Share

Advances in Heavy Tailed Risk Modeling

2015-05-21 Mathematics
Download Advances in Heavy Tailed Risk Modeling PDF Online Free

Author :
Release : 2015-05-21
Genre : Mathematics
Kind : eBook
Book Rating : 542/5 ( reviews)

GET EBOOK


Book Synopsis Advances in Heavy Tailed Risk Modeling by : Gareth W. Peters

Download or read book Advances in Heavy Tailed Risk Modeling written by Gareth W. Peters. This book was released on 2015-05-21. Available in PDF, EPUB and Kindle. Book excerpt: ADVANCES IN HEAVY TAILED RISK MODELING A cutting-edge guide for the theories, applications, and statistical methodologies essential to heavy tailed risk modeling Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk presents comprehensive coverage of the latest research on the theories and applications in risk measurement and modeling techniques. Featuring a unique balance of mathematical and statistical perspectives, the handbook begins by introducing the motivation for heavy tailed risk processes. A companion with Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, the handbook provides a complete framework for all aspects of operational risk management and includes: Clear coverage on advanced topics such as splice loss models, extreme value theory, heavy tailed closed form loss distribution approach models, flexible heavy tailed risk models, risk measures, and higher order asymptotic approximations of risk measures for capital estimation An exploration of the characterization and estimation of risk and insurance modeling, which includes sub-exponential models, alpha-stable models, and tempered alpha stable models An extended discussion of the core concepts of risk measurement and capital estimation as well as the details on numerical approaches to evaluation of heavy tailed loss process model capital estimates Numerous detailed examples of real-world methods and practices of operational risk modeling used by both financial and non-financial institutions Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk is an excellent reference for risk management practitioners, quantitative analysts, financial engineers, and risk managers. The handbook is also useful for graduate-level courses on heavy tailed processes, advanced risk management, and actuarial science.

Fundamental Aspects of Operational Risk and Insurance Analytics and Advances in Heavy Tailed Risk Modeling: Handbooks of Operational Risk Set

2015-07-13 Mathematics
Download Fundamental Aspects of Operational Risk and Insurance Analytics and Advances in Heavy Tailed Risk Modeling: Handbooks of Operational Risk Set PDF Online Free

Author :
Release : 2015-07-13
Genre : Mathematics
Kind : eBook
Book Rating : 577/5 ( reviews)

GET EBOOK


Book Synopsis Fundamental Aspects of Operational Risk and Insurance Analytics and Advances in Heavy Tailed Risk Modeling: Handbooks of Operational Risk Set by : Marcelo G. Cruz

Download or read book Fundamental Aspects of Operational Risk and Insurance Analytics and Advances in Heavy Tailed Risk Modeling: Handbooks of Operational Risk Set written by Marcelo G. Cruz. This book was released on 2015-07-13. Available in PDF, EPUB and Kindle. Book excerpt: Two cutting-edge guides for the theories, applications, and statistical methodologies essential to operational risk and heavy tailed risk modeling Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk presents comprehensive coverage of the latest research on the theories and applications in risk measurement and modeling techniques. Featuring a unique balance of mathematical and statistical perspectives, the handbook begins by introducing the motivation for heavy tailed risk processes in high consequence low frequency loss modeling. With a companion, Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, the book provides a complete framework for all aspects of operational risk management. Fundamental Aspects of Operational Risk and Insurance Analytics covers the theories, applications, and models inherent in any discussion of the fundamentals of operational risk, with a primary focus on Basel II/III regulation, modeling dependence, estimation of risk models, and modeling the data elements.

Fundamental Aspects of Operational Risk and Insurance Analytics

2015-01-29 Mathematics
Download Fundamental Aspects of Operational Risk and Insurance Analytics PDF Online Free

Author :
Release : 2015-01-29
Genre : Mathematics
Kind : eBook
Book Rating : 005/5 ( reviews)

GET EBOOK


Book Synopsis Fundamental Aspects of Operational Risk and Insurance Analytics by : Marcelo G. Cruz

Download or read book Fundamental Aspects of Operational Risk and Insurance Analytics written by Marcelo G. Cruz. This book was released on 2015-01-29. Available in PDF, EPUB and Kindle. Book excerpt: A one-stop guide for the theories, applications, and statistical methodologies essential to operational risk Providing a complete overview of operational risk modeling and relevant insurance analytics, Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk offers a systematic approach that covers the wide range of topics in this area. Written by a team of leading experts in the field, the handbook presents detailed coverage of the theories, applications, and models inherent in any discussion of the fundamentals of operational risk, with a primary focus on Basel II/III regulation, modeling dependence, estimation of risk models, and modeling the data elements. Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk begins with coverage on the four data elements used in operational risk framework as well as processing risk taxonomy. The book then goes further in-depth into the key topics in operational risk measurement and insurance, for example diverse methods to estimate frequency and severity models. Finally, the book ends with sections on specific topics, such as scenario analysis; multifactor modeling; and dependence modeling. A unique companion with Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, the handbook also features: Discussions on internal loss data and key risk indicators, which are both fundamental for developing a risk-sensitive framework Guidelines for how operational risk can be inserted into a firm’s strategic decisions A model for stress tests of operational risk under the United States Comprehensive Capital Analysis and Review (CCAR) program A valuable reference for financial engineers, quantitative analysts, risk managers, and large-scale consultancy groups advising banks on their internal systems, the handbook is also useful for academics teaching postgraduate courses on the methodology of operational risk.

Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management

2019-03-08 Business & Economics
Download Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management PDF Online Free

Author :
Release : 2019-03-08
Genre : Business & Economics
Kind : eBook
Book Rating : 215/5 ( reviews)

GET EBOOK


Book Synopsis Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management by : Michele Leonardo Bianchi

Download or read book Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management written by Michele Leonardo Bianchi. This book was released on 2019-03-08. Available in PDF, EPUB and Kindle. Book excerpt: The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.

Risk Theory: A Heavy Tail Approach

2017-07-07 Mathematics
Download Risk Theory: A Heavy Tail Approach PDF Online Free

Author :
Release : 2017-07-07
Genre : Mathematics
Kind : eBook
Book Rating : 162/5 ( reviews)

GET EBOOK


Book Synopsis Risk Theory: A Heavy Tail Approach by : Dimitrios George Konstantinides

Download or read book Risk Theory: A Heavy Tail Approach written by Dimitrios George Konstantinides. This book was released on 2017-07-07. Available in PDF, EPUB and Kindle. Book excerpt: 'Heavy-tailed risk modelling plays a central role in modern risk theory; within this perspective, the book provides an excellent guide concerning problems and solutions in risk theory.'zbMATHThis book is written to help graduate students and young researchers to enter quickly into the subject of Risk Theory. It can also be used by actuaries and financial practitioners for the optimization of their decisions and further by regulatory authorities for the stabilization of the insurance industry. The topic of extreme claims is especially presented as a crucial feature of the modern ruin probability.

You may also like...