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Home > Financial Information Sources > Corporate Insurance > Modelling Extremal Events: For Insurance and Finance

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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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