<Embed>
Buy new:
$69.88
List Price: $109.99
Save: $40.11 (36%)
& FREE Shipping. Details
Arrives: Thursday, Oct 1 Details
Fastest delivery: Sunday, Sep 27
Order within 23 hrs and 20 mins
Details
Only 8 left in stock - order soon.
As an alternative, the Kindle eBook is available now and can be read on any device with the free Kindle app.
Your transaction is secure
We work hard to protect your security and privacy. Our payment security system encrypts your information during transmission. We don’t share your credit card details with third-party sellers, and we don’t sell your information to others. Learn more
Ships from Amazon.com
Sold by Amazon.com
Ships from
Amazon.com

Sold by
Amazon.com

Return policy: Returnable within 30 days of receipt
In most cases, items shipped from Amazon.com may be returned for a full refund.
Modelling Extremal Events... has been added to your Cart

Other Sellers on Amazon
Add to Cart
$70.04
& FREE Shipping on eligible orders. Details
Sold by: ayvax
Have one to sell?
Loading your book clubs
There was a problem loading your book clubs. Please try again.
Not in a club? Learn more
Amazon book clubs early access

Join or create book clubs

Choose books together

Track your books
Bring your club to Amazon Book Clubs, start a new book club and invite your friends to join, or find a club that’s right for you for free.
Flip to back Flip to front
Listen Playing... Paused   You're listening to a sample of the Audible audio edition.
Learn more

Follow the Authors

See all
Something went wrong. Please try your request again later.


Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability (33)) Hardcover – June 2, 1997

4.9 out of 5 stars 12 ratings

See all formats and editions Hide other formats and editions
Price
New from Used from
Kindle
Hardcover
$69.88
$68.51 $68.85

Black lives matter. Books to read right now.
click to open popover

Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.

  • Apple
    Apple
  • Android
    Android
  • Windows Phone
    Windows Phone
  • Click here to download from Amazon appstore
    Android

To get the free app, enter your mobile phone number.

kcpAppSendButton

Frequently bought together

  • Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability (33))
  • +
  • Probability Theory (Courant Lecture Notes)
  • +
  • Probability, random variables, and stochastic processes
Total price: $131.48
Buy the selected items together

Special offers and product promotions

Editorial Reviews

Review

From the reviews:

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

"…excellent, comprehensive treatise on the subject of extremal events modeling. The authors have responded well to the demands of extreme value practitioners for such a text. 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…An understanding of modes of convergence, specifically weak convergence, is essential to fully appreciate the text, but the authors’ intuitive writing style makes most of the basic ideas accessible even to the uninitiated…The authors do an excellent job of organizing these topics and also provide a very useful 20-page ‘Reader Guidelines’ section…[the book] makes an excellent contribution to unifying important concepts in extreme value theory and modeling of extremal events. Aside from its obvious use as a reference for practitioners and theoreticians alike, 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…As the authors point out this may not be the kind of book that you want to tackle form cover to cover initially, but it is my bet you will eventually discover that you have done just that as you repeatedly reference this hefty volume throughout the years."

MATHEMATICAL REVIEWS/MATHSCINET DATABASE

"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, to plot sample paths of various processes 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 with the range of applications of the subject. While there are a number of books available which cover most of the topics herein, I know of none which presents such a range of theory and applications of extremal processes in one volume, at a level easily understood by users of the methodology. I highly recommend the book to all who work in the area, or in related areas. (...) The combination of skills and expertise of the three authors of this book is impressive. Their reading covers not only the traditional and classical works in the area but a great deal of the modern development, too. (They give 646 references to books and articles in the literature.) Their book concludes with copious appendices setting out the basic probability theory and some of the regular variation theory required for understanding the rest of the development. In summary, this is a worthwhile book in an extremely important area."

SIAM REVIEWS

"(...) This book impresses me as being exceptionally well written, scholarly beyond question, more than a little daunting, and likely to become a classic in its field."

KWANTITIEWE METHODEN

"The book is the first in the area that strikes a proper balance between mathematical rigor and scope (...) and the statistically-oriented applications for the practitioner."

