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
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The item High risk scenarios and extremes : a geometric approach, Guus Balkema, Paul Embrechts represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item High risk scenarios and extremes : a geometric approach, Guus Balkema, Paul Embrechts represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
 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
 Language
 eng
 Extent
 xiii, 375 pages
 Contents

 univariate theory: maxima and exceedances
 Componentwise maxima
 High risk scenarios
 The
 Gaussexponential domain, rotund sets
 The
 Gaussexponential 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
 Isbn
 9783037190357
 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
 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
 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
 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
 Gaussexponential domain, rotund sets
 The
 Gaussexponential 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
 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
 Gaussexponential domain, rotund sets
 The
 Gaussexponential 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
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.missouri.edu/portal/Highriskscenariosandextremesageometric/RH9Iq_oAtds/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/Highriskscenariosandextremesageometric/RH9Iq_oAtds/">High risk scenarios and extremes : a geometric approach, Guus Balkema, Paul Embrechts</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>