Modelling Extremal Events - Paul Embrechts

Modelling Extremal Events

Paul Embrechts

出版社

Springer

出版时间

2012-12-19

ISBN

9783540609315

评分

★★★★★
书籍介绍

"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

用户评论
主要是了解极值理论在金融和保险上的应用。在金融上是算portfolio的value at risk,控制损失; 而保险则和极值相关,每次索赔都是一次极值事件
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