000 04385cam a2200541Li 4500
001 910856022
003 OCoLC
005 20250128145943.0
006 m o d
007 cr |||||||||||
008 140708s2015 njua ob 001 0 eng d
020 _a9781118909553
_qelectronic bk
020 _a1118909550
_qelectronic bk
020 _a9781118909560
_qelectronic bk
020 _a1118909569
_qelectronic bk
020 _z9781118909539
_qhardback
020 _a1118909534
020 _a9781118909539
035 _a(OCoLC)910856022
040 _aYDXCP
_beng
_erda
_cYDXCP
_dOCLCO
_dDG1
_dE7B
_dVRC
_dCOO
_dOCLCO
050 1 4 _aHD61
_b.P477 2015
072 7 _aBUS
_x082000
_2bisacsh
072 7 _aBUS
_x041000
_2bisacsh
072 7 _aBUS
_x042000
_2bisacsh
072 7 _aBUS
_x085000
_2bisacsh
100 1 _aPeters, Gareth W.,
_d1978-
_0http://id.loc.gov/authorities/names/n2014021955
_eauthor
245 1 0 _aAdvances in heavy tailed risk modeling :
_ba handbook of operational risk /
_cGareth W. Peters, Pavel V. Shevchenko
264 1 _aHoboken, New Jersey :
_bWiley,
_c[2015]
300 _a1 online resource (xxv, 627 pages, 6 unnumbered pages) :
_billustrations
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
490 1 _aWiley Handbooks in Financial Engineering and Econometrics
506 _aAvailable to OhioLINK libraries
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
504 _aIncludes bibliographical references and index
650 0 _aRisk management.
_0http://id.loc.gov/authorities/subjects/sh85114200
_92964
650 0 _aOperational risk.
_0http://id.loc.gov/authorities/subjects/sh2006001102
655 4 _aElectronic books
_92032
700 1 _aShevchenko, Pavel V.,
_0http://id.loc.gov/authorities/names/no2011067854
_eauthor
710 2 _aOhio Library and Information Network.
_0http://id.loc.gov/authorities/names/no95058981
776 0 8 _iPrint version:
_aPeters, Gareth W., 1978-
_tAdvances in heavy tailed risk modeling
_dHoboken, New Jersey : Wiley, 2015
_z9781118909539
_w(DLC) 2014015418
830 0 _aWiley handbooks in financial engineering and econometrics.
_0http://id.loc.gov/authorities/names/no2012023967
856 4 0 _3OhioLINK
_zConnect to resource
_uhttps://rave.ohiolink.edu/ebooks/ebc2/9781118909560
856 4 0 _3Wiley Online Library
_zConnect to resource
_uhttps://onlinelibrary.wiley.com/doi/book/10.1002/9781118909560
856 4 0 _3Wiley Online Library
_zConnect to resource (off-campus)
_uhttps://go.ohiolink.edu/goto?url=https://onlinelibrary.wiley.com/doi/book/10.1002/9781118909560
999 _c200463719
_d81931