Modelling Extremal Events
Modelling Extremal Events
Paul Embrechts
Nassim Taleb
The bible for the field. - Nassim Taleb
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Modelling Extremal Events

Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability

Paul Embrechts
By
Paul Embrechts
3.9
16
ratings on Goodreads

In "Modelling Extremal Events," Paul Embrechts masterfully navigates the complex terrain of extreme value theory, offering a seminal guide that stands as a cornerstone in the field of risk management, finance, and insurance. With an astute blend of theoretical rigor and practical application, Embrechts elucidates how to model and predict the improbable yet impactful events that lie in the tails of statistical distributions. His work, punctuated by rich graphs and diagrams, brings clarity to the intricate shapes of distributions, transforming abstract concepts into tangible tools for analyzing real-world data. Through a series of compelling real-data examples, Embrechts demonstrates the versatility and necessity of understanding extremal events across various domains. From sudden financial market crashes to catastrophic natural disasters, the book sheds light on the pivotal role of extreme value theory in preparing for and mitigating the impacts of these rare occurrences. "Modelling Extremal Events" is not just a book but a beacon for researchers, practitioners, and policymakers, guiding them through the challenges of the unpredictable with precision and insight. It is an essential read for anyone seeking to grasp the underpinnings of extremal events and the innovative methodologies required to model them.

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Released
2004
1 Jun
Length
663
Pages

1

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The bible for the field. - Nassim Taleb
— Paul Embrechts, Modelling Extremal Events

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