Modelling Extremal Events: for Insurance and Finance (Repost)
Modelling Extremal Events: for Insurance and Finance by Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch
Language: English | 2011 | ISBN: 3540609318 | 648 pages | PDF | 4,95 MB
Language: English | 2011 | ISBN: 3540609318 | 648 pages | PDF | 4,95 MB
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.