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The art of finding hidden risks = hi...

Resnick, Sidney.

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The art of finding hidden risks = hidden regular variation in the 21st century /

Record Type:	Electronic resources : Monograph/item
Title/Author:	The art of finding hidden risks/ by Sidney Resnick.
Reminder of title:	hidden regular variation in the 21st century /
Author:	Resnick, Sidney.
Published:	Cham :Springer Nature Switzerland : : 2024.,
Description:	xiii, 262 p. :ill. (some col.), digital ;24 cm.
[NT 15003449]:	1 Foundation -- 2 Regular Variation -- 3 Hidden Regular Variation -- 4 Lévy Processes with Regularly Varying Distributions: Where Do the Jumps Go? -- 5 Statistics -- A A Crash Course on Regularly Varying Functions -- B Notation Summary -- References -- Index.
Contained By:	Springer Nature eBook
Subject:	Multivariate analysis. -
Online resource:	https://doi.org/10.1007/978-3-031-57599-0
ISBN:	9783031575990

The art of finding hidden risks = hidden regular variation in the 21st century /
Resnick, Sidney.

The art of finding hidden riskshidden regular variation in the 21st century /[electronic resource] :by Sidney Resnick. - Cham :Springer Nature Switzerland :2024. - xiii, 262 p. :ill. (some col.), digital ;24 cm.

1 Foundation -- 2 Regular Variation -- 3 Hidden Regular Variation -- 4 Lévy Processes with Regularly Varying Distributions: Where Do the Jumps Go? -- 5 Statistics -- A A Crash Course on Regularly Varying Functions -- B Notation Summary -- References -- Index.

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.

ISBN: 9783031575990

Standard No.: 10.1007/978-3-031-57599-0doiSubjects--Topical Terms:

517467
Multivariate analysis.

LC Class. No.: QA278

Dewey Class. No.: 519.535

The art of finding hidden risks = hidden regular variation in the 21st century /
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245 1 4 $a The art of finding hidden risks $h [electronic resource] : $b hidden regular variation in the 21st century / $c by Sidney Resnick.
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300 $a xiii, 262 p. : $b ill. (some col.), digital ; $c 24 cm.
505 0 $a 1 Foundation -- 2 Regular Variation -- 3 Hidden Regular Variation -- 4 Lévy Processes with Regularly Varying Distributions: Where Do the Jumps Go? -- 5 Statistics -- A A Crash Course on Regularly Varying Functions -- B Notation Summary -- References -- Index.
520 $a 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.
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