Modelling extermal events

For insurance and finance

Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch

650 pages, parution le 22/10/2001

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Résumé

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.

L'auteur - Paul Embrechts

Paul Embrechts, Professor of Insurance Mathematics at the Swiss Federal Institute of Technology (ETH) in Zurich, is the coauthor of Modelling Extremal Events for Insurance and Finance.

Sommaire

Risk Theory
Fluctuations of Sums
Fluctuations of Maxima
Fluctuations of Upper Order Statistics
An Approach to Extremes via Point Processes
Statistical Methods for Extremal Events
Time Series Analysis for Heavy{Tailed Processes
Special Topics

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch
Parution	22/10/2001
Nb. de pages	650
Format	16 x 24
Couverture	Broché
Poids	1089g
Intérieur	Noir et Blanc
EAN13	9783540609315
ISBN13	978-3-540-60931-5