Modelling extremal events for insurance and finance / Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch.

Format:

Book

Author/Creator:

Embrechts, Paul, 1953-

Contributor:

Klüppelberg, Claudia, 1953-

Mikosch, Thomas

Class of 1924 Book Fund.

Series:

Applications of mathematics 0172-4568 ; 33.

Applications of mathematics, 0172-4568 ; 33

Language:

English

Subjects (All):

Business mathematics.

Insurance--Mathematics.

Insurance.

Physical Description:

xv, 648 pages : illustrations ; 24 cm.

Edition:

"Corrected third printing 2001".

Other Title:

Modeling extremal events

Place of Publication:

Berlin ; New York : Springer, 2001.

Summary:

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.

Notes:

Edition statement from t.p. verso.

Includes bibliographical references (pages [591]-625) and index.

Local Notes:

Acquired for the Penn Libraries with assistance from the Class of 1924 Book Fund.

ISBN:

3540609318

OCLC:

84336948