The Art of Finding Hidden Risks: Hidden Regular Variation in the 21st Century
Resnick, Sidney
- 出版商: Springer
- 出版日期: 2024-08-02
- 售價: $2,830
- 貴賓價: 9.5 折 $2,689
- 語言: 英文
- 頁數: 262
- 裝訂: Hardcover - also called cloth, retail trade, or trade
- ISBN: 3031575989
- ISBN-13: 9783031575983
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商品描述
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.
商品描述(中文翻譯)
本書全面且大部分自成體系地介紹了多變量重尾分析。強調測度的正則變化意味著理論可以系統地呈現,而不考慮維度。開發了工具,允許在更高維度中靈活地定義“極端”,並允許不同的重尾在同一狀態空間中共存,從而產生“隱藏的正則變化”和“類固醇的正則變化”。這強調了在估計風險時,選擇適當的重尾是重要的。理論基礎自然地引導到統計技術;例子來自風險估計、金融、氣候學和網絡分析。本書的目標是面向保險、金融、數據分析、網絡科學和概率建模等廣泛的讀者群體。先備知識要求對分析有基本了解,並熟悉測度的定義;函數的正則變化會被回顧,但不是重點。
作者簡介
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.
作者簡介(中文翻譯)
Sidney Resnick是康奈爾大學Ithaca NY校區運籌與資訊工程學院的李登輝名譽工程教授。在加入康奈爾之前,他曾在以色列理工學院、斯坦福大學和科羅拉多州立大學擔任職位。他曾擔任多個編輯委員會的成員,並擁有多個訪問學者職位。迄今為止,他已經出版了4本書籍並合著了195篇研究論文。從1998年到2003年,Resnick擔任ORIE學院的院長。