Advances in heavy tailed risk modeling: a handbook of operational risk
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, New Jersey
Wiley
[2015]
|
| Schriftenreihe: | Wiley Handbooks in Financial Engineering and Econometrics
|
| Schlagworte: | |
| Online-Zugang: | DE-861 DE-473 Volltext |
| Beschreibung: | "A companion book to Fundamental Aspects of Operational Risk Modeling and Insurance Analytics: A Handbook of Operational Risk (2014), this book covers key mathematical and statistical aspects of the quantitative modelling of heavy tailed loss processes in operational risk and insurance settings. This book can add value to the industry by providing clear and detailed coverage of modelling for heavy tailed operational risk losses from both a rigorous mathematical as well as a statistical perspective. Few books cover the range of details provided both the mathematical and statistical features of such models, directly targeting practitioners. The book focuses on providing a sound understanding of how one would mathematically and statistically model, estimate, simulate and validate heavy tailed loss process models in operational risk. Coverage includes advanced topics on risk modelling in high consequence low frequency loss processes. This features splice loss models and motivation for heavy tailed risk processes models. The key aspects of extreme value theory and their development in loss distributional approach modelling is considered. Classification and understanding of different classes of heavy tailed risk process models is discussed, this leads into topics on heavy tailed closed form loss distributional approach models and flexible heavy tailed risk models such as a-stable and tempered stable models. The remainder of the chapters covers advanced topics on risk measures and asymptotics for heavy tailed compound process models. The finishing chapter covers advanced topics including forming links between actuarial compound process recursions and monte carlo numerical solutions for capital and risk measure estimations"-- Includes bibliographical references and index |
| Beschreibung: | 1 Online-Ressource (xxv, 627 pages, 6 unnumbered pages) |
| ISBN: | 9781118909553 1118909550 9781118909560 1118909569 1118909534 9781118909539 |
Internformat
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Datensatz im Suchindex
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| adam_text | |
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| author | Peters, Gareth |
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| dewey-full | 658.15/5 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.15/5 |
| dewey-search | 658.15/5 |
| dewey-sort | 3658.15 15 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV043397868 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-06T09:03:32Z |
| institution | BVB |
| isbn | 9781118909553 1118909550 9781118909560 1118909569 1118909534 9781118909539 |
| language | English |
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| publisher | Wiley |
| record_format | marc |
| series2 | Wiley Handbooks in Financial Engineering and Econometrics |
| spelling | Peters, Gareth Verfasser (DE-588)1084592576 aut Advances in heavy tailed risk modeling a handbook of operational risk Gareth W. Peters, Pavel V. Shevchenko Hoboken, New Jersey Wiley [2015] 1 Online-Ressource (xxv, 627 pages, 6 unnumbered pages) txt rdacontent c rdamedia cr rdacarrier Wiley Handbooks in Financial Engineering and Econometrics "A companion book to Fundamental Aspects of Operational Risk Modeling and Insurance Analytics: A Handbook of Operational Risk (2014), this book covers key mathematical and statistical aspects of the quantitative modelling of heavy tailed loss processes in operational risk and insurance settings. This book can add value to the industry by providing clear and detailed coverage of modelling for heavy tailed operational risk losses from both a rigorous mathematical as well as a statistical perspective. Few books cover the range of details provided both the mathematical and statistical features of such models, directly targeting practitioners. The book focuses on providing a sound understanding of how one would mathematically and statistically model, estimate, simulate and validate heavy tailed loss process models in operational risk. Coverage includes advanced topics on risk modelling in high consequence low frequency loss processes. This features splice loss models and motivation for heavy tailed risk processes models. The key aspects of extreme value theory and their development in loss distributional approach modelling is considered. Classification and understanding of different classes of heavy