An Introduction To Heavy Tailed And Subexponential Distributions
DOWNLOAD
Download An Introduction To Heavy Tailed And Subexponential Distributions PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get An Introduction To Heavy Tailed And Subexponential Distributions book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
An Introduction To Heavy Tailed And Subexponential Distributions
DOWNLOAD
Author : Sergey Foss
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-05-25
An Introduction To Heavy Tailed And Subexponential Distributions written by Sergey Foss and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-05-25 with Mathematics categories.
This monograph provides a complete and comprehensive introduction to the theory of long-tailed and subexponential distributions in one dimension. New results are presented in a simple, coherent and systematic way. All the standard properties of such convolutions are then obtained as easy consequences of these results. The book focuses on more theoretical aspects. A discussion of where the areas of applications currently stand in included as is some preliminary mathematical material. Mathematical modelers (for e.g. in finance and environmental science) and statisticians will find this book useful.
An Introduction To Heavy Tailed And Subexponential Distributions
DOWNLOAD
Author : Sergey Foss
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-05-21
An Introduction To Heavy Tailed And Subexponential Distributions written by Sergey Foss and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-21 with Mathematics categories.
Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems. They are frequently used to accurately model inputs and outputs of computer and data networks and service facilities such as call centers. They are an essential for describing risk processes in finance and also for insurance premia pricing, and such distributions occur naturally in models of epidemiological spread. The class includes distributions with power law tails such as the Pareto, as well as the lognormal and certain Weibull distributions. One of the highlights of this new edition is that it includes problems at the end of each chapter. Chapter 5 is also updated to include interesting applications to queueing theory, risk, and branching processes. New results are presented in a simple, coherent and systematic way. Graduate students as well as modelers in the fields of finance, insurance, network science and environmental studies will find this book to be an essential reference.
An Introduction To Heavy Tailed And Subexponential Distributions
DOWNLOAD
Author : Sergey Foss
language : en
Publisher:
Release Date : 2009
An Introduction To Heavy Tailed And Subexponential Distributions written by Sergey Foss and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
The Fundamentals Of Heavy Tails
DOWNLOAD
Author : Jayakrishnan Nair
language : en
Publisher: Cambridge University Press
Release Date : 2022-06-09
The Fundamentals Of Heavy Tails written by Jayakrishnan Nair and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-06-09 with Business & Economics categories.
An accessible yet rigorous package of probabilistic and statistical tools for anyone who must understand or model extreme events.
Closure Properties For Heavy Tailed And Related Distributions
DOWNLOAD
Author : Remigijus Leipus
language : en
Publisher: Springer Nature
Release Date : 2023-09-14
Closure Properties For Heavy Tailed And Related Distributions written by Remigijus Leipus and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-09-14 with Mathematics categories.
This book provides a compact and systematic overview of closure properties of heavy-tailed and related distributions, including closure under tail equivalence, convolution, finite mixing, maximum, minimum, convolution power and convolution roots, and product-convolution closure. It includes examples and counterexamples that give an insight into the theory and provides numerous references to technical details and proofs for a deeper study of the subject. The book will serve as a useful reference for graduate students, young researchers, and applied scientists.
Advances In Heavy Tailed Risk Modeling
DOWNLOAD
Author : Gareth W. Peters
language : en
Publisher: John Wiley & Sons
Release Date : 2015-05-21
Advances In Heavy Tailed Risk Modeling written by Gareth W. Peters and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-05-21 with Mathematics categories.
ADVANCES IN HEAVY TAILED RISK MODELING A cutting-edge guide for the theories, applications, and statistical methodologies essential to heavy tailed risk modeling Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk presents comprehensive coverage of the latest research on the theories and applications in risk measurement and modeling techniques. Featuring a unique balance of mathematical and statistical perspectives, the handbook begins by introducing the motivation for heavy tailed risk processes. A companion with Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, the handbook provides a complete framework for all aspects of operational risk management and includes: Clear coverage on advanced topics such as splice loss models, extreme value theory, heavy tailed closed form loss distribution approach models, flexible heavy tailed risk models, risk measures, and higher order asymptotic approximations of risk measures for capital estimation An exploration of the characterization and estimation of risk and insurance modeling, which includes sub-exponential models, alpha-stable models, and tempered alpha stable models An extended discussion of the core concepts of risk measurement and capital estimation as well as the details on numerical approaches to evaluation of heavy tailed loss process model capital estimates Numerous detailed examples of real-world methods and practices of operational risk modeling used by both financial and non-financial institutions Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk is an excellent reference for risk management practitioners, quantitative analysts, financial engineers, and risk managers. The handbook is also useful for graduate-level courses on heavy tailed processes, advanced risk management, and actuarial science.
Asymptotic Analysis Of Random Walks
DOWNLOAD
Author : Aleksandr Alekseevich Borovkov
language : en
Publisher: Cambridge University Press
Release Date : 2008
Asymptotic Analysis Of Random Walks written by Aleksandr Alekseevich Borovkov and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Asymptotic expansions categories.
This monograph is devoted to studying the asymptotic behaviour of the probabilities of large deviations of the trajectories of random walks, with 'heavy-tailed' (in particular, regularly varying, sub- and semiexponential) jump distributions. It presents a unified and systematic exposition.
Regular Variation
DOWNLOAD
Author : N. H. Bingham
language : en
Publisher: Cambridge University Press
Release Date : 1989-06-15
Regular Variation written by N. H. Bingham and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989-06-15 with Mathematics categories.
A comprehensive account of the theory and applications of regular variation.
Risk Theory A Heavy Tail Approach
DOWNLOAD
Author : Dimitrios George Konstantinides
language : en
Publisher: #N/A
Release Date : 2017-07-07
Risk Theory A Heavy Tail Approach written by Dimitrios George Konstantinides and has been published by #N/A this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-07 with Mathematics categories.
'Heavy-tailed risk modelling plays a central role in modern risk theory; within this perspective, the book provides an excellent guide concerning problems and solutions in risk theory.'zbMATHThis book is written to help graduate students and young researchers to enter quickly into the subject of Risk Theory. It can also be used by actuaries and financial practitioners for the optimization of their decisions and further by regulatory authorities for the stabilization of the insurance industry. The topic of extreme claims is especially presented as a crucial feature of the modern ruin probability.
Ruin Probabilities
DOWNLOAD
Author : S?ren Asmussen
language : en
Publisher: World Scientific
Release Date : 2010
Ruin Probabilities written by S?ren Asmussen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Mathematics categories.
The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramr?Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber?Shiu functions and dependence.