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An Introduction to Heavy-Tailed and Subexponential Distributions / by Sergey Foss, Dmitry Korshunov, Stan Zachary
(Springer Series in Operations Research and Financial Engineering. ISSN:21971773 ; 38)
版 | 1st ed. 2011. |
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出版者 | New York, NY : Springer New York : Imprint: Springer |
出版年 | 2011 |
大きさ | IX, 123 p. 1 illus : online resource |
著者標目 | *Foss, Sergey author Korshunov, Dmitry author Zachary, Stan author SpringerLink (Online service) |
件 名 | LCSH:Probabilities LCSH:Statistics LCSH:System theory LCSH:Mathematical physics FREE:Probability Theory FREE:Statistics in Business, Management, Economics, Finance, Insurance FREE:Complex Systems FREE:Theoretical, Mathematical and Computational Physics |
一般注記 | Preface -- Introduction -- Heavy- and long-tailed distributions -- Subexponential distributions.- Densities and local probabilities -- Maximum of random walks -- References -- Index 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. This monograph defines the classes of long-tailed and subexponential distributions in one dimension and provides a complete and comprehensive description of their properties. New results are presented in a simple, coherent and systematic way. This leads to a comprehensive exposition of tail properties of sums of independent random variables whose distributions belong to the long-tailed and subexponential class. The book includes a discussion of and references to contemporary areas of applications and also contains preliminary mathematical material which makes the book self contained. Modelers in the fields of finance, insurance, network science and environmental studies will find this book to be an essential reference HTTP:URL=https://doi.org/10.1007/978-1-4419-9473-8 |
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電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
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電子ブック | オンライン | 電子ブック |
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Springer eBooks | 9781441994738 |
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EB00197565 |
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データ種別 | 電子ブック |
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分 類 | LCC:QA273.A1-274.9 DC23:519.2 |
書誌ID | 4000114961 |
ISBN | 9781441994738 |
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※2017年9月4日以降