MARC Record from Library of Congress

LEADER: 04350cam a2200445 i 4500
001 2014026795
003 DLC
005 20150808080226.0
006 m |o d |
007 cr_|||||||||||
008 140708s2014 nju ob 001 0 eng
010 $a 2014026795
020 $a9781118909546 (epub)
020 $a9781118909553 (epdf)
020 $z9781118909539 (hardback)
040 $aDLC$beng$erda$cDLC$dDLC
042 $apcc
050 00 $aHD61
082 00 $a658.15/5$223
084 $aMAT029000$aTEC009060$aBUS004000$2bisacsh
100 1 $aPeters, Gareth W.,$d1978-
245 10 $aAdvances in heavy tailed risk modeling :$ba handbook of operational risk /$cGareth W. Peters, Department of Statistical Science, University College of London, London, United Kingdom, Pavel V. Shevchenko., Division of Computational Informatics, The Commonwealth Scientific and Industrial Research Organization, Sydney, Australia.
263 $a1412
264 1 $aHoboken, New Jersey :$bJohn Wiley & Sons, Inc.,$c2014.
300 $a1 online resource.
336 $atext$2rdacontent
337 $acomputer$2rdamedia
338 $aonline resource$2rdacarrier
520 $a"A companion book to Fundamental Aspects of Operational Risk Modeling and Insurance Analytics: A Handbook of Operational Risk (2014), this book covers key mathematical and statistical aspects of the quantitative modelling of heavy tailed loss processes in operational risk and insurance settings. This book can add value to the industry by providing clear and detailed coverage of modelling for heavy tailed operational risk losses from both a rigorous mathematical as well as a statistical perspective. Few books cover the range of details provided both the mathematical and statistical features of such models, directly targeting practitioners. The book focuses on providing a sound understanding of how one would mathematically and statistically model, estimate, simulate and validate heavy tailed loss process models in operational risk. Coverage includes advanced topics on risk modelling in high consequence low frequency loss processes. This features splice loss models and motivation for heavy tailed risk processes models. The key aspects of extreme value theory and their development in loss distributional approach modelling is considered. Classification and understanding of different classes of heavy tailed risk process models is discussed, this leads into topics on heavy tailed closed form loss distributional approach models and flexible heavy tailed risk models such as a-stable and tempered stable models. The remainder of the chapters covers advanced topics on risk measures and asymptotics for heavy tailed compound process models. The finishing chapter covers advanced topics including forming links between actuarial compound process recursions and monte carlo numerical solutions for capital and risk measure estimations"--$cProvided by publisher.
520 $a"Covers key mathematical and statistical aspects of the quantitative modelling of heavy tailed loss processes in operational risk and insurance settings. Includes advanced topics on risk modelling in high consequence low frequency loss processes, key aspects of extreme value theory, and classification of different classes of heavy tailed risk process models. Primarily developed for advanced risk management practitioners and quantitative analysts. Suitable as a core reference for an advanced mathematical or statistical risk management masters course or a PhD research course on risk management and asymptotics"--$cProvided by publisher.
504 $aIncludes bibliographical references and index.
588 $aDescription based on print version record and CIP data provided by publisher.
650 0 $aRisk management.
650 0 $aOperational risk.
650 7 $aMATHEMATICS / Probability & Statistics / General.$2bisacsh
650 7 $aTECHNOLOGY & ENGINEERING / Industrial Engineering.$2bisacsh
650 7 $aBUSINESS & ECONOMICS / Banks & Banking.$2bisacsh
700 1 $aShevchenko, Pavel V.
776 08 $iPrint version:$aPeters, Gareth W., 1978-$tAdvances in heavy tailed risk modeling$dHoboken, New Jersey : John Wiley & Sons, Inc., 2014$z9781118909539$w(DLC) 2014015418
856 40 $3Cover image$uhttp://catalogimages.wiley.com/images/db/jimages/9781118909539.jpg