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The Resource Advances in heavy tailed risk modeling : a handbook of operational risk, Gareth W. Peters, Pavel V. Shevchenko

Advances in heavy tailed risk modeling : a handbook of operational risk, Gareth W. Peters, Pavel V. Shevchenko

Label
Advances in heavy tailed risk modeling : a handbook of operational risk
Title
Advances in heavy tailed risk modeling
Title remainder
a handbook of operational risk
Statement of responsibility
Gareth W. Peters, Pavel V. Shevchenko
Creator
Contributor
Author
Subject
Language
eng
Summary
"A companion book to Fundamental Aspects of Operational Risk Modeling and Insurance Analytics: A Handbook of Operational Risk (2014), this book covers key mathematical and statistical aspects of the quantitative modelling of heavy tailed loss processes in operational risk and insurance settings. This book can add value to the industry by providing clear and detailed coverage of modelling for heavy tailed operational risk losses from both a rigorous mathematical as well as a statistical perspective. Few books cover the range of details provided both the mathematical and statistical features of such models, directly targeting practitioners. The book focuses on providing a sound understanding of how one would mathematically and statistically model, estimate, simulate and validate heavy tailed loss process models in operational risk. Coverage includes advanced topics on risk modelling in high consequence low frequency loss processes. This features splice loss models and motivation for heavy tailed risk processes models. The key aspects of extreme value theory and their development in loss distributional approach modelling is considered. Classification and understanding of different classes of heavy tailed risk process models is discussed, this leads into topics on heavy tailed closed form loss distributional approach models and flexible heavy tailed risk models such as a-stable and tempered stable models. The remainder of the chapters covers advanced topics on risk measures and asymptotics for heavy tailed compound process models. The finishing chapter covers advanced topics including forming links between actuarial compound process recursions and monte carlo numerical solutions for capital and risk measure estimations"--
Member of
Assigning source
Provided by publisher
Cataloging source
YDXCP
http://library.link/vocab/creatorDate
1978-
http://library.link/vocab/creatorName
Peters, Gareth W.
Dewey number
658.15/5
Illustrations
illustrations
Index
index present
LC call number
HD61
LC item number
.P477 2015
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Shevchenko, Pavel V.
Series statement
Wiley Handbooks in Financial Engineering and Econometrics
http://library.link/vocab/subjectName
  • Risk management
  • Operational risk
  • MATHEMATICS
  • TECHNOLOGY & ENGINEERING
  • BUSINESS & ECONOMICS
  • BUSINESS & ECONOMICS
  • BUSINESS & ECONOMICS
  • BUSINESS & ECONOMICS
  • BUSINESS & ECONOMICS
  • Operational risk
  • Risk management
Label
Advances in heavy tailed risk modeling : a handbook of operational risk, Gareth W. Peters, Pavel V. Shevchenko
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Control code
910856022
Extent
1 online resource (xxv, 627 pages, 6 unnumbered pages)
Form of item
online
Isbn
9781118909553
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations.
Specific material designation
remote
System control number
(OCoLC)910856022
Label
Advances in heavy tailed risk modeling : a handbook of operational risk, Gareth W. Peters, Pavel V. Shevchenko
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Control code
910856022
Extent
1 online resource (xxv, 627 pages, 6 unnumbered pages)
Form of item
online
Isbn
9781118909553
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations.
Specific material designation
remote
System control number
(OCoLC)910856022

Library Locations

    • Ellis LibraryBorrow it
      1020 Lowry Street, Columbia, MO, 65201, US
      38.944491 -92.326012
    • Engineering Library & Technology CommonsBorrow it
      W2001 Lafferre Hall, Columbia, MO, 65211, US
      38.946102 -92.330125
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