Extreme Value Theorie:: An Approach via Point Processes

Extreme Value Theorie:: An Approach via Point Processes

von Joël Bessire
Taschenbuch - 9786202202367
32,90 €
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Beschreibung

The goal of this book is to rewrite and extend chapter 5 (An Approach to Extremes via Point Processes) of the book "Modelling Extremal Events for Insurance and Finance" by P. Embrechts, C. Klüppelberg and T. Mikosch. The book should result in a text that can be understood from any masters degree student in mathematics, without having large prior knowledge in the area of extreme value theory and point processes. First we introduce some theory that is needed throughout the book. Then we give the definition of a point process and some basic notions about it. In the next chapter we look closer at weak convergence of point processes and present some important theorems, which we use later to derive various limit results. We consider then the point process of exceedances for i.i.d. and strictly stationary sequences. Further we give an alternate approach to results of classical extreme value theory using point process methods, before we move on to consider some linear processes. In the last chapter we present some applications for insurance and finance, which are related to extreme value theory.

Details

Verlag AV Akademikerverlag
Ersterscheinung November 2017
Maße 220 mm x 150 mm x 7 mm
Gewicht 195 Gramm
Format Taschenbuch
ISBN-13 9786202202367
Auflage Nicht bekannt
Seiten 120

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