5.0 out of 5 stars
Indispensable, January 7, 2014
By N N Taleb “Nassim N Taleb”
Modelling Extremal Events: for Insurance and Finance Stochastic Modelling and Applied Probability (Hardcover)
The mathematics of extreme events, or the remote parts of the probability distributions, is a discipline on its own, more important than any other with respect to risk and decisions since some domains are dominated by the extremes: for the class of subexponential and of course for the subclass of power laws the tails ARE the story.
Now this book is the bible for the field. It has been diligently updated. It is complete, in the sense that there is nothing of relevance that is not mentioned, treated, or referred to in the text. My business is hidden risk which starts where this book stops, and I need the most complete text for that.
In spite of the momentous importance of the field, there is a very small number of mathematicians who deal with tail events; of these there is a smaller group who go both inside and outside the “Cramer conditions” (intuitively, thin-tailed or exponential decline).
It is also a book that grows on you. I would have given it a 5 stars when I started using it; today I give it 6 stars, and certainly 7 next year.I am buying a second copy for the office. If I had to go on a desert island with 2 probability books, I would take Feller’s two volumes (written >40 years ago) and this one.One housecleaning detail: buy the hardcover, not the paperback as the ink quality is weaker for the latter.

via Amazon.com: N N Taleb “Nassim N Taleb”‘s review of Modelling Extremal Events: for Insurance a….
HatTip to Dave Lull