The Art of Finding Hidden Risks: Hidden Regular Variation in the 21st Century
暫譯: 隱藏風險的藝術:21世紀的隱藏常規變異

Resnick, Sidney

  • 出版商: Springer
  • 出版日期: 2024-08-02
  • 售價: $2,990
  • 貴賓價: 9.5$2,841
  • 語言: 英文
  • 頁數: 262
  • 裝訂: Hardcover - also called cloth, retail trade, or trade
  • ISBN: 3031575989
  • ISBN-13: 9783031575983
  • 海外代購書籍(需單獨結帳)

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)

這段文字全面且大致上自成一體地探討了多變量重尾分析。強調測度的正則變異意味著理論可以系統性地呈現,且不受維度的限制。開發了工具,允許在更高維度中靈活定義「極端」的概念,並允許不同的重尾在同一狀態空間中共存,導致「隱藏的正則變異」和「類固醇的正則變異」。這強調了在風險估計時,選擇適當的重尾是重要的。理論基礎自然引導至統計技術;範例來自風險估計、金融、氣候學和網絡分析。這些內容針對保險、金融、數據分析、網絡科學和概率建模等廣泛受眾。先決條件是對分析的基本知識和對測度定義的熟悉;函數的正則變異會被回顧,但並不是重點。

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 是康奈爾大學運籌學與資訊工程學院的李登輝工程榮譽教授,位於紐約伊薩卡。他在加入康奈爾之前曾在以色列理工學院、史丹佛大學和科羅拉多州立大學任職。他曾擔任多個編輯委員會成員,擁有多個訪問職位,至今已出版四本書籍並共同撰寫了195篇研究論文。在1998年至2003年間,Resnick 擔任運籌學與資訊工程學院的院長。