Modelling Extremal Events: For Insurance and Finance
Springer, Jan 1, 1997 - Business & Economics - 645 pages
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.
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Summer Schools and Workshops
Extreme Value Theory and Risk Managememt (October 2000). Modelling Extremal Events for Insurance and Finance (August 1999 and August 2000) ...
www.math.ethz.ch/ finance/ workshops.html
Modelling Extremal Events for Insurance and Finance - Questia ...
Modelling Extremal Events for Insurance and Finance.
Modelling Extremal Events for Insurance and Finance, by P ...
Modelling Extremal Events for Insurance and Finance, by P. Embrechts,. C. klučppelberg, and T. Mikosch. Springer, Applications of Mathematics vol. 33, 1997, ...
www.springerlink.com/ index/ N4VG3P532M211213.pdf
JSTOR: Modelling Extremal Events for Insurance and Finance.
Modelling Extremal Events for Insurance and Finance P. EMBRECHTS, C. KLOPPELBERG AND T. MIKOSCH, 1997 New York, Springer xvi + 644 pp., ?45.50 ISBN 3 540 ...
Modelling Extremal Events for Insurance and Finance
Modelling Extremal Events for Insurance and Finance. Paul Embrechts, Claudia Klüppelberg and Thomas Mikosch. QRM Book Image Springer, 1997. Resources ...
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ingentaconnect Modelling Extremal Events for Insurance and Finance ...
Modelling Extremal Events for Insurance and Finance, by P. Embrechts, C. Klu¨ppelberg, and T. Mikosch. Springer, Applications of Mathematics vol. ...
www.ingentaconnect.com/ content/ klu/ extr/ 1999/ 00000001/ 00000003/ 00196519;jsessionid=in547sq1ae5f.alice?format=print
Zentralblatt MATH Database 1931 – 2008 0873.62116
Modelling extremal events for insurance and finance. (English). Applications of Mathematics. 33. Berlin: Springer. xv, 645 p. DM 118.00;os 861.40; ...
zmath.impa.br/ cgi-bin/ zmen/ ZMATH/ en/ quick.html?first=1&
ISA - 15th Summer School
Embrechts, P., Klueppelberg, C., and Mikosch, T. (1997) Modelling Extremal Events for Insurance and Finance, Springer, Berlin. Participants Actuaries. ...
www.hec.unil.ch/ isa/ ISAWebSite/ download/ summer98/ summer.htm
Modelling Extremal Evnts for Insurance and Finance
The course will mainly be based on P. Embrechts, C. Klueppelberg and T. Mikosch (1997). " Modelling extremal events for insurance and finance " Spriger, ...
www.ge.infm.it/ ~ecph/ events/ cgal.html
Modelling extremal events
Modelling extremal events: for insurance and finance. Purchase this Book. Source, Springer-Berlin Applications Of Mathematics; Vol. 33 archive. Pages: 645 ...