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An Introduction to Heavy-Tailed and Subexponential Distributions
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Catalogue Information
Field name
Details
Dewey Class
519.2
Title
An Introduction to Heavy-Tailed and Subexponential Distributions (EB) / by Sergey Foss, Dmitry Korshunov, Stan Zachary.
Author
Foss, Sergey
Added Personal Name
Korshunov, Dmitry
Zachary, Stan
Other name(s)
SpringerLink (Online service)
Edition statement
1st edition
Publication
New York, NY : Springer , 2011.
Physical Details
IX, 123 pages, 1 illus. : online resource.
Series
Springer Series in Operations Research and Financial Engineering
1431-8598 ; ; 38
ISBN
9781441994738
Summary Note
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.:
Contents note
Preface -- Introduction -- Heavy- and long-tailed distributions -- Subexponential distributions.-Â Densities and local probabilities -- Maximum of random walks -- References -- Index.
System details note
Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site
http://dx.doi.org/10.1007/978-1-4419-9473-8
Links to Related Works
Subject References:
Complex Systems
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Distribution (Probability theory)
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Economics
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Probability theory and stochastic processes
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Statistical Physics
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Statistical Physics, Dynamical Systems and Complexity
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Statistics for Business/Economics/Mathematical Finance/Insurance
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Authors:
author
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Foss, Sergey
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Korshunov, Dmitry
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Zachary, Stan
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Corporate Authors:
SpringerLink (Online service)
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Series:
Springer Series in Operations Research and Financial Engineering
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Classification:
519.2
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519.2 (DDC 23)
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