High Risk Scenarios and Extremes: A Geometric Approach (Zurich Lectures in Advanced Mathematics) - Softcover

Balkema, Guus; Embrechts, Paul

Softcover

ISBN 10: 3037190353 ISBN 13: 9783037190357

Publisher: European Mathematical Society, 2007

Synopsis

Quantitative Risk Management (QRM) has become a field of research of considerable importance to numerous areas of application, including insurance, banking, energy, medicine, reliability. Mainly motivated by examples from insurance and finance, the authors develop a theory for handling multivariate extremes. The approach borrows ideas from portfolio theory and aims at an intuitive approach in the spirit of the Peaks over Thresholds method. The point of view is geometric. It leads to a probabilistic description of what in QRM language may be referred to as a high risk scenario: the conditional behaviour of risk factors given that a large move on a linear combination Ýportfolio, say¨ has been observed. The theoretical models which describe such conditional extremal behaviour are characterized and their relation to the limit theory for coordinatewise maxima is explained.
The book is based on a graduate course on point processes and extremes. It could form the basis for an advanced course on multivariate extreme value theory or a course on mathematical issues underlying risk. Students in statistics and finance with a mathematical, quantitative background are the prime audience. Actuaries and risk managers involved in data based risk analysis will find the models discussed in the book stimulating. The text contains many indications for further research.

Edition details

• Publisher: European Mathematical Society
• Publication date: 2007
• Language: English
• ISBN 10: 3037190353
• ISBN 13: 9783037190357
• Binding: Paperback
• Number of pages: 388