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Modelling Extremal Events: For Insurance and Finance

Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch
Stochastic Modelling and Applied Probability Series
Berlin: Springer, 1997
655pp, ISBN: 978-3-540-60931-5

This comprehensive practitioner reference to extremal events modeling presents a wide range of theory and applications of extremal processes in an accessible way. It combines key concepts in extreme value theory with extreme event modeling, and analyzes a number of issues relevant to both insurance and financial applications, such as large insurance claims, large fluctuations in financial data, stock market shocks, and risk management.

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

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Product Description

"A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS

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