Newsletter   Secure Checkout   View Cart (0 items)  
Search:    Welcome Guest! Save up to 30-40% on most items with our awesome everyday discounts!

Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability) [Hardcover]

Our Price $ 76.30  
Retail Value $ 109.00  
You Save $ 32.70  (30%)  
Item Number 228005  
Buy New $76.30
Quantity:
Out Of Stock!
Currently Out Of Stock
Currently unavailable...

Item description for Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability) by Paul Embrechts, Claudia Kluppelberg & Thomas Mikosch...

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.

Promise Angels is dedicated to bringing you great books at great prices. Whether you read for entertainment, to learn, or for literacy - you will find what you want at promiseangels.com!

Item Specifications...


Pages   645
Est. Packaging Dimensions:   Length: 1.75" Width: 6.25" Height: 9.5"
Weight:   2.4 lbs.
Binding  Hardcover
Publisher   Springer
ISBN  3540609318  
ISBN13  9783540609315  


Availability  0 units.


More About Paul Embrechts, Claudia Kluppelberg & Thomas Mikosch


Register your artisan biography and upload your photo! Alexander J. McNeil is Professor of Mathematics at the Swiss Federal Institute of Technology (ETH) in Zurich. Rudiger Frey is Professor of Financial Mathematics at the University of Leipzig. Paul Embrechts, Professor of Insurance Mathematics at the Swiss Federal Institute of Technology (ETH) in Zurich, is the coauthor of "Modelling Extremal Events for Insurance and Finance."

Paul Embrechts was born in 1953.

Are You The Artisan or Author behind this product?
Improve our customers experience by registering for an Artisan Biography Center Homepage.



Product Categories

1Books > Special Features > New & Used Textbooks > Sciences > Mathematics
2Books > Subjects > Business & Investing > Economics > General
3Books > Subjects > Business & Investing > Economics > Statistics
4Books > Subjects > Business & Investing > General
5Books > Subjects > Business & Investing > Industries & Professions > Insurance > General
6Books > Subjects > Business & Investing > Management & Leadership > Management
7Books > Subjects > Professional & Technical > Accounting & Finance > Finance > General
8Books > Subjects > Science > Mathematics > General



Reviews - What do customers think about Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability)?

most detailed coverage on extremes and their application to finance  Jan 23, 2008
book presents extreme value theory and its applications with the finance industry as its primary target. There have been many excellent texts written on extreme value theory but none this extensive. As the authors admit even as extensive as it is the theory of multivariate extremes is neglected. They chose to only cover in detail the theory that is mature enough for application.
What you will find here that is not in many texts on this subject is a treatment of risk theory and fluctuations of sums and various time series models including cases with heavy-tailed marginal distributions.

Chapter 8 on special topics is particularly interesting with a lot of coverage for the extremal index, large claim index, ARCH processes, large deviations, reinsurance, stable processes and self-similarity. The book contains over 600 references to the literature and is a welcome resource for practitioners in finance and insurance as well as extreme value theorists.

 
largest book written on extremes  Jan 29, 2002
This book presents extreme value theory and its applications with the finance industry as its primary target. There have been many excellent texts written on extreme value theory but none this extensive. As the authors admit even as extensive as it is the theory of multivariate extremes is neglected. They chose to only cover in detail the theory that is mature enough for application.

What you will find here that is not in many texts on this subject is a treatment of risk theory and fluctuations of sums and various time series models including cases with heavy-tailed marginal distributions.

Chapter 8 on special topics is particularly interesting with a lot of coverage for the extremal index, large claim index, ARCH processes, large deviations, reinsurance, stable processes and self-similarity. The book contains over 600 references to the literature and is a welcome resource for practitioners in finance and insurance as well as extreme value theorists.

 
Highly recommended  Aug 15, 2000
This book covers the theory and applications of extremal value theory (an area of applied probability). The mathematics is kept at an acceptable level, i.e. advanced undergraduates in math/physics/engineering, but the breadth and the sophistication of the statements are such that the results are never trivial. Chapters 2-3-4 introduce the reader to the property of sums, maxima and order statistics of random variables. Many results are only stated but not proved. Yet, this does not detract to the readability of the book. Chpater 5 treats point processes and requires a deeper mathematical background. Among the chapters, this was the most disappointing to me. The monographs of Resnick and of Kallenberg, as well as many good introductions to point processes in queueing theory, are in my opinion both a more intuitive and rigorous introduction to random measures. This is not a major flaw of the book, given its view toward applications; and besides this, the bibliographical notes will point the reader to the relevant literature. Chapter 6, on statistical analysis of extremal events, is enjoyable and extremely useful for practitioners in finance and insurance. Chapter 7 touches upon time series and its relation to heavy tails. Finally, chapter 8 is a put-pourri of topics: ARCH processes, stable processes, self-similarity. Overall, I found this book useful as a reference, but sometimes lacking in focus: some topics seem juxtaposed with no clear logical continuity. Another potential shortcoming of the book is that it is neither completely rigorous nor completely readable (i.e., an undergraduate-level book). At the same time, these can be considered as qualities: with regards to the former, there is plenty of material to consult and draw inspiration from; and at the same time each reader will find the "right" level of mathematics in the book. In my opinion the final balance is largely positive, and I would recommend this book without hesitation.
 

Write your own review about Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability)



Ask A Question or Provide Feedback regarding Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability)


Item Feedback and Product Questions
For immediate assistance call 888.395.0572 during the hours of 10am thru 8pm EST Monday thru Friday and a customer care representative will be happy to help you!

Help us continuously improve our service by reporting your feedback or questions below:

I have a question regarding this product
The information above is incorrect or conflicting
The page has misspellings or incorrect grammar
The page did not load correctly in my browser or created an error.

Email Address:
Anti Spam Question. To combat spammers we require that you answer a simple question.
What color is the sky?
Leave This Blank :
Do Not Change This Text :



Add This Product Widget To Your Website

Looking to add this information to your own website? Then use our Product Widget to allow you to display product information in a frame that is 120 pixels wide by 240 pixels high.

    Copy and paste the following HTML into your website and enjoy!



Order toll-free weekdays 10am thru 10pm EST by phone: 1-888-395-0572 (Lines are closed on holidays & weekends.)
Customer Service | My Account | Track My Orders | Return Policy | Request Free Catalog | Email Newsletter


Resources
Gift Certificates
RSS Feeds
Corporate
About Us
Contact Us
Policies
Terms Of Use
Privacy Policy