Modelling Extremal Events for Insurance and Finance (Stochastic Modelling and Applied Probability)

Manufacturer: Springer Availability: Usually ships in 24 hours List Price:$107.00 Our Price:$107.00 Authors: Paul Embrechts Claudia Klüppelberg Thomas Mikosch Description:

Reviews:

most detailed coverage on extremes and their application to finance
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
This book introduces the extreme theory of value and the relative applications with the industry of finance like relative primary objective. They have been many excellent witnesses written on the extreme theory but on no of value this immense one. As the authors just admit while for how much it is immense the theory of the more variable ends are neglected. They have chosen to only in detail regard the theory that is enough mature for the application. That what you will find here that one is not in many witnesses to this purpose is a treatment of the theory of risk and the fluctuations of the sums and of several models of chronological series comprised the cases with the heavy-united marginal distributions. Understood it the 8 on the special subjects a lot for the estremale index, the great index of claim, the processes of the ARC, great shunting lines, the stable reinsuring, processes and the car-likeness is particularly interesting with filling. The book contains beyond 600 references to the literature and is one resource welcome for the professionals in the finance and the assurance therefore like the extreme theorists of value.


Highly recommended
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.



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