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Название: Modelling Extremal Events for Insurance and Finance
Авторы: Embrechts P., Klupplberg C., Mikosch T.
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.
The book is comprehensive treatise on the subject of extremal events modeling. Although it was clearly and admittedly motivated by practical questions of workers in finance, insurance, and reinsurance, the book contains the mathematical rigor and generality that will interest the extreme value theoretician. This text may be used to teach a graduate-level course in mathematical finance or a special topics course in stochastic processes with or without a financial emphasis.