Thomas Mikosch has been professor at the Laboratory of Actuarial Mathematics of the University of Copenhagen since January 2001. Before this, he held positions in Dresden (Germany), Wellington (New Zealand) and Groningen (Netherlands). His special interests are applied probability theory and stochastic processes. Over the last few years his research has focused on extremal events in finance, insurance and telecommunications. His earlier very successful book, written jointly with Paul Embrechts and Claudia Klüppelberg, Modelling Extremal Events for Finance and Insurance (1997), is also published by Springer.
8 Ebooks oleh Thomas Mikosch
Dariusz Buraczewski & Ewa Damek: Stochastic Models with Power-Law Tails
In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_t X …
PDF
Inggris
€139.09
Thomas Mikosch: Non-Life Insurance Mathematics
‘Offers a mathematical introduction to non-life insurance and, at the same time, to a multitude of applied stochastic processes. It gives detailed discussions of the fundamental models for claim size …
PDF
Inggris
DRM
€59.49
Thomas Mikosch: ELEMENTARY STOCHASTIC CALCULUS, … (V6)
Modelling with the Itô integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochasti …
PDF
Inggris
DRM
€46.99
Herold Dehling & Thomas Mikosch: Empirical Process Techniques for Dependent Data
Empirical process techniques for independent data have been used for many years in statistics and probability theory. These techniques have proved very useful for studying asymptotic properties of pa …
PDF
Inggris
DRM
€115.20
Ole E Barndorff-Nielsen & Thomas Mikosch: Levy Processes
A Levy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions a …
PDF
Inggris
DRM
€204.96
Paul Embrechts & Claudia Kluppelberg: Modelling Extremal Events
Both in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations in financial data, stock market shocks, risk management, …) pl …
PDF
Inggris
DRM
€140.33
Thomas Mikosch & Olivier Wintenberger: Extreme Value Theory for Time Series
This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and fina …
PDF
Inggris
€235.39