tailed risk process models is discussed, this leads into topics on heavy tailed closed form loss distributional approach models and flexible heavy tailed risk models such as a-stable and tempered stable models. The remainder of the chapters covers advanced topics on risk measures and asymptotics for heavy tailed compound process models. The finishing chapter covers advanced topics including forming links between actuarial compound process recursions and monte carlo numerical solutions for capital and risk measure estimations"-- Includes bibliographical references and index MATHEMATICS / Probability & Statistics / General bisacsh TECHNOLOGY & ENGINEERING / Industrial Engineering bisacsh BUSINESS & ECONOMICS / Banks & Banking bisacsh Operational risk fast Risk management fast BUSINESS & ECONOMICS / Industrial Management bisacsh BUSINESS & ECONOMICS / Management bisacsh BUSINESS & ECONOMICS / Management Science bisacsh BUSINESS & ECONOMICS / Organizational Behavior bisacsh Wirtschaft Risk management Operational risk Financial Engineering (DE-588)4208404-0 gnd rswk-swf Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Operationelles Risiko (DE-588)7518581-7 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Electronic books Risikomanagement (DE-588)4121590-4 s Operationelles Risiko (DE-588)7518581-7 s Risikoanalyse (DE-588)4137042-9 s Financial Engineering (DE-588)4208404-0 s Finanzmathematik (DE-588)4017195-4 s 1\p DE-604 Shevchenko, Pavel V. Sonstige (DE-588)1113301058 oth Erscheint auch als Druck-Ausgabe, Hardcover 978-1-118-90953-9 https://onlinelibrary.wiley.com/doi/book/10.1002/9781118909560 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Peters, Gareth Advances in heavy tailed risk modeling a handbook of operational risk MATHEMATICS / Probability & Statistics / General bisacsh TECHNOLOGY & ENGINEERING / Industrial Engineering bisacsh BUSINESS & ECONOMICS / Banks & Banking bisacsh Operational risk fast Risk management fast BUSINESS & ECONOMICS / Industrial Management bisacsh BUSINESS & ECONOMICS / Management bisacsh BUSINESS & ECONOMICS / Management Science bisacsh BUSINESS & ECONOMICS / Organizational Behavior bisacsh Wirtschaft Risk management Operational risk Financial Engineering (DE-588)4208404-0 gnd Risikoanalyse (DE-588)4137042-9 gnd Operationelles Risiko (DE-588)7518581-7 gnd Finanzmathematik (DE-588)4017195-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4208404-0 (DE-588)4137042-9 (DE-588)7518581-7 (DE-588)4017195-4 (DE-588)4121590-4 |
| title | Advances in heavy tailed risk modeling a handbook of operational risk |
| title_auth | Advances in heavy tailed risk modeling a handbook of operational risk |
| title_exact_search | Advances in heavy tailed risk modeling a handbook of operational risk |
| title_full | Advances in heavy tailed risk modeling a handbook of operational risk Gareth W. Peters, Pavel V. Shevchenko |
| title_fullStr | Advances in heavy tailed risk modeling a handbook of operational risk Gareth W. Peters, Pavel V. Shevchenko |
| title_full_unstemmed | Advances in heavy tailed risk modeling a handbook of operational risk Gareth W. Peters, Pavel V. Shevchenko |
| title_short | Advances in heavy tailed risk modeling |
| title_sort | advances in heavy tailed risk modeling a handbook of operational risk |
| title_sub | a handbook of operational risk |
| topic | MATHEMATICS / Probability & Statistics / General bisacsh TECHNOLOGY & ENGINEERING / Industrial Engineering bisacsh BUSINESS & ECONOMICS / Banks & Banking bisacsh Operational risk fast Risk management fast BUSINESS & ECONOMICS / Industrial Management bisacsh BUSINESS & ECONOMICS / Management bisacsh BUSINESS & ECONOMICS / Management Science bisacsh BUSINESS & ECONOMICS / Organizational Behavior bisacsh Wirtschaft Risk management Operational risk Financial Engineering (DE-588)4208404-0 gnd Risikoanalyse (DE-588)4137042-9 gnd Operationelles Risiko (DE-588)7518581-7 gnd Finanzmathematik (DE-588)4017195-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | MATHEMATICS / Probability & Statistics / General TECHNOLOGY & ENGINEERING / Industrial Engineering BUSINESS & ECONOMICS / Banks & Banking Operational risk Risk management BUSINESS & ECONOMICS / Industrial Management BUSINESS & ECONOMICS / Management BUSINESS & ECONOMICS / Management Science BUSINESS & ECONOMICS / Organizational Behavior Wirtschaft Financial Engineering Risikoanalyse Operationelles Risiko Finanzmathematik Risikomanagement |
| url | https://onlinelibrary.wiley.com/doi/book/10.1002/9781118909560 |
| work_keys_str_mv | AT petersgareth advancesinheavytailedriskmodelingahandbookofoperationalrisk AT shevchenkopavelv advancesinheavytailedriskmodelingahandbookofoperationalrisk |