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Modelling Extremal Events for Insurance and Finance

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ISBN-13:
9783540609315
Einband:
Buch
Seiten:
648
Autor:
Paul Embrechts
Gewicht:
1072 g
Format:
244x156x38 mm
Serie:
.33, Applications of Mathematics
Sprache:
Englisch
Beschreibung:

In insurance and finance applications, questions involving extremal events play an important role. This book sets out to bridge the gap between existing theory and practical applications both from a probabilistic as well as statistical point of view.
Reader Guidelines.- 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.

In insurance and finance applications, questions involving extremal events play an important role. This book sets out to bridge the gap between existing theory and practical applications both from a probabilistic as well as statistical point of view.
Reader Guidelines.- 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.
Autor: Paul Embrechts
ISBN-13:: 9783540609315
ISBN: 3540609318
Verlag: Springer, Berlin
Gewicht: 1072g
Seiten: 648
Sprache: Englisch
Auflage 1st ed. 1997. Corr. 9th printing
Sonstiges: Buch, 244x156x38 mm, 14 SW-Abb.,