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Modelling Extremal Events: for Insurance and Finance book cover

Modelling Extremal Events: for Insurance and Finance

Stochastic Modelling and Applied Probability

by Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch · 1997 · 648 pages

Nassim Nicholas Taleb
Nassim Nicholas Taleb
Recommended by 1 elite

Recommended by 1 Elite

Nassim Nicholas Taleb

About This Book

A comprehensive development of extreme value methodology for applications in insurance and mathematical finance. It examines models for large-claim scenarios, such as stock market crashes and catastrophes, where traditional statistical assumptions like the law of large numbers fail to apply.

Genres

Science & TechnologyEconomics & Finance

Topics

Decision MakingPricing StrategyResilienceRisk ManagementSystems Thinking

Book Details

Published

1997

Pages

648

Language

en

ISBN

9783540609315

Series

Part 33 of Stochastic Modelling and Applied Probability

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Recommended by Nassim Nicholas Taleb