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[EAN: 9783642082429], Neubuch, [SC: 0.0], [PU: Springer Berlin Heidelberg], ANALYSIS; STATISTICALMETHODS; EXTREMEVALUETHEORY; INSURANCERISK; MATHEMATICALFINANCE; MODELING; SETS; TAILESTIM… mais…
Embrechts, Paul, and Kluppelberg, Claudia, and Mikosch, Thomas:
Modelling Extremal Events: for Insurance and Finance - Livro de bolso2011, ISBN: 9783642082429
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2011, ISBN: 3642082424
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Dados detalhados do livro - Modelling Extremal Events
EAN (ISBN-13): 9783642082429
ISBN (ISBN-10): 3642082424
Livro de capa dura
Livro de bolso
Ano de publicação: 2011
Editor/Editora: Springer Berlin
668 Páginas
Peso: 0,994 kg
Língua: eng/Englisch
Livro na base de dados desde 2011-02-01T16:05:50+00:00 (Lisbon)
Página de detalhes modificada pela última vez em 2022-07-12T00:31:40+01:00 (Lisbon)
Número ISBN/EAN: 9783642082429
Número ISBN - Ortografia alternativa:
3-642-08242-4, 978-3-642-08242-9
Ortografia alternativa e termos de pesquisa relacionados:
Autor do livro: embrechts, claudia paul, miko, mikos, thomas mikosch, klüppel
Título do livro: probability, modell, mode, eve, event, stochastic, modelling the, mikosch, modelling extremal events
Dados da editora
Autor: Paul Embrechts
Título: Stochastic Modelling and Applied Probability; Modelling Extremal Events - for Insurance and Finance
Editora: Springer; Springer Berlin
648 Páginas
Ano de publicação: 2011-02-10
Berlin; Heidelberg; DE
Impresso / Feito em
Língua: Inglês
120,99 € (DE)
BC; Hardcover, Softcover / Mathematik/Sonstiges; Versicherung und Versicherungsmathematik; Verstehen; Analysis; Statistical Methods; extreme value theory; insurance risk; mathematical finance; modeling; sets; tail estimation; time series analysis; quantitative finance; Actuarial Mathematics; Business Mathematics; Econometrics; Mathematics in Business, Economics and Finance; Probability Theory; Financial Economics; Wirtschaftsmathematik und -informatik, IT-Management; Ökonometrie und Wirtschaftsstatistik; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; Wahrscheinlichkeitsrechnung und Statistik; Stochastik; Finanzenwesen und Finanzindustrie; BB
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.Outros livros adicionais, que poderiam ser muito similares com este livro:
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