Modelling Extremal Events: for Insurance and Finance
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1997
|
| Schriftenreihe: | Applications of Mathematics, Stochastic Modelling and Applied Probability
33 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 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 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. 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. 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. A typical chapter will introduce the new methodology in a rather intuitive (tough always mathematically correct) way, stressing the understanding of new techniques rather than following the usual "theorem-proof" format. Many examples, mainly from applications in insurance and finance, help to convey the usefulness of the new material. A final chapter on more extensive applications and/or related fields broadens the scope further. The book can serve either as a text for a graduate course on stochastics, insurance or mathematical finance, or as a basic reference source. Its reference quality is enhanced by a very extensive bibliography, annotated by various comments sections making the book broadly and easily accessible |
| Beschreibung: | 1 Online-Ressource (XV, 648 p) |
| ISBN: | 9783642334832 9783642082429 |
| ISSN: | 0172-4568 |
| DOI: | 10.1007/978-3-642-33483-2 |
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Datensatz im Suchindex
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| author | Embrechts, Paul 1953- |
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| building | Verbundindex |
| bvnumber | BV042422489 |
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| collection | ZDB-2-SMA ZDB-2-BAE |
| ctrlnum | (OCoLC)1184488172 (DE-599)BVBBV042422489 |
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| dewey-hundreds | 500 - Natural sciences and mathematics |
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| dewey-raw | 519 |
| dewey-search | 519 |
| dewey-sort | 3519 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1007/978-3-642-33483-2 |
| format | Electronic eBook |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:11Z |
| institution | BVB |
| isbn | 9783642334832 9783642082429 |
| issn | 0172-4568 |
| language | English |
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| spelling | Embrechts, Paul 1953- Verfasser (DE-588)115254447 aut Modelling Extremal Events for Insurance and Finance by Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch Berlin, Heidelberg Springer Berlin Heidelberg 1997 1 Online-Ressource (XV, 648 p) txt rdacontent c rdamedia cr rdacarrier Applications of Mathematics, Stochastic Modelling and Applied Probability 33 0172-4568 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 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. 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. 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. A typical chapter will introduce the new methodology in a rather intuitive (tough always mathematically correct) way, stressing the understanding of new techniques rather than following the usual "theorem-proof" format. Many examples, mainly from applications in insurance and finance, help to convey the usefulness of the new material. A final chapter on more extensive applications and/or related fields broadens the scope further. The book can serve either as a text for a graduate course on stochastics, insurance or mathematical finance, or as a basic reference source. Its reference quality is enhanced by a very extensive bibliography, annotated by various comments sections making the book broadly and easily accessible Mathematics Finance Distribution (Probability theory) Economics / Statistics Quantitative Finance Probability Theory and Stochastic Processes Finance/Investment/Banking Statistics for Business/Economics/Mathematical Finance/Insurance Mathematik Statistik Wirtschaft Wirtschaftsmathematik (DE-588)4066472-7 gnd rswk-swf Wahrscheinlichkeitsrechnung (DE-588)4064324-4 gnd rswk-swf Versicherungsmathematik (DE-588)4063194-1 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Extremwertstatistik (DE-588)4153429-3 gnd rswk-swf Versicherungsmathematik (DE-588)4063194-1 s Extremwertstatistik (DE-588)4153429-3 s 1\p DE-604 Wahrscheinlichkeitsrechnung (DE-588)4064324-4 s 2\p DE-604 Finanzmathematik (DE-588)4017195-4 s 3\p DE-604 Wirtschaftsmathematik (DE-588)4066472-7 s 4\p DE-604 Klüppelberg, Claudia 1953- Sonstige (DE-588)17219010X oth Mikosch, Thomas 1955- Sonstige (DE-588)141029412 oth https://doi.org/10.1007/978-3-642-33483-2 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 4\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Embrechts, Paul 1953- Modelling Extremal Events for Insurance and Finance Mathematics Finance Distribution (Probability theory) Economics / Statistics Quantitative Finance Probability Theory and Stochastic Processes Finance/Investment/Banking Statistics for Business/Economics/Mathematical Finance/Insurance Mathematik Statistik Wirtschaft Wirtschaftsmathematik (DE-588)4066472-7 gnd Wahrscheinlichkeitsrechnung (DE-588)4064324-4 gnd Versicherungsmathematik (DE-588)4063194-1 gnd Finanzmathematik (DE-588)4017195-4 gnd Extremwertstatistik (DE-588)4153429-3 gnd |
| subject_GND | (DE-588)4066472-7 (DE-588)4064324-4 (DE-588)4063194-1 (DE-588)4017195-4 (DE-588)4153429-3 |
| title | Modelling Extremal Events for Insurance and Finance |
| title_auth | Modelling Extremal Events for Insurance and Finance |
| title_exact_search | Modelling Extremal Events for Insurance and Finance |
| title_full | Modelling Extremal Events for Insurance and Finance by Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch |
| title_fullStr | Modelling Extremal Events for Insurance and Finance by Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch |
| title_full_unstemmed | Modelling Extremal Events for Insurance and Finance by Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch |
| title_short | Modelling Extremal Events |
| title_sort | modelling extremal events for insurance and finance |
| title_sub | for Insurance and Finance |
| topic | Mathematics Finance Distribution (Probability theory) Economics / Statistics Quantitative Finance Probability Theory and Stochastic Processes Finance/Investment/Banking Statistics for Business/Economics/Mathematical Finance/Insurance Mathematik Statistik Wirtschaft Wirtschaftsmathematik (DE-588)4066472-7 gnd Wahrscheinlichkeitsrechnung (DE-588)4064324-4 gnd Versicherungsmathematik (DE-588)4063194-1 gnd Finanzmathematik (DE-588)4017195-4 gnd Extremwertstatistik (DE-588)4153429-3 gnd |
| topic_facet | Mathematics Finance Distribution (Probability theory) Economics / Statistics Quantitative Finance Probability Theory and Stochastic Processes Finance/Investment/Banking Statistics for Business/Economics/Mathematical Finance/Insurance Mathematik Statistik Wirtschaft Wirtschaftsmathematik Wahrscheinlichkeitsrechnung Versicherungsmathematik Finanzmathematik Extremwertstatistik |
| url | https://doi.org/10.1007/978-3-642-33483-2 |
| work_keys_str_mv | AT embrechtspaul modellingextremaleventsforinsuranceandfinance AT kluppelbergclaudia modellingextremaleventsforinsuranceandfinance AT mikoschthomas modellingextremaleventsforinsuranceandfinance |