LEADER 00743nam0-22002411i-450- 001 990002787030403321 035 $a000278703 035 $aFED01000278703 035 $a(Aleph)000278703FED01 035 $a000278703 100 $a20000920d1954----km-y0itay50------ba 101 0 $aENG 200 1 $aComptabilitès diverses - extraits du traitède technique comptable approfondie.$fde CH A RDONNET L. 210 $aParis$cDelmas$d1954. 700 1$aChardonnet,$bLéo$0372802 801 0$aIT$bUNINA$gRICA$2UNIMARC 901 $aBK 912 $a990002787030403321 952 $a3-3-8$bS.I.$fECA 959 $aECA 996 $aComptabilitès diverses - extraits du traitède technique comptable approfondie$9421006 997 $aUNINA DB $aING01 LEADER 03268nam 22004215a 450 001 9910151936003321 005 20091109150325.0 010 $a3-03719-535-5 024 70$a10.4171/035 035 $a(CKB)3710000000953815 035 $a(CH-001817-3)62-091109 035 $a(PPN)178155284 035 $a(EXLCZ)993710000000953815 100 $a20091109j20070906 fy 0 101 0 $aeng 135 $aurnn|mmmmamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aHigh Risk Scenarios and Extremes$b[electronic resource] $eA geometric approach /$fGuus Balkema, Paul Embrechts 210 3 $aZuerich, Switzerland $cEuropean Mathematical Society Publishing House$d2007 215 $a1 online resource (389 pages) 225 0 $aZurich Lectures in Advanced Mathematics (ZLAM) 330 $aQuantitative 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 (portfolio, 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 first part is an elegant exposition of coordinatewise extreme value theory; the second half develops the more basic geometric theory. Besides a precise mathematical deduction of the main results, the text yields numerous discussions of a more applied nature. A twenty page preview introduces the key concepts; the extensive introduction provides links to financial mathematics and insurance theory. 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. 606 $aProbability & statistics$2bicssc 606 $aProbability theory and stochastic processes$2msc 606 $aGame theory, economics, social and behavioral sciences$2msc 615 07$aProbability & statistics 615 07$aProbability theory and stochastic processes 615 07$aGame theory, economics, social and behavioral sciences 686 $a60-xx$a91-xx$2msc 700 $aBalkema$b Guus$01070778 702 $aEmbrechts$b Paul 801 0$bch0018173 906 $aBOOK 912 $a9910151936003321 996 $aHigh Risk Scenarios and Extremes$92565021 997 $aUNINA