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02409nam a2200373 i 4500 |
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29441 |
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20150802130806.0 |
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150802s2013 gw a b 001 0 eng c |
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|a 9783642335891
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|a 658.155
|2 23
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| 100 |
1 |
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|a Rüschendorf, Ludger,
|d 1948-
|9 13443
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| 245 |
1 |
0 |
|a Mathematical risk analysis :
|b dependence, risk bounds, optimal allocations and portfolios /
|c Ludger Rüschendorf.
|
| 260 |
|
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|a Berlin ; New York :
|b Springer,
|c 2013.
|
| 300 |
|
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|a xii, 408 p. :
|b ill. ;
|c 25 cm.
|
| 490 |
1 |
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|a Springer series in operations research and financial engineering,
|x 1431-8598
|
| 504 |
|
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|a Includes bibliographical references (pages 385-398) and index.
|
| 505 |
0 |
0 |
|t Copulas, Sklar's Theorem, and Distributional Transform --
|t Fréchet Classes, Risk Bounds, and Duality Theory --
|t Convex Order, Excess of Loss, and Comonotonicity --
|t Bounds for the Distribution Function and Value at Risk of the Joint Portfolio --
|t Restrictions on the Dependence Structure --
|t Dependence Orderings of Risk Vectors and Portfolios --
|t Risk Measures and Worst Case Portfolios --
|t Risk Measures for Real Risks --
|t Risk Measures for Portfolio Vectors --
|t Law Invariant Convex Risk Measures on Lpd and Optimal Mass Transportation --
|t Optimal Risk Allocation --
|t Optimal Allocations and Pareto Equilibrium --
|t Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals --
|t Optimal Contingent Claims and (Re)insurance Contracts --
|t Optimal Portfolios and Extreme Risks --
|t Optimal Portfolio Diversification w.r.t. Extreme Risks --
|t Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses.
|
| 541 |
|
|
|e 29441
|
| 650 |
|
0 |
|a Risk management
|x Mathematical models.
|9 13444
|
| 650 |
|
0 |
|a Mathematical analysis.
|9 13445
|
| 830 |
|
0 |
|a Springer series in operations research.
|9 13446
|
| 942 |
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