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The Resource High risk scenarios and extremes : a geometric approach, Guus Balkema, Paul Embrechts

High risk scenarios and extremes : a geometric approach, Guus Balkema, Paul Embrechts

Label
High risk scenarios and extremes : a geometric approach
Title
High risk scenarios and extremes
Title remainder
a geometric approach
Statement of responsibility
Guus Balkema, Paul Embrechts
Creator
Contributor
Subject
Language
eng
Summary
"Quantitative Risk Management (QRM) has become a field of research of considerable importance to numerous areas of application, including insurance, banking, energy, medicine, reliability. Mainly motivated by examples from insurance and finance, the authors develop a theory for handling multivariate extremes. The approach borrows ideas from portfolio theory and aims at an intuitive approach in the spirit of the Peaks over Thresholds method. The point of view is geometric. It leads to a probabilistic description of what in QRM language may be referred to as a high risk scenario: the conditional behaviour of risk factors given that a large move on a linear combination [portfolio, say] has been observed. The theoretical models which describe such conditional extremal behaviour are characterized and their relation to the limit theory for coordinatewise maxima is explained." "The book is based on a graduate course on point processes and extremes. It could form the basis for an advanced course on multivariate extreme value theory or a course on mathematical issues underlying risk. Students in statistics and finance with a mathematical, quantitative background are the prime audience. Actuaries and risk managers involved in data based risk analysis will find the models discussed in the book stimulating. The text contains many indications for further research."--BOOK JACKET
Member of
Cataloging source
COO
http://library.link/vocab/creatorName
Balkema, A. A
Index
index present
LC call number
QA278
LC item number
.B35 2007
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorDate
1953-
http://library.link/vocab/relatedWorkOrContributorName
Embrechts, Paul
Series statement
Zurich lectures in advanced mathematics
http://library.link/vocab/subjectName
  • Multivariate analysis
  • Extreme value theory
  • Point processes
  • Risk assessment
Label
High risk scenarios and extremes : a geometric approach, Guus Balkema, Paul Embrechts
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. ([361]-368) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • univariate theory: maxima and exceedances
  • Componentwise maxima
  • High risk scenarios
  • The
  • Gauss-exponential domain, rotund sets
  • The
  • Gauss-exponential domain, unimodal distributions
  • Flat functions and flat measures
  • Heavy tails and bounded vectors
  • The
  • Foreword -- Introduction
  • multivariate GPDs
  • Exceedances over horizontal thresholds
  • Horizontal thresholds -- examples
  • Heavy tails and eliptic thresholds
  • Heavy tails -- examples
  • Regular variation and excess measures
  • Point processes
  • Poisson point processes
  • The
  • distribution
  • Convergence
  • Converging sample clouds
  • The
Control code
191922927
Dimensions
24 cm
Extent
xiii, 375 pages
Isbn
9783037190357
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
System control number
(OCoLC)191922927
Label
High risk scenarios and extremes : a geometric approach, Guus Balkema, Paul Embrechts
Publication
Bibliography note
Includes bibliographical references (p. ([361]-368) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • univariate theory: maxima and exceedances
  • Componentwise maxima
  • High risk scenarios
  • The
  • Gauss-exponential domain, rotund sets
  • The
  • Gauss-exponential domain, unimodal distributions
  • Flat functions and flat measures
  • Heavy tails and bounded vectors
  • The
  • Foreword -- Introduction
  • multivariate GPDs
  • Exceedances over horizontal thresholds
  • Horizontal thresholds -- examples
  • Heavy tails and eliptic thresholds
  • Heavy tails -- examples
  • Regular variation and excess measures
  • Point processes
  • Poisson point processes
  • The
  • distribution
  • Convergence
  • Converging sample clouds
  • The
Control code
191922927
Dimensions
24 cm
Extent
xiii, 375 pages
Isbn
9783037190357
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
System control number
(OCoLC)191922927

Library Locations

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      104 Ellis Library, Columbia, MO, 65201, US
      38.944377 -92.326537
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