An Introduction to Heavy-Tailed and Subexponential Distributions

2. Auflage 2013
ISBN: 978-1-4614-7100-4
Verlag: Springer

Buch, Englisch, 157 Seiten, Format (B × H): 160 mm x 241 mm, Gewicht: 3849 g

Reihe: Springer Series in Operations Research and Financial Engineering

Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems. They are frequently used to accurately model inputs and outputs of computer and data networks and service facilities such as call centers. They are an essential for describing risk processes in finance and also for insurance premia pricing, and such distributions occur naturally in models of epidemiological spread. The class includes distributions with power law tails such as the Pareto, as well as the lognormal and certain Weibull distributions.

One of the highlights of this new edition is that it includes problems at the end of each chapter. Chapter 5 is also updated to include interesting applications to queueing theory, risk, and branching processes. New results are presented in a simple, coherent and systematic way.

Graduate students as well as modelers in the fields of finance, insurance, network science and environmental studies will find this book to be an essential reference.

Zielgruppe

Graduate

Autoren/Hrsg.

Foss, Sergey

Zachary, Stan

Korshunov, Dmitry

Fachgebiete

• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle

Inhaltsverzeichnis

Preface.- Introduction.- Heavy- and long-tailed distributions.- Subexponential distributions.- Densities and local probabilities.- Maximum of random walks.- References.- Index.

Über Autor(innen)

Sergey Foss is a professor at Heriot-Watt University, Edinburgh, UK. Dmitry Korshunov is a professor at the Sobolev Institute of Mathematics of the Russian Academy of Sciences, Novosibirsk, Russia. Stan Zachary is a professor at Heriot-Watt University, Edinburgh, UK.