kindle Modelling Extremal Events: for Insurance and Finance –

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 theoreticianAn 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 uninitiatedThe authors do an excellent job of organizing these topics and also provide a very usefulpage 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 emphasisAs 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 Journal of the American Statistical AssociationA 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 givereferences 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 Mathematical ReviewsThis book impresses me as being exceptionally well written, scholarly beyond question,than a little daunting, and likely to become a classic in its field Siam Reviews Ce texte fait r f rence l dition ReliIn insurance and finance applications, questions involving extremal events play an important role This book sets out to bridge the gap between existing theory and practical applications both from a probabilistic as well as statistical point of view