��DDDDDDDDE'.�!j�& �9^TJ�Ph�m���G��#�s6�莈莋�>`��D|��2;�]�tyE̎�2:#�}�G8���#�>GDq��#�. Read Book Online Now Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability) Laporan.