EXTREMES

"(...) the indispensable starting point for anyone interested in contemporary applications and extensions of classical EVT."

MATHEMATICS TODAY

"This is an encyclopedic handbook of theory and statistical praxis, of great value to actuaries and statisticians in the fields concerned, which gives an up to date picture of this fast developing field, and at the same time a useful and well motivated text book for those who need a guide for entering the area without getting lost either in pure theory or messy practice."

ASTIN BULLETIN

"Given the nature of the subject (...) the book is easy to read.(...) The narrative style is marvellous, invariably connecting theoretical concepts to the real world objects they are supposed to describe, (...)."

RISKBOOK.COM

"There are a number of texts available on Extreme Value Theory (EVT). This is the essential one to read. It is authoritative and extremely well written…A nice feature of Embrechts et al is an opening 20-page ‘reader guideline’ that gives an overview of the material before the start of the main text."


 

From the Publisher

Mathematical Reviews /MathSciNet database, R. A. Maller.

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, to plot sample paths of various processes 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 with the range of applications of the subject. While there are a number of books available which cover most of the topics herein, I know of none which presents such a range of theory and applications of extremal processes in one volume, at a level easily understood by users of the methodology. I highly recommend the book to all who work in the area, or in related areas. [...] The combination of skills and expertise of the three authors of this book is impressive. Their reading covers not only ! the traditional and classical works in the area but a great deal of the modern development, too. (They give 646 references to books and articles in the literature.) Their book concludes with copious appendices setting out the basic probability theory and some of the regular variation theory required for understanding the rest of the development.

In summary... a worthwhile book in an extremely important area.

SIAM Review, Roger Pinkham, Stevens Institute of Technology.

[...] This book impresses me as being exceptionally well written, scholarly beyond question, more than a little daunting, and likely to become a classic in its field.

Kwantitiewe Methoden, Casper de Vries (Erasmus University, Rotterdam).

The book is the first in the area that strikes a proper balance between mathematical rigor and scope on the probability side, and the statistically oriented applications for the practitioner. [...] The authors mostly rely on financially oriented examples, but the coverage of methods is such that anyone using extreme value technique should consult the book. [...] It is an exceptional book, recommended to practitioners, students and researchers alike.

Mathematics Today, Mark H. Robson (Bank of England).

This large, recently published volume has already established itself as the indispensable starting point for anyone interested in contemporary applications and extensions of classical extreme value theory.

Extremes, Anders Martin-Löf (Stockholm University).

This is an encyclopedic handbook of theory and statistical praxis, of great value to actuaries and statisticians in the fields concerned, which gives an up to date picture of this fast developing field, and at the same time a useful and well motivated text book for those who need a guide for entering the area without getting lost either in pure theory or messy practice.

ASTIN Bulletin, Ragnar Norberg (London School of Economics).

This long-awaited volume gathers and systematizes a huge material, parts of which were hitherto scattered around in journals. [...] Given the nature of the subject, which is highly technical, the book is easy to read.[...] The narrative style is marvellous, invariably connecting theoretical concepts to the real world objects they are supposed to describe, with ample illustrations (100 figures) and discussions of authentic cases and data. An amazing amount of knowledge, also on the practical side, is generously shared with the readers here. Mathematical rigour is never compromised, but is still exercised in measured amounts; proofs are given when they serve an educative purpose, and adequate references are given otherwise. The list of 646 references opens virtually unlimited access to supplementary reading.


Product details

  • Item Weight : 5.38 pounds
  • Hardcover : 663 pages
  • ISBN-10 : 3540609318
  • ISBN-13 : 978-3540609315
  • Product Dimensions : 6.14 x 1.44 x 9.21 inches
  • Publisher : Springer; Corrected Edition (June 2, 1997)
  • Language: : English
  • Customer Reviews:
    4.9 out of 5 stars 12 ratings
Pages with related products. See and discover other items: mathematical modelling, mathematics of finance, applied economics, applied mathematics springer