Modelling Extremal Events for Insurance and Finance

Paul Embrechts

ISBN 10: 3540609318 / ISBN 13: 9783540609315

Published by Springer, Berlin, Springer, 1997

About this Item

Druck auf Anfrage Neuware - Printed after ordering - 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.

Seller Inventory # 9783540609315

Bibliographic Details

• Title: Modelling Extremal Events for Insurance and Finance
• Publisher: Springer, Berlin, Springer
• Publication Date: 1997
• Language: English
• ISBN 10: 3540609318
• ISBN 13: 9783540609315
• Binding: Buch
• Condition: Neu
• Dimensions: 244W x 162H x 38D millimeters 244 millimeters width by 162 millimeters height by 38 millimeters depth
• Weight: 1072 grams

About this title

Synopsis

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.

From the Back Cover

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.