The Art of Finding Hidden Risks: Hidden Regular Variation in the 21st Century (Springer Series in Operations Research and Financial Engineering) - Tapa dura

Resnick, Sidney

 
9783031575983: The Art of Finding Hidden Risks: Hidden Regular Variation in the 21st Century (Springer Series in Operations Research and Financial Engineering)
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ISBN 10: 3031575989 ISBN 13: 9783031575983
Editorial: Springer, 2024

Sinopsis

This text gives a comprehensive, largely self-contained treatment of multivariate heavy tail analysis. Emphasizing regular variation of measures means theory can be presented systematically and without regard to dimension. Tools are developed that allow a flexible definition of "extreme" in higher dimensions and permit different heavy tails to coexist on the same state space leading to "hidden regular variation" and "steroidal regular variation". This emphasizes when estimating risks, it is important to choose the appropriate heavy tail. Theoretical foundations lead naturally to statistical techniques; examples are drawn from risk estimation, finance, climatology and network analysis. Treatments target a broad audience in insurance, finance, data analysis, network science and probability modeling. The prerequisites are modest knowledge of analysis and familiarity with the definition of a measure; regular variation of functions is reviewed but is not a focal point.



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Acerca del autor

Sidney Resnick is the Lee Teng-Hui Professor in Engineering Emeritus in Cornell University's School of Operations Research and Information Engineering in Ithaca NY. He joined Cornell after posts at Technion, Stanford and Colorado State University. He has served on numerous editorial boards, had numerous visiting appointments and, to date, has published 4 previous books and co-authored 195 research papers. From 1998--2003, Resnick was Director of the School of ORIE.


De la contraportada

This text gives a comprehensive, largely self-contained treatment of multivariate heavy tail analysis. Emphasizing regular variation of measures means theory can be presented systematically and without regard to dimension. Tools are developed that allow a flexible definition of "extreme" in higher dimensions and permit different heavy tails to coexist on the same state space leading to "hidden regular variation" and "steroidal regular variation". This emphasizes when estimating risks, it is important to choose the appropriate heavy tail. Theoretical foundations lead naturally to statistical techniques; examples are drawn from risk estimation, finance, climatology and network analysis. Treatments target a broad audience in insurance, finance, data analysis, network science and probability modeling. The prerequisites are modest knowledge of analysis and familiarity with the definition of a measure; regular variation of functions is reviewed but is not a focal point.


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Editorial
Springer
Año de publicación
2024
Idioma
Inglés
ISBN 10 
3031575989
ISBN 13 
9783031575983
Encuadernación
Tapa dura
Número de páginas
278
Contacto del fabricante
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Otras ediciones populares con el mismo título

9783031576010: The Art of Finding Hidden Risks: Hidden Regular Variation in the 21st Century

Edición Destacada

ISBN 10:  3031576012 ISBN 13:  9783031576010
Editorial: Springer, 2025
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