An introduction to heavy-tailed and subexponential distributions Sergey Foss, Dmitry Korshunov, Stan Zachary

Format:

Book

Author/Creator:

Foss, Serguei

Contributor:

Korshunov, Dmitry

Zachary, S. (Stan)

Series:

Springer series in operations research

Springer series in operations research and financial engineering 1431-8598

Language:

English

Subjects (All):

Distribution (Probability theory).

distribution (statistics-related concept).

Physical Description:

1 online resource

Edition:

2nd edition

Place of Publication:

New York, NY Springer ©2013

System Details:

text file

PDF

Summary:

Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems. They are frequently used to accurately model inputs and outputs of computer and data networks and service facilities such as call centers. They are an essential for describing risk processes in finance and also for insurance premia pricing, and such distributions occur naturally in models of epidemiological spread. The class includes distributions with power law tails such as the Pareto, as well as the lognormal and certain Weibull distributions. One of the highlights of this new edition is that it includes problems at the end of each chapter. Chapter 5 is also updated to include interesting applications to queueing theory, risk, and branching processes. New results are presented in a simple, coherent and systematic way. Graduate students as well as modelers in the fields of finance, insurance, network science and environmental studies will find this book to be an essential reference

Contents:

Introduction Heavy-Tailed and Long-Tailed Distributions Subexponential Distributions Densities and Local Probabilities Maximum of Random Walk

Notes:

Includes bibliographical references and index

Other Format:

Printed edition:

ISBN:

9781461471011

146147101X

1461471001

9781461471004

OCLC:

846574712

Access Restriction:

Restricted for use by site license