سنگین دم توزیع و پایداری در اقتصاد و دارایی Heavy-Tailed Distributions and Robustness in Economics and Finance
- نوع فایل : کتاب
- زبان : انگلیسی
- نویسنده : Marat Ibragimov ,Rustam Ibragimov ,Johan Walden
- ناشر : Springer International Publishing
- چاپ و سال / کشور: 2015
- شابک / ISBN : 3319168762, 978-3-319-16876-0, 978-3-319-16877-7
Description
Shows the economic consequences of observed heavy-tailed risk distributions in the fields of economics, finance and insuranceAims to bridge the gap between economic modeling and the statistical modeling techniques that have been developed for observed real-world heavy-tailed risk distributionsOffers an integrated and unified treatment of several of the authors' models within the fields of economics, finance and insuranceIntroduces the concepts and methods in a less technical language also for the non-specialist reader interested in these fieldsThis book focuses on general frameworks for modeling heavy-tailed distributions in economics, finance, econometrics, statistics, risk management and insurance. A central theme is that of (non-)robustness, i.e., the fact that the presence of heavy tails can either reinforce or reverse the implications of a number of models in these fields, depending on the degree of heavy-tailed ness. These results motivate the development and applications of robust inference approaches under heavy tails, heterogeneity and dependence in observations. Several recently developed robust inference approaches are discussed and illustrated, together with applications.TopicsStatistics for Business, Economics, Mathematical Finance, InsuranceStatistical Theory and MethodsEconometrics
