Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …

This is an extended and corrected version of the First Edition. The major changes are:–
Chapters 2 through 5 are now appended by lists of problems and exercises. We also …

" The author has substantially extended and updated the material to reflect developments
over the period.… The book is mainly aimed at academics and researchers, but should …

Concepts, methods and techniques of statistical physics in the study of correlated, as well as
uncorrelated, phenomena are being applied ever increasingly in the natural sciences …

The Wiley Paperback Series makes valuable content more accessible to a new generation
of statisticians, mathematicians and scientists. Stochastic Processes for Insurance and …

Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …

This paper surveys recent techniques that have been developed for rare-event analysis of
stochastic systems via simulation. We review standard (state-independent) techniques that …

Heavy tails–extreme events or values more common than expected–emerge everywhere:
the economy, natural events, and social and information networks are just a few examples …

We survey the properties and uses of the class of subexponential probability distributions,
paying particular attention to their use in modelling heavy-tailed data such as occurs in …

First we give a short review of large deviation results for sums of iid random variables. The
main emphasis is on heavy-tailed distributions. We stress more the methodology than the …