LEADER 05235nam 22008295 450 001 9910826203603321 005 20211018205820.0 010 $a3-642-33483-0 024 7 $a10.1007/978-3-642-33483-2 035 $a(CKB)2660000000027036 035 $a(SSID)ssj0001297678 035 $a(PQKBManifestationID)11768308 035 $a(PQKBTitleCode)TC0001297678 035 $a(PQKBWorkID)11229524 035 $a(PQKB)10713210 035 $a(DE-He213)978-3-642-33483-2 035 $a(MiAaPQ)EBC3088224 035 $a(PPN)238023788 035 $a(EXLCZ)992660000000027036 100 $a20121207d1997 u| 0 101 0 $aeng 135 $aurnn#008mamaa 181 $ctxt 182 $cc 183 $acr 200 10$aModelling Extremal Events $efor Insurance and Finance /$fby Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch 205 $aCorr. 4. print. 210 1$aBerlin, Heidelberg :$cSpringer Berlin Heidelberg :$cImprint: Springer,$d2003 215 $a1 online resource (XV, 648 p.) 225 1 $aStochastic Modelling and Applied Probability,$x0172-4568 ;$v33 300 $a"With 100 Figures." 311 $a3-540-60931-8 311 $a3-642-08242-4 320 $aIncludes bibliographical references and index. 327 $aReader 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. 330 $aBoth in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations, in financial data, stock-market shocks, risk management, ...) play an increasingly important role. This much awaited book presents a comprehensive development of extreme value methodology for random walk models, time series, certain types of continuous-time stochastic processes and compound Poisson processes, all models which standardly occur in applications in insurance mathematics and mathematical finance. Both probabilistic and statistical methods are discussed in detail, with such topics as ruin theory for large claim models, fluctuation theory of sums and extremes of iid sequences, extremes in time series models, point process methods, statistical estimation of tail probabilities. Besides summarising and bringing together known results, the book also features topics that appear for the first time in textbook form, including the theory of subexponential distributions and the spectral theory of heavy-tailed time series. A typical chapter will introduce the new methodology in a rather intuitive (tough always mathematically correct) way, stressing the understanding of new techniques rather than following the usual "theorem-proof" format. Many examples, mainly from applications in insurance and finance, help to convey the usefulness of the new material. A final chapter on more extensive applications and/or related fields broadens the scope further. The book can serve either as a text for a graduate course on stochastics, insurance or mathematical finance, or as a basic reference source. Its reference quality is enhanced by a very extensive bibliography, annotated by various comments sections making the book broadly and easily accessible. 410 0$aStochastic Modelling and Applied Probability,$x0172-4568 ;$v33 606 $aActuarial science 606 $aBusiness mathematics 606 $aEconometrics 606 $aEconomics, Mathematical  606 $aProbabilities 606 $aFinance 606 $aActuarial Sciences$3https://scigraph.springernature.com/ontologies/product-market-codes/M13080 606 $aBusiness Mathematics$3https://scigraph.springernature.com/ontologies/product-market-codes/523000 606 $aEconometrics$3https://scigraph.springernature.com/ontologies/product-market-codes/W29010 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004 606 $aFinance, general$3https://scigraph.springernature.com/ontologies/product-market-codes/600000 615 0$aActuarial science. 615 0$aBusiness mathematics. 615 0$aEconometrics. 615 0$aEconomics, Mathematical . 615 0$aProbabilities. 615 0$aFinance. 615 14$aActuarial Sciences. 615 24$aBusiness Mathematics. 615 24$aEconometrics. 615 24$aQuantitative Finance. 615 24$aProbability Theory and Stochastic Processes. 615 24$aFinance, general. 676 $a650/.01/513 700 $aEmbrechts$b Paul$4aut$4http://id.loc.gov/vocabulary/relators/aut$028027 702 $aKlüppelberg$b Claudia$4aut$4http://id.loc.gov/vocabulary/relators/aut 702 $aMikosch$b Thomas$4aut$4http://id.loc.gov/vocabulary/relators/aut 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910826203603321 996 $aModelling extremal events$9197666 997 $aUNINA